Valuation of structured risk management products

DOI10.1016/J.INSMATHECO.2003.12.006MaRDI QIDQ868322zbMATH OpenOpenAlexFDO

Authors Joseph R. Fairchild, Hal W. Pedersen, S. H. jun. Cox

Publication date 2 March 2007

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2003.12.006

zbMATH Keywords

real optionsreinsurancefinancial risk managementsecuritizationretentionoptions pricingalternative risk transfercatastrophe risk bondsfinite risk reinsurance

Mathematics Subject Classification ID

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• Catastrophe options with stochastic interest rates and compound Poisson losses
• Utility indifference pricing of insurance catastrophe derivatives
• Hedging processes for catastrophe options
• First passage time for compound Poisson processes with diffusion: ruin theoretical and financial applications
• Financial valuation of guaranteed minimum withdrawal benefits
• Catastrophe option pricing with auto-correlated and catastrophe-dependent intensity
• Utility indifference pricing of derivatives written on industrial loss indices
• Explicit formula for the valuation of catastrophe put option with exponential jump and default risk
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• Valuation of contingent convertible catastrophe bonds -- the case for equity conversion
• Inverse problems to estimate market price of risk in catastrophe bonds
• Pricing catastrophe options with counterparty credit risk in a reduced form model
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• Pricing catastrophe swaps: a contingent claims approach
• The valuation of contingent capital with catastrophe risks
• Catastrophe equity put options with target variance
• Pricing and hedging catastrophe equity put options under a Markov-modulated jump diffusion model

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