Pricing catastrophe insurance products based on actually reported claims
From MaRDI portal
Publication:5942777
DOI10.1016/S0167-6687(00)00047-0zbMath0994.91033WikidataQ127807945 ScholiaQ127807945MaRDI QIDQ5942777
Claus Vorm Christensen, Hanspeter Schmidli
Publication date: 10 October 2002
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
approximations; derivatives; expected utility; change of measure; catastrophe insurance; claims-process; insurance futures; mixed Poisson model
62P05: Applications of statistics to actuarial sciences and financial mathematics
Related Items
Modeling Catastrophes and their Impact on Insurance Portfolios, It's not now or never: implications of investment timing and risk aversion on climate adaptation to extreme events, Hedging processes for catastrophe options, Pricing catastrophe swaps: a contingent claims approach, Pricing of catastrophe insurance options written on a loss index with reestimation, Mortality options: the point of view of an insurer, A QUADRATIC HEDGING APPROACH TO COMPARISON OF CATASTROPHE INDICES
Cites Work