Pricing of Reinsurance Contracts in the Presence of Catastrophe Bonds

DOI10.2143/AST.40.1.2049231zbMath1230.91074MaRDI QIDQ3569718

Vladimir K. Kaishev, Gareth G. Haslip

Publication date: 21 June 2010

Published in: ASTIN Bulletin (Search for Journal in Brave)

zbMATH Keywords

fast Fourier transformreinsurancecatastrophe bondssecuritisationrisk neutral valuationfractional fast Fourier transform

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for discrete and fast Fourier transforms (65T50)

Related Items (5)

Unnamed Item ⋮ MARKET VALUE MARGIN VIA MEAN–VARIANCE HEDGING ⋮ A characterization of martingale-equivalent mixed compound Poisson processes ⋮ Valuation of contingent convertible catastrophe bonds -- the case for equity conversion ⋮ A characterization of equivalent martingale measures in a renewal risk model with applications to premium calculation principles

Cites Work

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• A martingale approach to premium calculation principles in an arbitrage free market
• Reinsurance in arbitrage-free markets
• A general version of the fundamental theorem of asset pricing
• Financial Modelling with Jump Processes
• Computation of Gauss-Kronrod quadrature rules

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