Evaluating catastrophe reinsurance contracts: an option pricing approach with extreme risk
Author:
Affiliation:
1. a Department of Finance , National Chung Cheng University , 168, University Road, Min-Hsiung, Chia Yi 621 , Taiwan
2. b Department of Finance , National Yunlin University of Science and Technology , Yunlin , Taiwan
Publisher
Informa UK Limited
Subject
Economics and Econometrics,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/09603107.2011.636020
Reference34 articles.
1. How Financial Theory Applies to Catastrophe-Linked Derivatives. An Empirical Test of Several Pricing Models
2. Residual Life Time at Great Age
3. A NO-ARBITRAGE MARTINGALE ANALYSIS FOR JUMP-DIFFUSION VALUATION
4. Anticipating catastrophes through extreme value modelling
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