Pricing catastrophe swaps: a contingent claims approach (Q654831)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Pricing catastrophe swaps: a contingent claims approach |
scientific article; zbMATH DE number 5991263
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Pricing catastrophe swaps: a contingent claims approach |
scientific article; zbMATH DE number 5991263 |
Statements
Pricing catastrophe swaps: a contingent claims approach (English)
0 references
21 December 2011
0 references
catastrophe swaps
0 references
contingent claims pricing approach
0 references
doubly stochastic Poisson process
0 references
mean-reverting Ornstein-Uhlenbeck intensity
0 references
counterparty default risk
0 references
implied intensities
0 references
exploratory factor analysis
0 references
first order autoregressive process
0 references
0 references
0.8081357479095459
0 references
0.782672643661499
0 references
0.7796077728271484
0 references
0.7768784165382385
0 references
0.7736386656761169
0 references
