Pricing catastrophe risk in life (re)insurance

DOI10.1080/03461238.2012.695747zbMath1401.91134OpenAlexW1975689413MaRDI QIDQ4576857

Erland Ekheden, Ola G. Hössjer

Publication date: 11 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2012.695747

zbMATH Keywords

Solvency IIinternal modelscatastrophe modelCat XLcatastrophe datacatastrophe excess of losslife reinsurancePOT-model

Mathematics Subject Classification ID

Related Items (4)

Valuing multirisk catastrophe reinsurance based on the Cox-Ingersoll-Ross (CIR) model ⋮ Modeling catastrophic deaths using EVT with a microsimulation approach to reinsurance pricing ⋮ Berry-Esseen bounds for compound-Poisson loss percentiles ⋮ An efficient algorithm for pricing reinsurance contract under the regime-switching model

Cites Work

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