Pricing industry loss warranties in a Lévy-Frailty framework

DOI10.1016/J.INSMATHECO.2019.09.008MaRDI QIDQ2010906zbMATH OpenOpenAlexFDO

Authors Simone Beer, Alexander Braun, 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

zbMATH Keywords

risk-neutral valuationnatural catastrophe riskstochastic time changeindustry loss warrantiesLévy-Frailty model

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A Multivariate Exponential Distribution
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• A TRACTABLE MULTIVARIATE DEFAULT MODEL BASED ON A STOCHASTIC TIME-CHANGE
• Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling
• Differential evolution. A practical approach to global optimization. With CD-ROM.
• Lévy-frailty copulas
• Pricing CDOs with state-dependent stochastic recovery rates
• Pricing catastrophe options in discrete operational time
• Pricing catastrophe swaps: a contingent claims approach
• Stochastic time changes in catastrophe option pricing

Cited in

(2)

• Equilibrium in natural catastrophe insurance market under disaster-resistant technologies, financial innovations and government interventions
• From calendar time to business time: the case of commodity markets

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