An Option-Based Operational Risk Management Model for Pandemics

DOI10.1080/10920277.2009.10597540zbMath1483.91057WikidataQ113278141 ScholiaQ113278141MaRDI QIDQ5029056

Hua Chen, S. H. jun. Cox

Publication date: 11 February 2022

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2009.10597540

Mathematics Subject Classification ID

92D30: Epidemiology

90C39: Dynamic programming

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

91B05: Risk models (general)

Uses Software

• CompEcon