Pricing catastrophe swaps: a contingent claims approach
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Cites work
- A Cox process with log-normal intensity.
- A theory of the term structure of interest rates
- Actuarial bridges to dynamic hedging and option pricing
- An equilibrium characterization of the term structure
- An index of factorial simplicity
- Catastrophe options with stochastic interest rates and compound Poisson losses
- Catastrophe Risk Bonds
- Catastrophe risk management with counterparty risk using alternative instruments
- First passage times of a jump diffusion process
- Heavy-Tailed Distributions: Properties and Tests
- scientific article; zbMATH DE number 1869203 (Why is no real title available?)
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- Indifference prices of structured catastrophe (CAT) bonds
- Market price of insurance risk implied by catastrophe derivatives
- Martingales and arbitrage in multiperiod securities markets
- Option pricing when underlying stock returns are discontinuous
- Pricing catastrophe insurance products based on actually reported claims
- Pricing catastrophe options in discrete operational time
- PRICING IN AN INCOMPLETE MARKET WITH AN AFFINE TERM STRUCTURE
- Pricing of catastrophe insurance options written on a loss index with reestimation
- Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
- Pricing of zero-coupon and coupon cat bonds
- Stochastic time changes in catastrophe option pricing
- Tax-Deductible Pre-Event Catastrophe Loss Reserves: The Case of Florida
- The pricing of options and corporate liabilities
- The value of the ‘swap’ feature in equity default swaps
- Valuation of catastrophe reinsurance with catastrophe bonds
- Valuation of structured risk management products
- Valuing catastrophe bonds by Monte Carlo simulations
Cited in
(17)- Pricing industry loss warranties in a Lévy-Frailty framework
- Catastrophic risks and the pricing of catastrophe equity put options
- Catastrophe option pricing with auto-correlated and catastrophe-dependent intensity
- Equilibrium in natural catastrophe insurance market under disaster-resistant technologies, financial innovations and government interventions
- Valuation of contingent convertible catastrophe bonds -- the case for equity conversion
- Catastrophe equity put options with target variance
- Irreversible reinsurance: a singular control approach
- Valuing clustering in catastrophe derivatives
- Pricing and hedging contingent claims using variance and higher order moment swaps
- Market price of insurance risk implied by catastrophe derivatives
- Continuous-time model based on two Wiener processes for calculating insurance linked securities (ILS) underlying a catastrophic loss index
- The exponentiated Fréchet regression: an alternative model for actuarial modelling purposes
- CAT bond pricing under a product probability measure with pot risk characterization
- The valuation of contingent capital with catastrophe risks
- Pricing of insurance-linked securities: a multi-peril approach
- Storm CAT Bond: Modeling and Valuation
- Pricing catastrophe risk during transitions of physical and economic environments
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