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Indifference prices of structured catastrophe (CAT) bonds · Study

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ArticleIndifference prices of structured catastrophe (CAT) bonds

Masahiko Egami2007

Article2007

Indifference prices of structured catastrophe (CAT) bonds

Masahiko Egami · Virginia R. Young

54 citations·0/0 files stored·Insurance Mathematics and Economics

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Insurance and Financial Risk Management Stochastic processes and financial applications Probability and Risk Models

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References

1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates 2001Stochastic Processes for Insurance and Finance 1999Stochastic Processes for Insurance and Finance 2000Stochastic Processes for Insurance and Finance 2003Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity 2000Catastrophe Risk Bonds 2006Catastrophe options with stochastic interest rates and compound Poisson losses

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Year2007

Typearticle

Published2007-09-05

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations54

Files0 public / 0

ShelfInsurance and Financial Risk Management

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doi10.1016/j.insmatheco.2007.08.004

openalex_workW1978289382

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