A QUADRATIC HEDGING APPROACH TO COMPARISON OF CATASTROPHE INDICES

DOI10.1142/S0219024912500306zbMath1246.91136MaRDI QIDQ2909516

Oksana Savina, Ragnar Norberg

Publication date: 30 August 2012

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

catastrophe insurancedoubly stochastic Poisson processmean-variance hedgingdesign of derivatives

Mathematics Subject Classification ID

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

Related Items (3)

Extended reduced-form framework for non-life insurance ⋮ Quadratic hedging: an actuarial view extended to solvency control ⋮ Ragnar Norberg (1945–2017): an actuary of a unique kind

Cites Work

• Unnamed Item
• Inf-convolution of risk measures and optimal risk transfer
• Bond Market Structure in the Presence of Marked Point Processes
• Pricing catastrophe insurance products based on actually reported claims

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