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Valuation of structured risk management products

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  • Cox, Samuel H.
  • Fairchild, Joseph R.
  • Pedersen, Hal W.

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  • Cox, Samuel H. & Fairchild, Joseph R. & Pedersen, Hal W., 2004. "Valuation of structured risk management products," Insurance: Mathematics and Economics, Elsevier, vol. 34(2), pages 259-272, April.
  • Handle: RePEc:eee:insuma:v:34:y:2004:i:2:p:259-272
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    References listed on IDEAS

    as
    1. Cox, Samuel H. & Fairchild, Joseph R. & Pedersen, Hal W., 2000. "Economic Aspects of Securitization of Risk," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 30(1), pages 157-193, May.
    2. Mayers, David & Smith, Clifford W, Jr, 1982. "On the Corporate Demand for Insurance," The Journal of Business, University of Chicago Press, vol. 55(2), pages 281-296, April.
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    Cited by:

    1. Gunther Leobacher & Philip Ngare, 2014. "Utility indifference pricing of derivatives written on industrial loss indexes," Papers 1404.0879, arXiv.org.
    2. Villegas, Andrés M. & Medaglia, Andrés L. & Zuluaga, Luis F., 2012. "Computing bounds on the expected payoff of Alternative Risk Transfer products," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 271-281.
    3. Jiang, I-Ming & Yang, Sheng-Yung & Liu, Yu-Hong & Wang, Alan T., 2013. "Valuation of double trigger catastrophe options with counterparty risk," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 226-242.
    4. Kim, Hwa-Sung & Kim, Bara & Kim, Jerim, 2014. "Pricing perpetual American CatEPut options when stock prices are correlated with catastrophe losses," Economic Modelling, Elsevier, vol. 41(C), pages 15-22.
    5. repec:eee:insuma:v:88:y:2019:i:c:p:238-254 is not listed on IDEAS
    6. Jaimungal, Sebastian & Wang, Tao, 2006. "Catastrophe options with stochastic interest rates and compound Poisson losses," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 469-483, June.
    7. Ma, Zong-Gang & Ma, Chao-Qun, 2013. "Pricing catastrophe risk bonds: A mixed approximation method," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 243-254.
    8. Chang, Lung-fu & Hung, Mao-wei, 2009. "Analytical valuation of catastrophe equity options with negative exponential jumps," Insurance: Mathematics and Economics, Elsevier, vol. 44(1), pages 59-69, February.
    9. Milevsky, Moshe A. & Salisbury, Thomas S., 2006. "Financial valuation of guaranteed minimum withdrawal benefits," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 21-38, February.
    10. Braun, Alexander, 2011. "Pricing catastrophe swaps: A contingent claims approach," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 520-536.
    11. Burnecki, Krzysztof & Giuricich, Mario Nicoló & Palmowski, Zbigniew, 2019. "Valuation of contingent convertible catastrophe bonds — The case for equity conversion," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 238-254.
    12. Wu, Yang-Che & Chung, San-Lin, 2010. "Catastrophe risk management with counterparty risk using alternative instruments," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 234-245, October.
    13. Lin, X. Sheldon & Wang, Tao, 2009. "Pricing perpetual American catastrophe put options: A penalty function approach," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 287-295, April.
    14. Yu, Jun, 2015. "Catastrophe options with double compound Poisson processes," Economic Modelling, Elsevier, vol. 50(C), pages 291-297.
    15. Andreas Eichler & Gunther Leobacher & Michaela Szolgyenyi, 2016. "Utility Indifference Pricing of Insurance Catastrophe Derivatives," Papers 1607.01110, arXiv.org, revised May 2017.
    16. 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, vol. 49(2), pages 67-74, December.
    17. Wang, Xingchun, 2016. "Catastrophe equity put options with target variance," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 79-86.
    18. Lo, Chien-Ling & Lee, Jin-Ping & Yu, Min-Teh, 2013. "Valuation of insurers’ contingent capital with counterparty risk and price endogeneity," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5025-5035.
    19. Lin, Shih-Kuei & Chang, Chia-Chien & Powers, Michael R., 2009. "The valuation of contingent capital with catastrophe risks," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 65-73, August.
    20. Robert Howley & Robert Storer & Juan Vera & Luis F. Zuluaga, 2016. "Computing semiparametric bounds on the expected payments of insurance instruments via column generation," Papers 1601.02149, arXiv.org.

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