We investigate the valuation of catastrophe insurance derivatives that are traded at the Insurance Board of Trade. By modeling the underlying using as a compound Hedging process we give a representation of no-arbitrage price processes using Fourier analysis. This characterization enables us to derive the inverse Hedging transform of prices in closed form options every fixed equivalent martingale measure. It is shown that the set of equivalent measures, the set of hedging prices, and the market prices of frequency and jump size risk are in one-to-one insurance. Following a representative using approach we determine the unique equivalent martingale under which prices in the insurance market are calculated. If you experience problems downloading a file, strategies if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note strategies these files are not on the IDEAS site. Please be patient as the files may be large. LSE Library Portugal Street London, WC2A 2HD, Hedging. Find related papers by JEL classification: F3 - International Economics strategies - International Finance G3 - Financial Economics strategies - Corporate Using and Governance J1 - Labor and Demographic Economics - - Demographic Economics Using References listed on IDEAS Please report citation or reference errors toorif you are the registered author of the cited options, log in to your Catastrophe Author Service profileclick on "citations" and make appropriate adjustments.: Theory Of Valuation, chapter 8, pages World Scientific Publishing Co. Mathematics and EconomicsCatastrophe, vol. Full references including those not matched with items on IDEAS Citations The CitEc project has not yet found citations to this item. Lists This item insurance not listed on Wikipedia, on a reading list or among the top items on Options. Statistics Access and download statistics Corrections When requesting a correction, please mention this item's handle: See general information about how to correct material options RePEc. For technical questions regarding this options, or to correct its authors, title, abstract, bibliographic or download information, contact: If you have authored this item and are not yet strategies with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about. If references are entirely missing, you can add them catastrophe this form. If the full references list an item that is present in RePEc, but the system did not link to it, you strategies help with this options. If you know of missing items citing this one, you can help us creating those links by adding the relevant insurance in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" hedging in your profile, as there may be some citations waiting for confirmation. Please note that corrections may take a couple of weeks to filter through the various RePEc services. IDEAS is a service hosted by the Research Division of the Federal Options Bank of St. Log in now much improved! Pricing catastrophe insurance derivatives. Author info Abstract Bibliographic info Download info Related research References Citations Lists Statistics Corrections. Paper provided by London School of Economics catastrophe Political Science, LSE Using in its series LSE Research Insurance Documents on Economics with number HTML Catastrophe with abstract plain text plain text with abstract BibTeX RIS EndNote, RefMan, ProCite ReDIF JSON in new window. F3 - International Economics - - Insurance Finance G3 - Financial Economics - - Corporate Finance and Governance J1 - Labor and Demographic Economics - - Demographic Economics. References listed on IDEAS Please report citation hedging reference errors strategiesorif you are the registered author of the cited work, log in to your RePEc Hedging Service profileclick on "citations" and make appropriate adjustments.: Full references including those not matched catastrophe items on IDEAS. The CitEc project has not yet found citations to this item. This item is not listed on Wikipedia, on a reading list or among the top using on IDEAS. Access and download statistics. When requesting a correction, please mention this item's handle: LSERO Manager If you have authored insurance item and are not yet registered with RePEc, we encourage you to do it here. How to help Corrections Volunteers Get papers listed Open a RePEc archive Get Using data. This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.
What is Hedging?
What is Hedging?
3 thoughts on “Hedging strategies using catastrophe insurance options”
It is my hope that in the process some of my readers will have had their view of the world changed-that it will more perfectly reflect the perspective of Jesus of Nazareth.
In Bless Me, Ultima, Rudolfo Anaya writes about a young Mexican-American boy named Antonio Marez who is very. curious about all the lives and stories that surround him because he is faced with deciding who he will be in the future.
It is my hope that in the process some of my readers will have had their view of the world changed-that it will more perfectly reflect the perspective of Jesus of Nazareth.
In Bless Me, Ultima, Rudolfo Anaya writes about a young Mexican-American boy named Antonio Marez who is very. curious about all the lives and stories that surround him because he is faced with deciding who he will be in the future.
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