Pricing industry loss warranties in a Lévy-Frailty framework
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Publication:2010906
DOI10.1016/J.INSMATHECO.2019.09.008zbMATH Open1427.91219OpenAlexW2879975618MaRDI QIDQ2010906FDOQ2010906
Alexander Braun, Simone Beer, Andrin Marugg
Publication date: 28 November 2019
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2019.09.008
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risk-neutral valuationnatural catastrophe riskstochastic time changeindustry loss warrantiesLévy-Frailty model
Cites Work
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling
- A Multivariate Exponential Distribution
- Lévy-frailty copulas
- Differential evolution. A practical approach to global optimization. With CD-ROM.
- Stochastic time changes in catastrophe option pricing
- Pricing CDOs with state-dependent stochastic recovery rates
- Pricing catastrophe options in discrete operational time
- Pricing catastrophe swaps: a contingent claims approach
- A TRACTABLE MULTIVARIATE DEFAULT MODEL BASED ON A STOCHASTIC TIME-CHANGE
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