Catastrophic risks and the pricing of catastrophe equity put options

DOI10.1007/s10287-021-00391-yOpenAlexW3137630945MaRDI QIDQ2051160

Gian Luca Tassinari, Anna Grazia Quaranta, Michele Leonardo Bianchi, Massimo Arnone

Publication date: 24 November 2021

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-021-00391-y

zbMATH Keywords

compound Poissonvariance gammacatastrophe equity put optionsdouble-calibration

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Related Items (1)

A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment

Cites Work

• Pricing catastrophe swaps: a contingent claims approach
• Valuation of structured risk management products
• Analytical valuation of catastrophe equity options with negative exponential jumps
• Pricing perpetual American catastrophe put options: A penalty function approach
• Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
• Valuation of contingent convertible catastrophe bonds -- the case for equity conversion
• Catastrophe equity put options with target variance
• Catastrophe options with stochastic interest rates and compound Poisson losses
• CALIBRATING THE SMILE WITH MULTIVARIATE TIME-CHANGED BROWNIAN MOTION AND THE ESSCHER TRANSFORM
• SELF-DECOMPOSABILITY AND OPTION PRICING
• Forward-looking portfolio selection with multivariate non-Gaussian models
• On the Time Value of Ruin

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