Catastrophe Risk Bonds

DOI10.1080/10920277.2000.10595938zbMath1083.91534OpenAlexW1583773316MaRDI QIDQ5718133

Hal W. Pedersen, S. H. jun. Cox

Publication date: 13 January 2006

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

Full work available at URL: https://doi.org/10.1080/10920277.2000.10595938

Mathematics Subject Classification ID

Related Items (30)

Pricing catastrophe options with counterparty credit risk in a reduced form model ⋮ Valuation of catastrophe reinsurance with catastrophe bonds ⋮ Modelling and pricing of catastrophe risk bonds with a temperature-based agricultural application ⋮ Valuing catastrophe bonds involving correlation and CIR interest rate model ⋮ The Optimal Write-Down Coefficients in a Percentage for a Catastrophe Bond ⋮ Mortality options: the point of view of an insurer ⋮ Evaluation of credit value adjustment in K-forward ⋮ Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds ⋮ Shot-noise driven multivariate default models ⋮ Sensitivity Analysis of Catastrophe Bond Price Under the Hull–White Interest Rate Model ⋮ Pricing catastrophe risk bonds: a mixed approximation method ⋮ CAT BOND PRICING UNDER A PRODUCT PROBABILITY MEASURE WITH POT RISK CHARACTERIZATION ⋮ Heterogeneous expectations and speculative behavior in insurance-linked securities ⋮ Pricing catastrophe swaps: a contingent claims approach ⋮ Pricing and simulating catastrophe risk bonds in a Markov-dependent environment ⋮ Fair Value of Liabilities: The Financial Economics Perspective ⋮ Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option ⋮ PRICING IN AN INCOMPLETE MARKET WITH AN AFFINE TERM STRUCTURE ⋮ Valuation of contingent convertible catastrophe bonds -- the case for equity conversion ⋮ Catastrophe options with stochastic interest rates and compound Poisson losses ⋮ Indifference prices of structured catastrophe (CAT) bonds ⋮ Pricing and hedging catastrophe equity put options under a Markov-modulated jump diffusion model ⋮ Analytical valuation of catastrophe equity options with negative exponential jumps ⋮ Pricing of Catastrophe Bond in Fuzzy Framework ⋮ A systematic and efficient simulation scheme for the Greeks of financial derivatives ⋮ Unnamed Item ⋮ Market Price of Insurance Risk Implied by Catastrophe Derivatives ⋮ Securitization of Longevity Risk in Reverse Mortgages ⋮ Data Breach CAT Bonds: Modeling and Pricing ⋮ Catastrophe risk bonds with applications to earthquakes

Cites Work

• On the fundamental theorem of asset pricing with an infinite state space
• Estimating the Value of the Wincat Coupons of the Winterthur Insurance Convertible Bond: A Study of the Model Risk
• Probability with Martingales
• Lectures on the Mathematics of Finance
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