Pricing of catastrophe insurance options written on a loss index with reestimation
type: Item
instance of: scholarly article
title: Pricing of catastrophe insurance options written on a loss index with reestimation
zbMATH Open document ID: 1189.91067
author: Francesca Biagini
author: Yuliya Bregman
author: Thilo Meyer-Brandis
published in: Insurance Mathematics \& Economics
publication date: 2010-06-08T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 5717854
zbMATH Keywords: catastrophe insurance options
zbMATH Keywords: loss index
zbMATH Keywords: Fourier transform
zbMATH Keywords: option pricing formulas
zbMATH Keywords: heavy tails
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2008.05.016
OpenAlex ID: W2063669318
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DOI: 10.1016/J.INSMATHECO.2008.05.016
description: scientific article; zbMATH DE number 5717854