CATASTROPHE INSURANCE DERIVATIVES PRICING USING A COX PROCESS WITH JUMP DIFFUSION CIR INTENSITY

DOI10.1142/S0219024918500413zbMath1417.91273MaRDI QIDQ4555851

Hyun Jin Jang, Jong Jun Park, Ji-Wook Jang

Publication date: 23 November 2018

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

Full work available at URL: https://doi.org/10.1142/s0219024918500413

zbMATH Keywords

Laplace transform; characteristic function; Cox process; insurance derivatives; integrated jump diffusion CIR process

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

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

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Finite-time expected present value of operating costs until ruin in a Cox risk model with periodic observation

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