Pricing of reinsurance contracts in the presence of catastrophe bonds
DOI10.2143/AST.40.1.2049231zbMATH Open1230.91074MaRDI QIDQ3569718FDOQ3569718
Authors: Gareth G. Haslip, Vladimir K. Kaishev 
Publication date: 21 June 2010
Published in: ASTIN Bulletin (Search for Journal in Brave)
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fast Fourier transformreinsurancecatastrophe bondssecuritisationrisk neutral valuationfractional fast Fourier transform
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for discrete and fast Fourier transforms (65T50)
Cites Work
- Financial Modelling with Jump Processes
- A general version of the fundamental theorem of asset pricing
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- Computation of Gauss-Kronrod quadrature rules
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- A martingale approach to premium calculation principles in an arbitrage free market
- Reinsurance in arbitrage-free markets
Cited In (12)
- 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
- Title not available (Why is that?)
- MARKET VALUE MARGIN VIA MEAN–VARIANCE HEDGING
- 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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