A quadratic hedging approach to comparison of catastrophe indices

DOI10.1142/S0219024912500306zbMATH Open1246.91136MaRDI QIDQ2909516FDOQ2909516

Authors: Ragnar Norberg, Oksana Savina 

Publication date: 30 August 2012

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

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zbMATH Keywords

doubly stochastic Poisson processmean-variance hedgingcatastrophe insurancedesign of derivatives

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Bond Market Structure in the Presence of Marked Point Processes
• Inf-convolution of risk measures and optimal risk transfer
• Pricing catastrophe insurance products based on actually reported claims

Cited In (5)

• Hedging processes for catastrophe options
• Quadratic hedging: an actuarial view extended to solvency control
• Ragnar Norberg (1945–2017): an actuary of a unique kind
• Extended reduced-form framework for non-life insurance
• Market price of insurance risk implied by catastrophe derivatives

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