Pricing catastrophe swaps: a contingent claims approach
DOI10.1016/J.INSMATHECO.2011.08.003zbMATH Open1228.91065OpenAlexW1994064197MaRDI QIDQ654831FDOQ654831
Authors: Alexander Braun 
Publication date: 21 December 2011
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.08.003
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exploratory factor analysisdoubly stochastic Poisson processcatastrophe swapscontingent claims pricing approachcounterparty default riskfirst order autoregressive processimplied intensitiesmean-reverting Ornstein-Uhlenbeck intensity
Cites Work
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Cited In (15)
- Pricing industry loss warranties in a Lévy-Frailty framework
- Catastrophic risks and the pricing of catastrophe equity put options
- Equilibrium in natural catastrophe insurance market under disaster-resistant technologies, financial innovations and government interventions
- Valuing clustering in catastrophe derivatives
- Pricing of insurance-linked securities: a multi-peril approach
- CAT bond pricing under a product probability measure with pot risk characterization
- Catastrophe option pricing with auto-correlated and catastrophe-dependent intensity
- Irreversible reinsurance: a singular control approach
- Valuation of contingent convertible catastrophe bonds -- the case for equity conversion
- Catastrophe equity put options with target variance
- The valuation of contingent capital with catastrophe risks
- Market price of insurance risk implied by catastrophe derivatives
- The exponentiated Fréchet regression: an alternative model for actuarial modelling purposes
- Continuous-time model based on two Wiener processes for calculating insurance linked securities (ILS) underlying a catastrophic loss index
- Pricing and hedging contingent claims using variance and higher order moment swaps
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