Valuation of catastrophe reinsurance with catastrophe bonds

DOI10.1016/j.insmatheco.2006.11.003zbMath1193.91067OpenAlexW2018368812MaRDI QIDQ2384452

Jin-Ping Lee, Min-Teh Yu

Publication date: 21 September 2007

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.11.003

zbMATH Keywords

default riskbasis riskcatastrophe bondscatastrophe riskReinsurancecontingent-claim analysis

Mathematics Subject Classification ID

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Cites Work

• Unnamed Item
• On the derivation of reinsurance premiums
• A Theory of the Term Structure of Interest Rates
• An equilibrium characterization of the term structure
• Option pricing when underlying stock returns are discontinuous
• Catastrophe Risk Bonds