Rational and mechanics of a peak risk variance swap for a property insurance portfolio
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Keywordsvariance swap; peak catastrophe risk hedging; insurance portfolio risk management and risk transfer;
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-05-29 (All new papers)
- NEP-IAS-2012-05-29 (Insurance Economics)
- NEP-RMG-2012-05-29 (Risk Management)
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