Hedging processes for catastrophe options

DOI10.1016/J.JKSS.2012.02.007zbMath1296.91266OpenAlexW2089116055MaRDI QIDQ457624

Hsien-Jen Lin

Publication date: 29 September 2014

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2012.02.007

zbMATH Keywords

hedging strategiesGirsanov's theoremItō's formulaCAT optionsminimal risk

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05)

Cites Work

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• Valuation of structured risk management products
• Pricing model for zero coupon bonds driven by Bessel-squared interest processes with a jump
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Stochastic time changes in catastrophe option pricing
• Catastrophe options with stochastic interest rates and compound Poisson losses
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• Exponential functionals of Brownian motion and related processes
• Pricing catastrophe insurance products based on actually reported claims

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