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Valuation of catastrophe reinsurance with catastrophe bonds · Study

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ArticleValuation of catastrophe reinsurance with catastrophe bonds

Jin‐Ping Lee2006

Article2006

Valuation of catastrophe reinsurance with catastrophe bonds

Jin‐Ping Lee · Min‐Teh Yu

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

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Insurance and Financial Risk Management Credit Risk and Financial Regulations Probability and Risk Models

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References

1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1985A Theory of the Term Structure of Interest Rates 1977An equilibrium characterization of the term structure 1976Option pricing when underlying stock returns are discontinuous 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates 1977An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory 1988Compensation and Incentives: Practice vs. Theory 2008Term Structure of Interest Rates

Cited by

2010Calibrating CAT Bonds for Mexican Earthquakes 2013Pricing catastrophe risk bonds: A mixed approximation method 2010Valuation of Catastrophe Equity Puts With Markov-Modulated Poisson Processes 2009Pricing catastrophe options with stochastic claim arrival intensity in claim time 2016Valuing catastrophe bonds involving correlation and CIR interest rate model

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Year2006

Typearticle

Published2006-12-15

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations110

Files0 public / 0

ShelfInsurance and Financial Risk Management

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doi10.1016/j.insmatheco.2006.11.003

openalex_workW2018368812

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