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Pricing of reinsurance contracts in the presence of catastrophe bonds
Recurso electrónico / electronic resource
MAP20150027030
Haslip, Gareth G. ‌
Pricing of reinsurance contracts in the presence of catastrophe bonds / Gareth G. Haslip, Vladimir K. Kaishev
Sumario: A methodology for pricing of reinsurance contracts in the presence of a catastrophe bond is developed. An important advantage of this approach is that it allows for the pricing of reinsurance contracts consistent with the observed market prices of catastrophe bonds on the same underlying risk process.
En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 03/05/2010 Volumen 40 Número 1 - mayo 2010 , p. 307-329
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