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Pricing Excess-of-Loss Reinsurance Contracts Against Catastrophic Loss
13 references·1 citing·44 second hop
Pricing Excess-of-Loss Reinsurance Contracts Against Catastrophic Loss (1998)Pricing Excess-of-Loss Reinsurance Contra…An Asian Option Approach to the Valuation of Insurance Futures Contracts (1998)An Asian Option Approach to t…The Role of Government Contracts in Discretionary Reinsurance Markets for Natural Disasters (1996)The Role of Government Contra…Pricing Catastrophe Insurance Futures and Call Spreads (1995)Pricing Catastrophe Insurance…Tax management and investment strategies of property-liability insurers (1994)Tax management and investment…Invisible Parameters in Option Prices (1993)Invisible Parameters in Optio…A Jump/Diffusion Consumption‐Based Capital Asset Pricing Model and the Equity Premium Puzzle (1993)A Jump/Diffusion Consumption‐…The Trading of Underwriting Risk: An Analysis of Insurance Futures Contracts and Reinsurance (1992)The Trading of Underwriting R…Statistical and Financial Models of Insurance Pricing and the Insurance Firm (1991)Statistical and Financial Mod…On the Corporate Demand for Insurance: Evidence from the Reinsurance Market (1990)On the Corporate Demand for I…General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns (1990)General Equilibrium Pricing o…The General Economic Premium Principle (1984)The General Economic Premium …On the numerical evaluation of the distribution of aggregate claims and its stop-loss premiums (1982)On the numerical evaluation o…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…Innovative Financial Instruments for Natural Disaster Risk Management (2002)Innovative Financial Instrume…Essays in the Theory of Risk-Bearing. (1972)Determinants of corporate borrowing (1977)The Determinants of Firms' Hedging Policies (1985)Stock Versus Mutual Ownership Structures: The Risk Implications (1993)On the Corporate Demand for Directors' and Officers' Insurance (1997)The Relationship Between Insurance and Economic Development: 85 Empirical Papers for a Review of the Literature (2012)The Pricing of Options and Corporate Liabilities (1973)Asset Prices in an Exchange Economy (1978)The Variance Gamma Process and Option Pricing (1998)A Jump-Diffusion Model for Option Pricing (2002)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)Risk and uncertainty: a fallacy of large numbers (1963)Recursive Evaluation of a Family of Compound Distributions (1981)Economic and Market Predictors of Insolvencies in the Property-Liability Insurance Industry (1995)External Impacts on the Property-Liability Insurance Cycle (1995)Rate Regulation, Competition, and Loss Reserve Discounting by Property-Casualty Insurers (2000)Debt and Taxes (1977)DEBT AND TAXES* (1977)The Pricing of Tax-Exempt Bonds and the Miller Hypothesis (1982)Derivatives and Corporate Risk Management: Participation and Volume Decisions in the Insurance Industry (2001)Capital, corporate income taxes, and catastrophe insurance (2003)Reinsurance and corporate taxation in the United Kingdom life insurance industry (2007)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)072103 (E50, M20) Option pricing by Esscher transforms (1995)Brownian Motion and Stochastic Calculus (2007)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)Theory of Value: An Axiomatic Analysis of Economic Equilibrium (1960)Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small and in the Large (1976)Utility Functions (1998)Weighted risk capital allocations (2008)A Stable Recursive Algorithm for Evaluation of Ultimate Ruin Probabilities (1984)Direct Calculation of Ruin Probabilities (1986)Recursive evaluation of aggregate claims distributions (2002)An Equilibrium Model of Catastrophe Insurance Futures and Spreads (1999)Valuation of catastrophe reinsurance with catastrophe bonds (2006)Pricing catastrophe risk bonds: A mixed approximation method (2013)On Risk and Disaster (2006)Explaining the Failure to Insure Catastrophic Risks (2012)Critical attributes for proactive engagement of stakeholders in disaster risk management (2016)
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References

  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1990On the Corporate Demand for Insurance: Evidence from the Reinsurance Market485 cited
  • 1990General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns393 cited
  • 1984The General Economic Premium Principle173 cited
  • 1991Statistical and Financial Models of Insurance Pricing and the Insurance Firm150 cited
  • 1996The Role of Government Contracts in Discretionary Reinsurance Markets for Natural Disasters142 cited
  • 1993Invisible Parameters in Option Prices133 cited
  • 1995Pricing Catastrophe Insurance Futures and Call Spreads120 cited
  • 1982On the numerical evaluation of the distribution of aggregate claims and its stop-loss premiums69 cited
  • 1994Tax management and investment strategies of property-liability insurers60 cited
  • 1992The Trading of Underwriting Risk: An Analysis of Insurance Futures Contracts and Reinsurance57 cited
  • 1998An Asian Option Approach to the Valuation of Insurance Futures Contracts33 cited
  • 1993A Jump/Diffusion Consumption‐Based Capital Asset Pricing Model and the Equity Premium Puzzle27 cited

Cited by

  • 2002Innovative Financial Instruments for Natural Disaster Risk Management50 cited

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