Stochastic time changes in catastrophe option pricing (Q1381450)
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scientific article; zbMATH DE number 1129604
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic time changes in catastrophe option pricing |
scientific article; zbMATH DE number 1129604 |
Statements
Stochastic time changes in catastrophe option pricing (English)
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17 March 1998
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layers of reinsurance
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insurance markets completeness
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Poisson-diffusion model
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stochastic time change
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catastrophe insurance derivatives
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dynamics of the aggregate claim index
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geometric Brownian motion
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