Pricing perpetual American catastrophe put options: A penalty function approach (Q1017770)
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scientific article; zbMATH DE number 5553079
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing perpetual American catastrophe put options: A penalty function approach |
scientific article; zbMATH DE number 5553079 |
Statements
Pricing perpetual American catastrophe put options: A penalty function approach (English)
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12 May 2009
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catastrophe equity put option
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compound Poisson losses
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PCS index
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mixture of Erlang distributions
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surplus process
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ruin theory
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0.88902986
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0.8888599
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0.88428605
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0.88402265
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0.87735057
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0.87728715
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0.8745227
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0.87367845
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