Pricing of catastrophe insurance options written on a loss index with reestimation

DOI10.1016/J.INSMATHECO.2008.05.016zbMath1189.91067OpenAlexW2063669318MaRDI QIDQ974805

Thilo Meyer-Brandis, Yuliya Bregman, Francesca Biagini

Publication date: 8 June 2010

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.05.016

zbMATH Keywords

Fourier transformheavy tailsoption pricing formulascatastrophe insurance optionsloss index

Mathematics Subject Classification ID

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

Related Items (6)

FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS ⋮ Catastrophe equity put options with target variance ⋮ Unbiased Simulation of Distributions with Explicitly Known Integral Transforms ⋮ Pricing catastrophe swaps: a contingent claims approach ⋮ Multivariate Lévy processes with dependent jump intensity ⋮ Unnamed Item

Cites Work

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• Subexponential distributions and characterizations of related classes
• Optimal portfolios for exponential Lévy processes.
• Ruin probabilities and overshoots for general Lévy insurance risk processes
• Pricing of Catastrophe Insurance Options Under Immediate Loss Reestimation
• Perpetual American Options Under Lévy Processes
• Financial Modelling with Jump Processes
• Analysis 2
• Pricing catastrophe insurance products based on actually reported claims

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