Pricing catastrophe bonds with multistage stochastic programming

DOI10.1007/S10287-017-0277-6zbMATH Open1406.90083OpenAlexW2612629407MaRDI QIDQ1789618FDOQ1789618

Nick Georgiopoulos

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

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zbMATH Keywords

stochastic programmingreinsurancecatastrophe bondsinsurance linked securities

Mathematics Subject Classification ID

Stochastic programming (90C15) Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

• Introduction to Stochastic Programming
• Title not available (Why is that?)
• 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
• Stochastic time changes in catastrophe option pricing
• Insurance risk and ruin.

Cited In (4)

• Pricing zero-coupon catastrophe bonds using EVT with doubly stochastic Poisson arrivals
• Title not available (Why is that?)
• Imprecise Approaches to Analysis of Insurance Portfolio with Catastrophe Bond
• Indifference prices of structured catastrophe (CAT) bonds

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