Catastrophe options with stochastic interest rates and compound Poisson losses

Insurance: Mathematics and Economics

Volumn 38, Issue 3, 2006, Pages 469-483

  Jaimungal, Sebastian ^a   Wang, Tao ^a  

^a UNIVERSITY OF TORONTO   (Canada)

Author keywords

Catastrophe derivatives; Compound Poisson process; Reinsurance; Stochastic interest rates

Indexed keywords

EID: 33646528462     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2005.11.008     Document Type: Article

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