Valuation of structured risk management products
From MaRDI portal
Publication:868322
DOI10.1016/j.insmatheco.2003.12.006zbMath1136.91477OpenAlexW1976954646MaRDI QIDQ868322
Hal W. Pedersen, Joseph R. Fairchild, S. H. jun. Cox
Publication date: 2 March 2007
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2003.12.006
real optionssecuritizationfinancial risk managementreinsuranceretentionoptions pricingalternative risk transfercatastrophe risk bondsfinite risk reinsurance
Related Items
A closed-form pricing formula for catastrophe equity options, Catastrophe equity put options with target variance, Pricing catastrophe options with counterparty credit risk in a reduced form model, Catastrophe option pricing with auto-correlated and catastrophe-dependent intensity, First passage time for compound Poisson processes with diffusion: ruin theoretical and financial applications, Explicit formula for the valuation of catastrophe put option with exponential jump and default risk, Utility indifference pricing of insurance catastrophe derivatives, Pricing catastrophe risk bonds: a mixed approximation method, Hedging processes for catastrophe options, Computing bounds on the expected payoff of Alternative Risk Transfer products, Pricing catastrophe swaps: a contingent claims approach, The valuation of contingent capital with catastrophe risks, Catastrophe risk management with counterparty risk using alternative instruments, Valuation of contingent convertible catastrophe bonds -- the case for equity conversion, Catastrophe options with stochastic interest rates and compound Poisson losses, Parallel option pricing with Fourier space time-stepping method on graphics processing units, Financial valuation of guaranteed minimum withdrawal benefits, Utility indifference pricing of derivatives written on industrial loss indices, Pricing and hedging catastrophe equity put options under a Markov-modulated jump diffusion model, Analytical valuation of catastrophe equity options with negative exponential jumps, Catastrophic risks and the pricing of catastrophe equity put options, Pricing perpetual American catastrophe put options: A penalty function approach
Cites Work
