Pricing of Catastrophe Insurance Options Under Immediate Loss Reestimation

DOI10.1239/jap/1222441832zbMath1148.91024OpenAlexW2075871902MaRDI QIDQ3535640

Francesca Biagini, Yuliya Bregman, Thilo Meyer-Brandis

Publication date: 13 November 2008

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1222441832

zbMATH Keywords

Fourier transformheavy tailoption pricing formulaloss indexcatastrophe insurance optionpositive affine martingale

Mathematics Subject Classification ID

General theory of stochastic processes (60G07) Applications of functional analysis in probability theory and statistics (46N30)

Related Items

Pricing of Catastrophe Insurance Options Under Immediate Loss Reestimation ⋮ Pricing of catastrophe insurance options written on a loss index with reestimation

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• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Analysis 2
• A general characterization of one factor affine term structure models

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