A quadratic hedging approach to comparison of catastrophe indices

DOI10.1142/S0219024912500306MaRDI QIDQ2909516zbMATH OpenFDO

Authors Ragnar Norberg, Oksana Savina

Publication date 30 August 2012

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

zbMATH Keywords

doubly stochastic Poisson processmean-variance hedgingcatastrophe insurancedesign of derivatives

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 2006037 (Why is no real title available?)
• 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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