Catastrophe options with stochastic interest rates and compound Poisson losses
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Publication:2499827
DOI10.1016/j.insmatheco.2005.11.008zbMath1168.91388OpenAlexW2029091905MaRDI 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
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
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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
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