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Valuation of catastrophe reinsurance with catastrophe bonds

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  • Lee, Jin-Ping
  • Yu, Min-Teh

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Bibliographic Info

Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

Volume (Year): 41 (2007)
Issue (Month): 2 (September)
Pages: 264-278

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Handle: RePEc:eee:insuma:v:41:y:2007:i:2:p:264-278

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Web page: http://www.elsevier.com/locate/inca/505554

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References

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  1. Cummins, J. David & Lalonde, David & Phillips, Richard D., 2004. "The basis risk of catastrophic-loss index securities," Journal of Financial Economics, Elsevier, Elsevier, vol. 71(1), pages 77-111, January.
  2. repec:fth:geneec:99.01 is not listed on IDEAS
  3. Vaugirard, Victor E., 2003. "Pricing catastrophe bonds by an arbitrage approach," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 43(1), pages 119-132.
  4. Naik, Vasanttilak & Lee, Moon, 1990. "General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 3(4), pages 493-521.
  5. Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, Elsevier, vol. 3(1-2), pages 125-144.
  6. Chang, Jack S. K. & Cheung, C. S. & Krinsky, I., 1989. "On the derivation of reinsurance premiums," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 8(2), pages 137-144, June.
  7. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, Econometric Society, vol. 53(2), pages 385-407, March.
  8. Louberge, H. & Kellezi, E. & Gilli, M., 1999. "Using Catastrophe-Linked Securities to Diversify Insurance Risk: a Financial Analysis of Cat Bonds," Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva, Institut d'Economie et Econométrie, Université de Genève 99.04, Institut d'Economie et Econométrie, Université de Genève.
  9. J. David Cummins & Neil A. Doherty & Anita Lo, 1999. "Can Insurers Pay for the "Big One"? Measuring the Capacity of an Insurance Market to Respond to Catastrophic Losses," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania 98-11, Wharton School Center for Financial Institutions, University of Pennsylvania.
  10. Kenneth A. Froot, 1999. "The Market for Catastrophe Risk: A Clinical Examination," NBER Working Papers 7286, National Bureau of Economic Research, Inc.
  11. Jin-Chuan, Duan & Moreau, Arthur F. & Sealey, C. W., 1995. "Deposit insurance and bank interest rate risk: Pricing and regulatory implications," Journal of Banking & Finance, Elsevier, Elsevier, vol. 19(6), pages 1091-1108, September.
  12. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, Elsevier, vol. 5(2), pages 177-188, November.
  13. Vasicek, Oldrich Alfonso, 1977. "Abstract: An Equilibrium Characterization of the Term Structure," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 12(04), pages 627-627, November.
  14. Harrington, Scott E. & Niehaus, Greg, 2003. "Capital, corporate income taxes, and catastrophe insurance," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 12(4), pages 365-389, October.
  15. 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, Elsevier, vol. 29(10), pages 2435-2454, October.
  16. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, American Finance Association, vol. 29(2), pages 449-70, May.
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Cited by:
  1. Fujita, Takahiko & Ishimura, Naoyuki & Tanaka, Daichi, 2008. "An Arbitrage Approach to the Pricing of Catastrophe Options Involving the Cox Process," Hitotsubashi Journal of Economics, Hitotsubashi University, Hitotsubashi University, vol. 49(2), pages 67-74, December.
  2. Perrakis, Stylianos & Boloorforoosh, Ali, 2013. "Valuing catastrophe derivatives under limited diversification: A stochastic dominance approach," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(8), pages 3157-3168.
  3. Nadine Gatzert & Hato Schmeiser, 2011. "Industry loss warranties: contract features, pricing, and central demand factors," Journal of Risk Finance, Emerald Group Publishing, Emerald Group Publishing, vol. 13(1), pages 13-31, January.
  4. Chang, Carolyn W. & Chang, Jack S.K. & Lu, WeiLi, 2008. "Pricing catastrophe options in discrete operational time," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 43(3), pages 422-430, December.
  5. Ma, Zong-Gang & Ma, Chao-Qun, 2013. "Pricing catastrophe risk bonds: A mixed approximation method," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 52(2), pages 243-254.
  6. Chang, Carolyn W. & Chang, Jack S.K. & Lu, WeLi, 2010. "Pricing catastrophe options with stochastic claim arrival intensity in claim time," Journal of Banking & Finance, Elsevier, Elsevier, vol. 34(1), pages 24-32, January.

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