Pricing catastrophe bonds with multistage stochastic programming
type: Item
instance of: scholarly article
title: Pricing catastrophe bonds with multistage stochastic programming
zbMATH Open document ID: 1406.90083
author: Nick Georgiopoulos
published in: Computational Management Science
publication date: 2018-10-10T00:00:00Z
Mathematics Subject Classification ID: 90C15
Mathematics Subject Classification ID: 91B24
zbMATH DE Number: 6950387
zbMATH Keywords: catastrophe bonds
zbMATH Keywords: reinsurance
zbMATH Keywords: stochastic programming
zbMATH Keywords: insurance linked securities
MaRDI profile type: Publication
full work available at URL: s10287-017-0277-6
OpenAlex ID: W2612629407
cites work: Introduction to Stochastic Programming
cites work: Optimization Approaches to Multiplicative Tariff of Rates Estimation in Non-Life Insurance
cites work: Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
cites work: Q3162152
cites work: Stochastic time changes in catastrophe option pricing
cites work: Q4309474
DOI: 10.1007/S10287-017-0277-6
description: scientific article; zbMATH DE number 6950387