Valuation of structured risk management products

DOI10.1016/J.INSMATHECO.2003.12.006zbMATH Open1136.91477OpenAlexW1976954646MaRDI QIDQ868322FDOQ868322

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

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zbMATH Keywords

real optionsreinsurancefinancial risk managementsecuritizationretentionoptions pricingalternative risk transfercatastrophe risk bondsfinite risk reinsurance

Mathematics Subject Classification ID

Cites Work

• Title not available (Why is that?)

Cited In (25)

• Analytical valuation of catastrophe equity options with negative exponential jumps
• Pricing perpetual American catastrophe put options: A penalty function approach
• Catastrophic risks and the pricing of catastrophe equity put options
• Computing bounds on the expected payoff of Alternative Risk Transfer products
• Parallel option pricing with Fourier space time-stepping method on graphics processing units
• Pricing catastrophe equity put options in a mixed fractional Brownian motion environment
• A closed-form pricing formula for catastrophe equity options
• Pricing catastrophe risk bonds: a mixed approximation method
• 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
• Title not available (Why is that?)
• 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
• Catastrophe risk management with counterparty risk using alternative instruments
• Pricing catastrophe swaps: a contingent claims approach
• Catastrophe equity put options with target variance
• The valuation of contingent capital with catastrophe risks
• Pricing and hedging catastrophe equity put options under a Markov-modulated jump diffusion model

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