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Indifference prices of structured catastrophe (CAT) bonds
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Indifference prices of structured catastrophe (CAT) bonds (2007)Indifference prices of structured catastr…Valuation of catastrophe reinsurance with catastrophe bonds (2006)Valuation of catastrophe rein…Catastrophe options with stochastic interest rates and compound Poisson losses (2006)Catastrophe options with stoc…PRICING IN AN INCOMPLETE MARKET WITH AN AFFINE TERM STRUCTURE (2004)PRICING IN AN INCOMPLETE MARK…Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity (2003)Pricing of catastrophe reinsu…Stochastic Processes for Insurance and Finance (2001)Stochastic Processes for Insu…Integrating Corporate Risk Management (2001)Integrating Corporate Risk Ma…Stochastic Processes for Insurance and Finance (2000)Stochastic Processes for Insu…Catastrophe Risk Bonds (2000)Catastrophe Risk BondsStochastic Processes for Insurance and Finance (1999)Stochastic Processes for Insu…Stochastic time changes in catastrophe option pricing (1997)Stochastic time changes in ca…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)On the Pricing of Corporate D…Continuous Martingales and Brownian Motion (1991)Continuous Martingales and Brownian Motion (1999)Pricing Default‐Risky CAT Bonds With Moral Hazard and Basis Risk (2002)Brownian Motion and Stochastic Calculus (2007)Pricing in the Primary Market for Cat Bonds: New Empirical Evidence (2015)Introduction to the Theory of Queues. (1963)An equilibrium characterization of the term structure (1977)Extreme Values, Regular Variation and Point Processes (1987)On minimizing the ruin probability by investment and reinsurance (2002)The application of continuous-time random walks in finance and economics (2005)On the optimal dividend problem for a spectrally negative Lévy process (2007)A Theory of the Term Structure of Interest Rates (1985)Calibrating CAT Bonds for Mexican Earthquakes (2010)Pricing catastrophe swaps: A contingent claims approach (2011)Pricing catastrophe risk bonds: A mixed approximation method (2013)Option pricing when underlying stock returns are discontinuous (1976)Martingales and stochastic integrals in the theory of continuous trading (1981)Extreme Value Theory as a Risk Management Tool (1999)Parallel option pricing with Fourier space time-stepping method on graphics processing units (2010)The valuation of options for alternative stochastic processes (1976)Martingales and arbitrage in multiperiod securities markets (1979)Stochastic Differential Equations (2003)Ruin probabilities and aggregrate claims distributions for shot noise Cox processes (2006)A dynamic contagion process (2011)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)The cost of capital, corporation finance and the theory of investment (2008)Integrating Corporate Risk Management (2005)Risk, capital requirements, and the asset structure of companies (2006)Financial resources and corporate reputation (2010)Optimal Proportional Reinsurance Policies in a Dynamic Setting (2001)Optimal dividend strategies in a Cramér–Lundberg model with capital injections (2008)
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References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates2,752 cited
  • 2001Stochastic Processes for Insurance and Finance839 cited
  • 1999Stochastic Processes for Insurance and Finance499 cited
  • 2000Stochastic Processes for Insurance and Finance353 cited
  • 2003Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity198 cited
  • 2000Catastrophe Risk Bonds179 cited
  • 2006Catastrophe options with stochastic interest rates and compound Poisson losses113 cited
  • 2006Valuation of catastrophe reinsurance with catastrophe bonds110 cited
  • 2001Integrating Corporate Risk Management76 cited
  • 1997Stochastic time changes in catastrophe option pricing64 cited
  • 2004PRICING IN AN INCOMPLETE MARKET WITH AN AFFINE TERM STRUCTURE41 cited

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