Pricing catastrophe swaps: a contingent claims approach

DOI10.1016/j.insmatheco.2011.08.003zbMath1228.91065OpenAlexW1994064197MaRDI QIDQ654831

Alexander Braun

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

zbMATH Keywords

exploratory factor analysisdoubly stochastic Poisson processcatastrophe swapscontingent claims pricing approachcounterparty default riskfirst order autoregressive processimplied intensitiesmean-reverting Ornstein-Uhlenbeck intensity

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (10)

Catastrophe equity put options with target variance ⋮ Catastrophe option pricing with auto-correlated and catastrophe-dependent intensity ⋮ Irreversible reinsurance: a singular control approach ⋮ Equilibrium in natural catastrophe insurance market under disaster-resistant technologies, financial innovations and government interventions ⋮ CAT BOND PRICING UNDER A PRODUCT PROBABILITY MEASURE WITH POT RISK CHARACTERIZATION ⋮ Pricing industry loss warranties in a Lévy-Frailty framework ⋮ Valuation of contingent convertible catastrophe bonds -- the case for equity conversion ⋮ Catastrophic risks and the pricing of catastrophe equity put options ⋮ The exponentiated Fréchet regression: an alternative model for actuarial modelling purposes ⋮ Unnamed Item

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