Catastrophe options with stochastic interest rates and compound Poisson losses
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Publication:2499827
DOI10.1016/j.insmatheco.2005.11.008zbMath1168.91388MaRDI QIDQ2499827
Publication date: 14 August 2006
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.11.008
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G30: Interest rates, asset pricing, etc. (stochastic models)
91G20: Derivative securities (option pricing, hedging, etc.)
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Cites Work
- Valuation of structured risk management products
- Martingales and stochastic integrals in the theory of continuous trading
- Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
- Option pricing when underlying stock returns are discontinuous
- Catastrophe Risk Bonds
- Extreme Value Theory as a Risk Management Tool
