Pricing catastrophe bonds with multistage stochastic programming
Author:
Publisher
Springer Science and Business Media LLC
Subject
Information Systems,Management Information Systems
Link
http://link.springer.com/article/10.1007/s10287-017-0277-6/fulltext.html
Reference10 articles.
1. Aase K (1999) An equilibrium model of catastrophe insurance futures and spreads. Geneva Pap Risk Insur Theory 24:69–96
2. Birge RJ, Louveaux F (2011) Introduction to stochastic programming, 2nd edn. Springer, New York
3. Branda M (2014) Optimization approaches to multiplicative tariff of rates estimation in non life insurance. Asia Pac J Oper Res 31(5):1450032
4. Dassios A, Jang J (2003) Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity. Finance Stoch 7:73–95
5. Dickson D (2010) Insurance risk and ruin. Cambridge University Press, Cambridge ISBN 978-0-521-17675-0
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