Pricing of Catastrophe Insurance Options Under Immediate Loss Reestimation
DOI10.1239/JAP/1222441832zbMATH Open1148.91024OpenAlexW2075871902MaRDI QIDQ3535640FDOQ3535640
Authors: Francesca Biagini, Yuliya Bregman, Thilo Meyer-Brandis 
Publication date: 13 November 2008
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/jap/1222441832
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Fourier transformheavy tailoption pricing formulaloss indexcatastrophe insurance optionpositive affine martingale
Applications of functional analysis in probability theory and statistics (46N30) General theory of stochastic processes (60G07)
Cites Work
- On the Lambert \(w\) function
- Affine processes and applications in finance
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Title not available (Why is that?)
- A general characterization of one factor affine term structure models
- On lognormal random variables: I-the characteristic function
- Semimartingales and Markov processes
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- Pricing of Catastrophe Insurance Options Under Immediate Loss Reestimation
- Analysis 2
Cited In (7)
- Pricing catastrophe options in discrete operational time
- Ein Modell zur Bewertung von PCS-Optionen
- Exponential martingale method to pricing of property claim services option
- Utility indifference pricing of insurance catastrophe derivatives
- Pricing catastrophe insurance products based on actually reported claims
- Pricing of Catastrophe Insurance Options Under Immediate Loss Reestimation
- Pricing of catastrophe insurance options written on a loss index with reestimation
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