Market Price of Insurance Risk Implied by Catastrophe Derivatives

DOI10.1080/10920277.2008.10597518zbMath1481.91181OpenAlexW2052280122MaRDI QIDQ5022541

Alexander Muermann

Publication date: 19 January 2022

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2008.10597518

Mathematics Subject Classification ID

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

Related Items (8)

It's not now or never: implications of investment timing and risk aversion on climate adaptation to extreme events ⋮ Evaluation of Portfolio of Financial and Insurance Instruments: Simulation of Uncertainty ⋮ Valuing catastrophe bonds involving correlation and CIR interest rate model ⋮ Utility indifference pricing of insurance catastrophe derivatives ⋮ Catastrophe bond pricing for the two-factor Vasicek interest rate model with automatized fuzzy decision making ⋮ CAT BOND PRICING UNDER A PRODUCT PROBABILITY MEASURE WITH POT RISK CHARACTERIZATION ⋮ Pricing catastrophe swaps: a contingent claims approach ⋮ Pricing of Catastrophe Bond in Fuzzy Framework

Cites Work

• Unnamed Item
• A martingale approach to premium calculation principles in an arbitrage free market
• Stochastic time changes in catastrophe option pricing
• Hedging strategies using catastrophe insurance options
• The mathematics of arbitrage
• On Esscher Transforms in Discrete Finance Models
• Modeling Catastrophes and their Impact on Insurance Portfolios
• Catastrophe Risk Bonds

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