Pricing of reinsurance contracts in the presence of catastrophe bonds

DOI10.2143/AST.40.1.2049231MaRDI QIDQ3569718zbMATH OpenFDO

Authors Gareth G. Haslip, Vladimir K. Kaishev

Publication date 21 June 2010

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2143/AST.40.1.2049231

zbMATH Keywords

fast Fourier transformreinsurancecatastrophe bondssecuritisationrisk neutral valuationfractional fast Fourier transform

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for discrete and fast Fourier transforms (65T50)

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Cites work

• scientific article; zbMATH DE number 41029 (Why is no real title available?)
• scientific article; zbMATH DE number 947803 (Why is no real title available?)
• scientific article; zbMATH DE number 2122817 (Why is no real title available?)
• scientific article; zbMATH DE number 3406266 (Why is no real title available?)
• A general version of the fundamental theorem of asset pricing
• A martingale approach to premium calculation principles in an arbitrage free market
• Computation of Gauss-Kronrod quadrature rules
• Financial Modelling with Jump Processes
• Reinsurance in arbitrage-free markets

Cited in

(17)

• Indifference pricing of reinsurance with reinstatements using coherent monetary criteria
• Risk measure and premium distribution on catastrophe reinsurance
• Computing bounds on the expected payoff of Alternative Risk Transfer products
• Market value margin via mean-variance hedging
• Valuation of catastrophe reinsurance with catastrophe bonds
• Securitization of motor insurance loss rate risks
• Pricing of insurance-linked securities: a multi-peril approach
• Reinsurance pricing research by means of time-risk discounted method
• Pricing catastrophe insurance products based on actually reported claims
• Valuation of contingent convertible catastrophe bonds -- the case for equity conversion
• Imprecise Approaches to Analysis of Insurance Portfolio with Catastrophe Bond
• Catastrophe insurance derivatives pricing using a Cox process with jump diffusion CIR intensity
• scientific article; zbMATH DE number 7662452 (Why is no real title available?)
• Modeling catastrophic deaths using EVT with a microsimulation approach to reinsurance pricing
• Indifference prices of structured catastrophe (CAT) bonds
• A characterization of martingale-equivalent mixed compound Poisson processes
• A characterization of equivalent martingale measures in a renewal risk model with applications to premium calculation principles

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