Valuing clustering in catastrophe derivatives
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Publication:2879024
DOI10.1080/14697688.2013.799775zbMath1294.91077OpenAlexW2033738368MaRDI QIDQ2879024
Sebastian Jaimungal, Yuxiang Chong
Publication date: 5 September 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2013.799775
Lévy processcomputational financeactuarial sciencepricing of derivative securitiesinsurance related products
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Related Items (4)
Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds ⋮ Pricing and simulating catastrophe risk bonds in a Markov-dependent environment ⋮ Utility indifference pricing of derivatives written on industrial loss indices ⋮ Pricing zero-coupon catastrophe bonds using EVT with doubly stochastic Poisson arrivals
Cites Work
- Modelling security market events in continuous time: intensity based, multivariate point process models
- Option pricing for pure jump processes with Markov switching compensators
- Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
- Two singular diffusion problems
- AMERICAN OPTIONS WITH REGIME SWITCHING
- Spectra of some self-exciting and mutually exciting point processes
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