Stochastic time changes in catastrophe option pricing
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Publication:1381450
DOI10.1016/S0167-6687(97)00017-6zbMath0894.90046MaRDI QIDQ1381450
Publication date: 17 March 1998
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
geometric Brownian motionstochastic time changecatastrophe insurance derivativesdynamics of the aggregate claim indexinsurance markets completenesslayers of reinsurancePoisson-diffusion model
Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (17)
Utility indifference pricing of insurance catastrophe derivatives ⋮ Sensitivity Analysis of Catastrophe Bond Price Under the Hull–White Interest Rate Model ⋮ Unnamed Item ⋮ Hedging processes for catastrophe options ⋮ Pricing catastrophe swaps: a contingent claims approach ⋮ Reexamining the feasibility of diversification and transfer instruments on smoothing catastrophe risk ⋮ Modeling financial reinsurance in the casualty insurance business via stochastic programming ⋮ Ein Modell zur Bewertung von PCS-Optionen ⋮ Pricing industry loss warranties in a Lévy-Frailty framework ⋮ Pricing catastrophe bonds with multistage stochastic programming ⋮ Indifference prices of structured catastrophe (CAT) bonds ⋮ Utility indifference pricing of derivatives written on industrial loss indices ⋮ Pricing catastrophe options in discrete operational time ⋮ PARTIAL EQUILIBRIUM AND MARKET COMPLETION ⋮ A characterization of equivalent martingale measures in a renewal risk model with applications to premium calculation principles ⋮ Unnamed Item ⋮ Market Price of Insurance Risk Implied by Catastrophe Derivatives
Cites Work
- Optimal portfolio for a small investor in a market model with discontinuous prices
- A martingale approach to premium calculation principles in an arbitrage free market
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- Loi de l'indice du lacet Brownien, et distribution de Hartman-Watson
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
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