How Financial Theory Applies to Catastrophe-Linked Derivatives. An Empirical Test of Several Pricing Models
نویسندگان
چکیده
منابع مشابه
Pricing Catastrophe Insurance Derivatives
We investigate the valuation of catastrophe insurance derivatives that are traded at the Chicago Board of Trade. By modeling the underlying index as a compound Poisson process we give a representation of no-arbitrage price processes using Fourier analysis. This characterization enables us to derive the inverse Fourier transform of prices in closed form for every fixed equivalent martingale meas...
متن کاملAn empirical test of signal detection theory as it applies to Batesian mimicry.
Signal detection theory (SDT) has been repeatedly invoked to understand how palatable prey might gain an advantage by resembling unpalatable prey. Here we developed an experimental test of the theory in which we sequentially presented computer-generated Mimics (profitable to attack) and Models (unprofitable to attack) to human volunteers, and asked them to forage in a way that maximized their p...
متن کاملPricing of Financial Derivatives
A financial derivative, for example an option, is an instrument (contract) whose value depends on the values of some underlying variables, where the underlying can be a commodity, an interest rate, stock, a stock index, a currency, to mention just a few examples. The financial derivatives market is enormous and is regularly reported to be worth $500 trillion. Derivatives provide an efficient wa...
متن کاملUtility indifference pricing of insurance catastrophe derivatives
We propose a model for an insurance loss index and the claims process of a single insurance company holding a fraction of the total number of contracts that captures both ordinary losses and losses due to catastrophes. In this model we price a catastrophe derivative by the method of utility indifference pricing. The associated stochastic optimization problem is treated by techniques for piecewi...
متن کاملAn Integrated Approach to Pricing Catastrophe Reinsurance
We propose an integrated approach straddling the actuarial science and the mathematical finance approaches to pricing a default-risky catastrophe reinsurance contract. We first apply an incomplete-market version of the no-arbitrage martingale pricing paradigm to price the reinsurance contract as a martingale by a measure change, then we apply risk loading to price in—as in the traditional actua...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: The Journal of Risk and Insurance
سال: 1999
ISSN: 0022-4367
DOI: 10.2307/253863