Catastrophe risk management with counterparty risk using alternative instruments

DOI10.1016/j.insmatheco.2010.04.002zbMath1231.91252OpenAlexW2028666503MaRDI QIDQ661243

San-Lin Chung, Yang-Che Wu

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.04.002

zbMATH Keywords

catastrophe reinsurance contractscatastrophe riskcatastrophe-linked instruments

Mathematics Subject Classification ID

Related Items (4)

Catastrophe equity put options with target variance ⋮ Equilibrium in natural catastrophe insurance market under disaster-resistant technologies, financial innovations and government interventions ⋮ Pricing catastrophe swaps: a contingent claims approach ⋮ Reexamining the feasibility of diversification and transfer instruments on smoothing catastrophe risk

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• The total claims distribution under inflationary conditions
• An equilibrium characterization of the term structure
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Moments of compound renewal sums with discounted claims

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