Pricing catastrophe swaps: a contingent claims approach (Q654831)
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scientific article; zbMATH DE number 5991263
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing catastrophe swaps: a contingent claims approach |
scientific article; zbMATH DE number 5991263 |
Statements
Pricing catastrophe swaps: a contingent claims approach (English)
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21 December 2011
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catastrophe swaps
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contingent claims pricing approach
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doubly stochastic Poisson process
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mean-reverting Ornstein-Uhlenbeck intensity
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counterparty default risk
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implied intensities
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exploratory factor analysis
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first order autoregressive process
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