Insurance and weather derivatives : from exotic options to exotic underlyings

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<title>Insurance and weather derivatives</title>
<subTitle>: from exotic options to exotic underlyings</subTitle>
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<namePart>Geman, Hélyette</namePart>
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<dateIssued encoding="marc">1999</dateIssued>
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<publisher>Risk Books</publisher>
<dateIssued>cop. 1999</dateIssued>
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<abstract>From options on stocks and currencies to options on insurance, credit and weather -- The valuation of multiple cliam insurance contracts -- CAT calls -- Pricing catastrophe insurance features and call spreads: an arbitrage  approach -- A rational approach to pricing of catastrophe insurance -- Stochastic time changes in catastrophe option pricing -- Interest rate risk management and valuation of the surrender option in life insurance policies -- The catastrophe reinsurance market: economic gyrations and innovations amid major structural transformation -- The exotica portfolio: new financial instruments make bonds obsolete -- Insurance-risk securitisation and CAT insurance derivatives -- Insurance derivatives: a new asset class for the capital markets and a new hedging tool for the insurance industry -- Assessing catastrophe reinsurance-linked securities as a new asset class -- A note on pricing PCS single-event options -- The high-yield bond market: catastrophe bonds versus defaultable bonds -- The perfume of the premium II -- Insurance-linked securities -- Pricing mother nature -- Weather derivatives and hedging weather risks -- Weather derivatives: hedging mother nature -- A weather risk manegement choice: hedging with degree-day derivatives -- The Bermuda Triangle: weather, electricity and insurance derivatives</abstract>
<note type="statement of responsibility">edited by Hélyette Geman</note>
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