Pricing catastrophe swaps: a contingent claims approach

DOI10.1016/j.insmatheco.2011.08.003zbMath1228.91065MaRDI QIDQ654831

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

zbMATH Keywords

exploratory factor analysis; doubly stochastic Poisson process; catastrophe swaps; contingent claims pricing approach; counterparty default risk; first order autoregressive process; implied intensities; mean-reverting Ornstein-Uhlenbeck intensity

Mathematics Subject Classification ID

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

91G40: Credit risk

Related Items

Catastrophe equity put options with target variance

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