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The Valuation of Multiple Claim Insurance Contracts

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  • Shimko, David C.
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    Bibliographic Info

    Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

    Volume (Year): 27 (1992)
    Issue (Month): 02 (June)
    Pages: 229-246

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    Handle: RePEc:cup:jfinqa:v:27:y:1992:i:02:p:229-246_00

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    Cited by:
    1. Gatzert, Nadine & Schmeiser, Hato, 2008. "The influence of corporate taxes on pricing and capital structure in property-liability insurance," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 50-58, February.
    2. Duan, Jin-Chuan & Yu, Min-Teh, 2005. "Fair insurance guaranty premia in the presence of risk-based capital regulations, stochastic interest rate and catastrophe risk," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2435-2454, October.
    3. Martin, J. Spencer & Santomero, Anthony M., 1997. "Investment opportunities and corporate demand for lines of credit," Journal of Banking & Finance, Elsevier, vol. 21(10), pages 1331-1350, October.
    4. Geman, Helyette & Yor, Marc, 1997. "Stochastic time changes in catastrophe option pricing," Insurance: Mathematics and Economics, Elsevier, vol. 21(3), pages 185-193, December.
    5. Shen, Weixi & Xu, Huiping, 2005. "The valuation of unit-linked policies with or without surrender options," Insurance: Mathematics and Economics, Elsevier, vol. 36(1), pages 79-92, February.
    6. J. David Cummins & Hèlyette Geman, 1993. "An Asian Option to the Valuation of Insurance Futures Contracts," Center for Financial Institutions Working Papers 94-03, Wharton School Center for Financial Institutions, University of Pennsylvania.
    7. Chao-Liang Chen, 2005. "The funding for a Defined Benefit (DB) pension plan based on the fair valuation of the plan's insolvency risk," Applied Economics, Taylor and Francis Journals, vol. 37(14), pages 1623-1633.

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