Pricing catastrophe insurance products based on actually reported claims

DOI10.1016/S0167-6687(00)00047-0zbMath0994.91033WikidataQ127807945 ScholiaQ127807945MaRDI QIDQ5942777

Claus Vorm Christensen, Hanspeter Schmidli

Publication date: 10 October 2002

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

approximationsderivativesexpected utilitychange of measurecatastrophe insuranceclaims-processinsurance futuresmixed Poisson model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (7)

A QUADRATIC HEDGING APPROACH TO COMPARISON OF CATASTROPHE INDICES ⋮ It's not now or never: implications of investment timing and risk aversion on climate adaptation to extreme events ⋮ Mortality options: the point of view of an insurer ⋮ Hedging processes for catastrophe options ⋮ Pricing catastrophe swaps: a contingent claims approach ⋮ Modeling Catastrophes and their Impact on Insurance Portfolios ⋮ Pricing of catastrophe insurance options written on a loss index with reestimation

Cites Work

• Reinsurance in arbitrage-free markets
• Large deviations of heavy-tailed random sums with applications in insurance and finance
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