The valuation of contingent capital with catastrophe risks
type: Item
instance of: scholarly article
title: The valuation of contingent capital with catastrophe risks
zbMATH Open document ID: 1231.91372
author: Shih-Kuei Lin
author: Chia-Chien Chang
author: Michael R. Powers
published in: Insurance Mathematics \& Economics
publication date: 2012-02-10T00:00:00Z
Mathematics Subject Classification ID: 91B76
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 60K10
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 6004619
zbMATH Keywords: doubly stochastic Poisson process
zbMATH Keywords: catastrophe risks
zbMATH Keywords: contingent capital
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2009.03.005
OpenAlex ID: W2145709395
cites work: Bond Market Structure in the Presence of Marked Point Processes
cites work: Valuation of structured risk management products
cites work: The Term Structure of Simple Forward Rates with Jump Risk
cites work: Catastrophe options with stochastic interest rates and compound Poisson losses
cites work: Option pricing when underlying stock returns are discontinuous
DOI: 10.1016/J.INSMATHECO.2009.03.005
description: scientific article; zbMATH DE number 6004619