Pricing catastrophe swaps: a contingent claims approach
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Publication:654831
DOI10.1016/j.insmatheco.2011.08.003zbMath1228.91065OpenAlexW1994064197MaRDI QIDQ654831
Publication date: 21 December 2011
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.08.003
exploratory factor analysisdoubly stochastic Poisson processcatastrophe swapscontingent claims pricing approachcounterparty default riskfirst order autoregressive processimplied intensitiesmean-reverting Ornstein-Uhlenbeck intensity
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