Pricing of Catastrophe Insurance Options Under Immediate Loss Reestimation

DOI10.1239/JAP/1222441832MaRDI QIDQ3535640zbMATHOpenAlexFDO

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

zbMATH Keywords

Fourier transformheavy tailoption pricing formulaloss indexcatastrophe insurance optionpositive affine martingale

Mathematics Subject Classification ID

Applications of functional analysis in probability theory and statistics (46N30) General theory of stochastic processes (60G07)

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Cites work

• scientific article; zbMATH DE number 1249326 (Why is no real title available?)
• scientific article; zbMATH DE number 3383360 (Why is no real title available?)
• A general characterization of one factor affine term structure models
• Affine processes and applications in finance
• Analysis 2
• On lognormal random variables: I-the characteristic function
• On the Lambert \(w\) function
• Pricing of Catastrophe Insurance Options Under Immediate Loss Reestimation
• Semimartingales and Markov processes
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(8)

• Pricing catastrophe insurance products based on actually reported claims
• Pricing of catastrophe insurance options written on a loss index with reestimation
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• Pricing of Catastrophe Insurance Options Under Immediate Loss Reestimation
• Pricing catastrophe options in discrete operational time
• Utility indifference pricing of insurance catastrophe derivatives
• Exponential martingale method to pricing of property claim services option
• Pricing of American catastrophe disaster insurance futures options with martingale method

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