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Valuation of catastrophe reinsurance with catastrophe bonds
16 references·5 citing·43 second hop
Valuation of catastrophe reinsurance with catastrophe bonds (2006)Valuation of catastrophe reinsurance with…Term Structure of Interest Rates (2008)Term Structure of Interest Ra…The basis risk of catastrophic-loss index securities (2003)The basis risk of catastrophi…Can insurers pay for the “big one”? Measuring the capacity of the insurance market to respond to catastrophic losses (2002)Can insurers pay for the “big…Catastrophe Risk Bonds (2000)Catastrophe Risk BondsThe Market for Catastrophe Risk: A Clinical Examination (1999)The Market for Catastrophe Ri…The Financing of Catastrophe Risk (1999)The Financing of Catastrophe …Estimating and Testing Exponential-Affine Term Structure Models by Kalman Filter (1999)Estimating and Testing Expone…General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns (1990)General Equilibrium Pricing o…Risk‐Based Premiums for Insurance Guaranty Funds (1988)Risk‐Based Premiums for Insur…Compensation and Incentives: Practice vs. Theory (1988)Compensation and Incentives: …A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory (1977)An analytic derivation of the…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…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…Valuing catastrophe bonds involving correlation and CIR interest rate model (2016)Valuing catastrophe bonds inv…Pricing catastrophe risk bonds: A mixed approximation method (2013)Pricing catastrophe risk bond…Valuation of Catastrophe Equity Puts With Markov-Modulated Poisson Processes (2010)Valuation of Catastrophe Equi…Calibrating CAT Bonds for Mexican Earthquakes (2010)Calibrating CAT Bonds for Mex…Pricing catastrophe options with stochastic claim arrival intensity in claim time (2009)Pricing catastrophe options w…The Pricing of Options and Corporate Liabilities (1973)Asset Prices in an Exchange Economy (1978)An Equilibrium Model of Rare-Event Premia and Its Implication for Option Smirks (2004)O/S: The relative trading activity in options and stock (2009)Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2010)Theory of Rational Option Pricing (1973)The Theory of Bank Risk Taking and Competition Revisited (2005)The Credit Crisis Around the Globe: Why Did Some Banks Perform Better? (2011)How does capital affect bank performance during financial crises? (2013)An Intertemporal Capital Asset Pricing Model (1973)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The valuation of options for alternative stochastic processes (1976)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)Optimum consumption and portfolio rules in a continuous-time model (1971)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)THE TAX‐ADJUSTED YIELD CURVE (1975)Parsimonious Modeling of Yield Curves (1987)One-Factor Interest-Rate Models and the Valuation of Interest-Rate Derivative Securities (1993)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)What do We Know About Investment Under Uncertainty? (2000)Asset Pricing Implications of Equilibrium Business Cycle Models (2020)Investor Sentiment and the Closed-End Fund Puzzle (1991)Risk Management: Coordinating Corporate Investment and Financing Policies (1993)The Limits of Arbitrage (1995)Empirical option pricing: a retrospection (2003)Convergence of Insurance and Financial Markets: Hybrid and Securitized Risk‐Transfer Solutions (2009)A Model of Capital and Crises (2011)The Nature of the Firm (1937)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Separation of Ownership and Control (1983)AFFECT- AND COGNITION-BASED TRUST AS FOUNDATIONS FOR INTERPERSONAL COOPERATION IN ORGANIZATIONS. (1995)The Provision of Incentives in Firms (1999)Executive Compensation as an Agency Problem (2003)The cost of capital, corporation finance and the theory of investment (2008)
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References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates2,752 cited
  • 1977An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory1,923 cited
  • 1988Compensation and Incentives: Practice vs. Theory1,719 cited
  • 2008Term Structure of Interest Rates524 cited
  • 1999The Market for Catastrophe Risk: A Clinical Examination519 cited
  • 1990General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns393 cited
  • 1999The Financing of Catastrophe Risk284 cited
  • 1988Risk‐Based Premiums for Insurance Guaranty Funds284 cited
  • 1999Estimating and Testing Exponential-Affine Term Structure Models by Kalman Filter267 cited
  • 2002Can insurers pay for the “big one”? Measuring the capacity of the insurance market to respond to catastrophic losses193 cited
  • 2000Catastrophe Risk Bonds

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179 cited
  • 2003The basis risk of catastrophic-loss index securities176 cited
  • Cited by

    • 2010Calibrating CAT Bonds for Mexican Earthquakes91 cited
    • 2013Pricing catastrophe risk bonds: A mixed approximation method81 cited
    • 2010Valuation of Catastrophe Equity Puts With Markov-Modulated Poisson Processes42 cited
    • 2009Pricing catastrophe options with stochastic claim arrival intensity in claim time39 cited
    • 2016Valuing catastrophe bonds involving correlation and CIR interest rate model29 cited