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

alternative risk transfercatastrophe risk bondsfinancial risk managementfinite risk reinsuranceoptions pricingreal optionsreinsuranceretentionsecuritization

Mathematics Subject Classification ID

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• Utility indifference pricing of insurance catastrophe derivatives
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• Catastrophe option pricing with auto-correlated and catastrophe-dependent intensity
• Valuation of contingent convertible catastrophe bonds -- the case for equity conversion
• Catastrophe equity put options with target variance
• Pricing catastrophe risk bonds: a mixed approximation method
• Computing bounds on the expected payoff of Alternative Risk Transfer products
• Catastrophe options with stochastic interest rates and compound Poisson losses
• Financial valuation of guaranteed minimum withdrawal benefits
• Pricing and hedging catastrophe equity put options under a Markov-modulated jump diffusion model
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• Hedging processes for catastrophe options
• First passage time for compound Poisson processes with diffusion: ruin theoretical and financial applications
• A closed-form pricing formula for catastrophe equity options
• Utility indifference pricing of derivatives written on industrial loss indices
• Pricing catastrophe equity put options in a mixed fractional Brownian motion environment
• Pricing catastrophe swaps: a contingent claims approach
• The valuation of contingent capital with catastrophe risks
• Catastrophe risk management with counterparty risk using alternative instruments
• Inverse problems to estimate market price of risk in catastrophe bonds
• Parallel option pricing with Fourier space time-stepping method on graphics processing units

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