Valuing clustering in catastrophe derivatives
Authors:
- Sebastian JaimungalSJSebastian Jaimungal
- Yuxiang ChongYCYuxiang Chong
- 26 June 2013
- journal article
- Published by Taylor & Francis in Quantitative Finance
- Vol. 14 (2) , 259-270
Abstract
No abstract availableKeywords
This publication has 12 references indexed in Scilit:
- Pricing Annuity Guarantees Under a Regime-Switching ModelNorth American Actuarial Journal, 2009
- Modelling security market events in continuous time: Intensity based, multivariate point process modelsJournal of Econometrics, 2007
- Option Pricing for Pure Jump Processes with Markov Switching CompensatorsFinance and Stochastics, 2006
- Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensityFinance and Stochastics, 2003
- AMERICAN OPTIONS WITH REGIME SWITCHINGInternational Journal of Theoretical and Applied Finance, 2002
- An Equilibrium Model of Catastrophe Insurance Futures and SpreadsThe Geneva Risk and Insurance Review, 1999
- Option valuation using the fast Fourier transformJournal of Computational Finance, 1999
- Pricing Catastrophe Insurance Futures and Call SpreadsThe Journal of Fixed Income, 1995
- Spectra of some self-exciting and mutually exciting point processesBiometrika, 1971
- Two Singular Diffusion ProblemsAnnals of Mathematics, 1951