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Pricing Catastrophe Insurance Futures and Call Spreads
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Pricing Catastrophe Insurance Futures and Call Spreads (1995)Pricing Catastrophe Insurance Futures and…Recent Challenges in Actuarial Science (2021)Recent Challenges in Actuaria…Pricing catastrophe risk bonds: A mixed approximation method (2013)Pricing catastrophe risk bond…Accuracy of Premium Calculation Models for CAT Bonds—An Empirical Analysis (2012)Accuracy of Premium Calculati…Valuation of Catastrophe Equity Puts With Markov-Modulated Poisson Processes (2010)Valuation of Catastrophe Equi…The valuation of contingent capital with catastrophe risks (2009)The valuation of contingent c…Pricing catastrophe options with stochastic claim arrival intensity in claim time (2009)Pricing catastrophe options w…Valuation of catastrophe reinsurance with catastrophe bonds (2006)Valuation of catastrophe rein…Information aggregation in a catastrophe futures market (2006)Information aggregation in a …Valuing catastrophe bonds by Monte Carlo simulations (2003)Valuing catastrophe bonds by …Pricing catastrophe bonds by an arbitrage approach (2002)Pricing catastrophe bonds by …On Valuation and Risk Management at the Interface of Insurance and Finance (2002)On Valuation and Risk Managem…Future Possibilities in Finance Theory and Finance Practice (2002)Future Possibilities in Finan…Average Rate Claims with Emphasis on Catastrophe Loss Options (2002)Average Rate Claims with Emph…A no arbitrage approach to Thiele’s differential equation (2000)A no arbitrage approach to Th…Basis Risk with PCS Catastrophe Insurance Derivative Contracts (1999)Basis Risk with PCS Catastrop…An Equilibrium Model of Catastrophe Insurance Futures and Spreads (1999)An Equilibrium Model of Catas…PORTFOLIO SELECTION* (1952)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Transparency, Risk Management and International Financial Fragility (2003)Design of Financial Systems: Towards a Syntheses of Function and Structure (2005)Modeling Financial Crises and Sovereign Risks (2009)The valuation of options for alternative stochastic processes (1976)Empirical Performance of Alternative Option Pricing Models (1997)Theory of rational option pricing (2005)Pricing an Option on Revenue from an Innovation: An Application to Movie Box Office Revenue (2008)A simple robust model for Cat bond valuation (2010)The Hedging Performance of the New Futures Markets (1979)The Determinants of Firms' Hedging Policies (1985)An International Analysis of Underwriting Cycles in Property-Liability Insurance (1992)Optimal Enterprise Risk Management and Decision Making With Shared and Dependent Risks (2013)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Calibrating CAT Bonds for Mexican Earthquakes (2010)Simulation Modeling and Analysis. (1983)Valuing catastrophe bonds involving correlation and CIR interest rate model (2016)Option pricing when underlying stock returns are discontinuous (1976)The Valuation of Catastrophe Bonds with Exposure to Currency Exchange Risk (2014)“Options, Futures, and Other Derivatives” (2016)Theory of Rational Option Pricing (1973)Stochastic orders in dynamic reinsurance markets (2004)Hedging with a correlated asset: Solution of a nonlinear pricing PDE (2006)The Valuation of Uncertain Income Streams and the Pricing of Options (1976)Options, Futures, and Other Derivative Securities. (1990)Dynamic Asset Pricing Theory. (1993)The Financing of Catastrophe Risk (1999)Convergence of Insurance and Financial Markets: Hybrid and Securitized Risk‐Transfer Solutions (2009)Premium Calculation by Transforming the Layer Premium Density (1996)Coherent Measures of Risk (1999)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Asset pricing and extreme event risk: Common factors in ILS fund returns (2019)
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A no arbitrage approach to Thiele’s differential equation
32 cited
  • 2006Information aggregation in a catastrophe futures market0 cited