scientific article; zbMATH DE number 7413573
From MaRDI portal
Publication:5158536
zbMath1476.91129MaRDI QIDQ5158536
Publication date: 25 October 2021
Full work available at URL: http://archives-web.univ-paris1.fr/rev-inv-ope/fileadmin/rev-inv-ope/files/39228/39218-01.pdf
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Wiener processinsurance-linked securitiesincurred-but-not-yet-reported loss amountreported loss amount
Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Actuarial mathematics (91G05)
Cites Work
- Pricing catastrophe swaps: a contingent claims approach
- Pricing of catastrophe insurance options written on a loss index with reestimation
- Indifference prices of structured catastrophe (CAT) bonds
- Analytical valuation of catastrophe equity options with negative exponential jumps
- Stochastic time changes in catastrophe option pricing
- Pricing and simulations of catastrophe bonds
- Catastrophe equity put options with target variance
- Pricing catastrophe risk bonds: a mixed approximation method
- Catastrophe options with stochastic interest rates and compound Poisson losses
- Pricing of zero-coupon and coupon cat bonds
- Catastrophe Risk Bonds
This page was built for publication:
