Insurance Derivatives: A New Asset Class for the Capital Markets and a New Hedging Tool for the Insurance Industry
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- Cummins, J. David & Lalonde, David & Phillips, Richard D., 2004.
"The basis risk of catastrophic-loss index securities,"
Journal of Financial Economics,
Elsevier, vol. 71(1), pages 77-111, January.
- J. David Cummins & David Lalonde & Richard D. Phillips, 2000. "The Basis Risk of Catastrophic-Loss Index Securities," Center for Financial Institutions Working Papers 00-22, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Braun, Alexander, 2011. "Pricing catastrophe swaps: A contingent claims approach," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 520-536.
- Mark Broadie & Jerome B. Detemple, 2004. "ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications," Management Science, INFORMS, vol. 50(9), pages 1145-1177, September.
- Lin, Yijia & Cox, Samuel H., 2008. "Securitization of catastrophe mortality risks," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 628-637, April.
- J. David Cummins & Philippe Trainar, 2009. "Securitization, Insurance, and Reinsurance," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(3), pages 463-492, September.
- Vaugirard, Victor E., 2003. "Pricing catastrophe bonds by an arbitrage approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 43(1), pages 119-132.
- Victor Vaugirard, 2003. "Valuing catastrophe bonds by Monte Carlo simulations," Applied Mathematical Finance, Taylor & Francis Journals, vol. 10(1), pages 75-90.
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