Valuation of structured risk management products

Insurance: Mathematics and Economics

Volumn 34, Issue 2, 2004, Pages 259-272

  Cox, Samuel H ^a   Fairchild, Joseph R ^b   Pedersen, Hal W ^c  

^a GEORGIA STATE UNIVERSITY   (United States)

^b ZURICH FINANCIAL SERVICES   (Switzerland)

^c UNIVERSITY OF MANITOBA   (Canada)

Author keywords

Alternative risk transfer; Catastrophe risk bonds; Financial risk management; Finite risk reinsurance; Options pricing; Real options; Reinsurance; Retention; Securitization

Indexed keywords

EID: 1842502044     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2003.12.006     Document Type: Article

References (5)

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4. Duffie, D., 1996. Dynamic Asset Pricing Theory, 2nd ed. Princeton University Press, Princeton, NJ.
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