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Valuation of Catastrophe Equity Puts With Markov-Modulated Poisson Processes
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Valuation of Catastrophe Equity Puts With Markov-Modulated Poisson Processes (2010)Valuation of Catastrophe Equity Puts With…Convergence of Insurance and Financial Markets: Hybrid and Securitized Risk‐Transfer Solutions (2009)Convergence of Insurance and …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 Default‐Risky CAT Bonds With Moral Hazard and Basis Risk (2002)Pricing Default‐Risky CAT Bon…The Financing of Catastrophe Risk (1999)The Financing of Catastrophe …Pricing Catastrophe Insurance Futures and Call Spreads (1995)Pricing Catastrophe Insurance…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)The Impact of the Financial Crisis and Natural Catastrophes on CAT Bonds (2014)Pricing in the Primary Market for Cat Bonds: New Empirical Evidence (2015)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Calibrating CAT Bonds for Mexican Earthquakes (2010)Pricing catastrophe swaps: A contingent claims approach (2011)Pricing catastrophe risk bonds: A mixed approximation method (2013)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)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)Corporate financing and investment decisions when firms have information that investors do not have (1984)Corporate Financing and Investment Decisions When Firms Have InformationThat Investors Do Not Have (1984)Financial Intermediation and Delegated Monitoring (1984)Securitization, Insurance, and Reinsurance (2009)Systemic Risk and The U.S. Insurance Sector (2014)The Role of Natural Disaster Insurance in Recovery and Risk Reduction (2019)Can insurers pay for the “big one”? Measuring the capacity of the insurance market to respond to catastrophic losses (2002)Risk Management, Capital Budgeting, and Capital Structure Policy for Insurers and Reinsurers (2007)Catastrophe Economics: The National Flood Insurance Program (2010)An Equilibrium Model of Catastrophe Insurance Futures and Spreads (1999)
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References

  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 2009Convergence of Insurance and Financial Markets: Hybrid and Securitized Risk‐Transfer Solutions298 cited
  • 1999The Financing of Catastrophe Risk284 cited
  • 2002Pricing Default‐Risky CAT Bonds With Moral Hazard and Basis Risk175 cited
  • 1995Pricing Catastrophe Insurance Futures and Call Spreads120 cited
  • 2006Catastrophe options with stochastic interest rates and compound Poisson losses113 cited
  • 2006Valuation of catastrophe reinsurance with catastrophe bonds110 cited

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