Catastrophe Risk Bonds
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Cites work
- Estimating the Value of the Wincat Coupons of the Winterthur Insurance Convertible Bond: A Study of the Model Risk
- scientific article; zbMATH DE number 41105 (Why is no real title available?)
- scientific article; zbMATH DE number 50702 (Why is no real title available?)
- scientific article; zbMATH DE number 192908 (Why is no real title available?)
- scientific article; zbMATH DE number 635670 (Why is no real title available?)
- scientific article; zbMATH DE number 3313523 (Why is no real title available?)
- Lectures on the Mathematics of Finance
- On the fundamental theorem of asset pricing with an infinite state space
- Probability with Martingales
Cited in
(40)- Analytical valuation of catastrophe equity options with negative exponential jumps
- Valuation of catastrophe bonds
- Pricing catastrophe options with counterparty credit risk in a reduced form model
- Valuing catastrophe bonds involving correlation and CIR interest rate model
- Heterogeneous expectations and speculative behavior in insurance-linked securities
- Pricing and simulating catastrophe risk bonds in a Markov-dependent environment
- Pricing catastrophe bonds with multistage stochastic programming
- Shot-noise driven multivariate default models
- Valuation of contingent convertible catastrophe bonds -- the case for equity conversion
- Catastrophe risk bonds with applications to earthquakes
- Valuation of catastrophe reinsurance with catastrophe bonds
- Evaluation of credit value adjustment in K-forward
- Pricing catastrophe risk bonds: a mixed approximation method
- Catastrophe options with stochastic interest rates and compound Poisson losses
- Pricing and hedging catastrophe equity put options under a Markov-modulated jump diffusion model
- Mortality options: the point of view of an insurer
- Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds
- Pricing of catastrophe bond in fuzzy framework
- Sensitivity analysis of catastrophe bond price under the Hull-White interest rate model
- Learning about Risk: Some Lessons from Insurance
- Modelling and pricing of catastrophe risk bonds with a temperature-based agricultural application
- The optimal write-down coefficients in a percentage for a catastrophe bond
- PRICING IN AN INCOMPLETE MARKET WITH AN AFFINE TERM STRUCTURE
- Spread pricing model of catastrophe bonds based on the machine learning
- Market price of insurance risk implied by catastrophe derivatives
- Securitization of longevity risk in reverse mortgages
- Data breach CAT bonds: modeling and pricing
- Continuous-time model based on two Wiener processes for calculating insurance linked securities (ILS) underlying a catastrophic loss index
- A systematic and efficient simulation scheme for the Greeks of financial derivatives
- CAT bond pricing under a product probability measure with pot risk characterization
- On the Spanning Property of Risk Bonds Priced by Equilibrium
- Fair Value of Liabilities: The Financial Economics Perspective
- Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option
- Pricing catastrophe swaps: a contingent claims approach
- Fair valuations of insurance policies under multiple risk factors: a flexible lattice approach
- Pricing of insurance-linked securities: a multi-peril approach
- Catastrophe bond pricing under the renewal process
- A Bayesian valuation framework for catastrophe bonds
- Storm CAT Bond: Modeling and Valuation
- Indifference prices of structured catastrophe (CAT) bonds
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