Pricing of insurance-linked securities: a multi-peril approach

DOI10.1186/S13362-024-00154-9MaRDI QIDQ6617850

Martyna Zdeb, Krzysztof Burnecki, Marek Teuerle

Publication date: 11 October 2024

Published in: Journal of Mathematics in Industry (Search for Journal in Brave)

zbMATH Keywords

risk managementcatastrophe bondmultiple perilsarbitrage-free priceinsurance-linked security

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial mathematics (91G05)

Cites Work

• Title not available (Why is that?)
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• Modelling catastrophe claims with left-truncated severity distributions
• Catastrophe options with stochastic interest rates and compound Poisson losses
• Structured reinsurance deals with reference to relative market performance
• Pricing of Reinsurance Contracts in the Presence of Catastrophe Bonds
• Modeling Earthquake Risk via Extreme Value Theory and Pricing the Respective Catastrophe Bonds
• Pricing of zero-coupon and coupon cat bonds
• Option pricing when underlying stock returns are discontinuous
• Catastrophe Risk Bonds

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