Pricing industry loss warranties in a Lévy-Frailty framework

DOI10.1016/j.insmatheco.2019.09.008zbMath1427.91219OpenAlexW2879975618MaRDI QIDQ2010906

Alexander Braun, Simone Beer, Andrin Marugg

Publication date: 28 November 2019

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2019.09.008

zbMATH Keywords

stochastic time changerisk-neutral valuationnatural catastrophe riskindustry loss warrantiesLévy-Frailty model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial mathematics (91G05)

Related Items

Equilibrium in natural catastrophe insurance market under disaster-resistant technologies, financial innovations and government interventions

Cites Work

• Pricing catastrophe swaps: a contingent claims approach
• Differential evolution. A practical approach to global optimization. With CD-ROM.
• Lévy-frailty copulas
• Stochastic time changes in catastrophe option pricing
• Pricing catastrophe options in discrete operational time
• Pricing CDOs with state-dependent stochastic recovery rates
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling
• A TRACTABLE MULTIVARIATE DEFAULT MODEL BASED ON A STOCHASTIC TIME-CHANGE
• A Multivariate Exponential Distribution