The basis risk of catastrophic-loss index securities

Journal of Financial Economics

Volumn 71, Issue 1, 2004, Pages 77-111

  Cummins, J David ^a   Lalonde, David ^b   Phillips, Richard D ^c  

^a UNIVERSITY OF PENNSYLVANIA   (United States)

^b Applied Insurance Research   (United States)

^c GEORGIA STATE UNIVERSITY   (United States)

Author keywords

Basis risk; Catastrophe risk; Hedging; Insurance; Options

Indexed keywords

EID: 0346961411     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-405X(03)00172-7     Document Type: Article

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