Indifference prices of structured catastrophe (CAT) bonds

DOI10.1016/j.insmatheco.2007.08.004zbMath1152.91442OpenAlexW1978289382MaRDI QIDQ998295

Masahiko Egami, Virginia R. Young

Publication date: 28 January 2009

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.08.004

zbMATH Keywords

jump-diffusionexponential utilityreinsurance strategyindifference pricecatastrophe (CAT) bondstructured derivative security

Mathematics Subject Classification ID

Related Items (16)

Modelling and pricing of catastrophe risk bonds with a temperature-based agricultural application ⋮ The Optimal Write-Down Coefficients in a Percentage for a Catastrophe Bond ⋮ Valuing multirisk catastrophe reinsurance based on the Cox-Ingersoll-Ross (CIR) model ⋮ Utility indifference pricing of insurance catastrophe derivatives ⋮ Pricing catastrophe risk bonds: a mixed approximation method ⋮ CAT BOND PRICING UNDER A PRODUCT PROBABILITY MEASURE WITH POT RISK CHARACTERIZATION ⋮ Heterogeneous expectations and speculative behavior in insurance-linked securities ⋮ Pricing catastrophe swaps: a contingent claims approach ⋮ Multiple-event catastrophe bond pricing based on CIR-copula-POT model ⋮ Pricing and simulating catastrophe risk bonds in a Markov-dependent environment ⋮ Indifference pricing of insurance-linked securities in a multi-period model ⋮ Utility indifference pricing of derivatives written on industrial loss indices ⋮ Pricing of Catastrophe Bond in Fuzzy Framework ⋮ Unnamed Item ⋮ Data Breach CAT Bonds: Modeling and Pricing ⋮ Catastrophe risk bonds with applications to earthquakes

Cites Work

• Unnamed Item
• Stochastic time changes in catastrophe option pricing
• Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
• Valuation of catastrophe reinsurance with catastrophe bonds
• Catastrophe options with stochastic interest rates and compound Poisson losses
• PRICING IN AN INCOMPLETE MARKET WITH AN AFFINE TERM STRUCTURE
• Catastrophe Risk Bonds

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