Pricing catastrophe bonds with multistage stochastic programming
From MaRDI portal
Publication:1789618
DOI10.1007/S10287-017-0277-6zbMath1406.90083OpenAlexW2612629407MaRDI QIDQ1789618
Publication date: 10 October 2018
Published in: Computational Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10287-017-0277-6
Cites Work
- Stochastic time changes in catastrophe option pricing
- Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
- Optimization Approaches to Multiplicative Tariff of Rates Estimation in Non-Life Insurance
- Introduction to Stochastic Programming
- Unnamed Item
- Unnamed Item
This page was built for publication: Pricing catastrophe bonds with multistage stochastic programming