Pricing of Catastrophe Insurance Options Under Immediate Loss Reestimation (Q3535640)
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scientific article; zbMATH DE number 5365535
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| English | Pricing of Catastrophe Insurance Options Under Immediate Loss Reestimation |
scientific article; zbMATH DE number 5365535 |
Statements
Pricing of Catastrophe Insurance Options Under Immediate Loss Reestimation (English)
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13 November 2008
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catastrophe insurance option
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loss index
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Fourier transform
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option pricing formula
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heavy tail
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positive affine martingale
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0.9155017733573914
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0.8092476725578308
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0.8081960678100586
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0.8076465129852295
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0.804821252822876
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