Catastrophe options with stochastic interest rates and compound Poisson losses (Q2499827): Difference between revisions
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| Property / cites work: Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity / rank | |||
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| Property / cites work: Extreme Value Theory as a Risk Management Tool / rank | |||
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| Property / cites work: Martingales and stochastic integrals in the theory of continuous trading / rank | |||
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Revision as of 18:08, 24 June 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Catastrophe options with stochastic interest rates and compound Poisson losses |
scientific article |
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Catastrophe options with stochastic interest rates and compound Poisson losses (English)
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14 August 2006
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catastrophe derivatives
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reinsurance
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compound Poisson process
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stochastic interest rates
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