Matches in SemOpenAlex for { <https://semopenalex.org/work/W2063669318> ?p ?o ?g. }
Showing items 1 to 70 of
70
with 100 items per page.
- W2063669318 endingPage "222" @default.
- W2063669318 startingPage "214" @default.
- W2063669318 abstract "We propose a valuation model for catastrophe insurance options written on a loss index. This kind of options distinguishes between a loss period [0,T1], during which the catastrophes may happen, and a development period [T1,T2], during which losses entered before T1 are reestimated. Here we suppose that the underlying loss index is given by a time inhomogeneous compound Poisson process before T1 and that losses are reestimated by a common factor given by an exponential time inhomogeneous Lévy process after T1. In this setting, using Fourier transform techniques, we are able to provide analytical pricing formulas for catastrophe options written on this kind of index." @default.
- W2063669318 created "2016-06-24" @default.
- W2063669318 creator A5029756797 @default.
- W2063669318 creator A5044090390 @default.
- W2063669318 creator A5065755537 @default.
- W2063669318 date "2008-10-01" @default.
- W2063669318 modified "2023-09-28" @default.
- W2063669318 title "Pricing of catastrophe insurance options written on a loss index with reestimation" @default.
- W2063669318 cites W1480459000 @default.
- W2063669318 cites W2059698282 @default.
- W2063669318 cites W2064933659 @default.
- W2063669318 cites W2094879660 @default.
- W2063669318 cites W2108593249 @default.
- W2063669318 cites W2162345012 @default.
- W2063669318 cites W2393981879 @default.
- W2063669318 cites W3105156169 @default.
- W2063669318 cites W4253228688 @default.
- W2063669318 doi "https://doi.org/10.1016/j.insmatheco.2008.05.016" @default.
- W2063669318 hasPublicationYear "2008" @default.
- W2063669318 type Work @default.
- W2063669318 sameAs 2063669318 @default.
- W2063669318 citedByCount "13" @default.
- W2063669318 countsByYear W20636693182012 @default.
- W2063669318 countsByYear W20636693182015 @default.
- W2063669318 countsByYear W20636693182016 @default.
- W2063669318 countsByYear W20636693182017 @default.
- W2063669318 countsByYear W20636693182020 @default.
- W2063669318 countsByYear W20636693182021 @default.
- W2063669318 countsByYear W20636693182022 @default.
- W2063669318 crossrefType "journal-article" @default.
- W2063669318 hasAuthorship W2063669318A5029756797 @default.
- W2063669318 hasAuthorship W2063669318A5044090390 @default.
- W2063669318 hasAuthorship W2063669318A5065755537 @default.
- W2063669318 hasConcept C106159729 @default.
- W2063669318 hasConcept C136764020 @default.
- W2063669318 hasConcept C144133560 @default.
- W2063669318 hasConcept C149782125 @default.
- W2063669318 hasConcept C162118730 @default.
- W2063669318 hasConcept C162324750 @default.
- W2063669318 hasConcept C2777382242 @default.
- W2063669318 hasConcept C41008148 @default.
- W2063669318 hasConceptScore W2063669318C106159729 @default.
- W2063669318 hasConceptScore W2063669318C136764020 @default.
- W2063669318 hasConceptScore W2063669318C144133560 @default.
- W2063669318 hasConceptScore W2063669318C149782125 @default.
- W2063669318 hasConceptScore W2063669318C162118730 @default.
- W2063669318 hasConceptScore W2063669318C162324750 @default.
- W2063669318 hasConceptScore W2063669318C2777382242 @default.
- W2063669318 hasConceptScore W2063669318C41008148 @default.
- W2063669318 hasIssue "2" @default.
- W2063669318 hasLocation W20636693181 @default.
- W2063669318 hasOpenAccess W2063669318 @default.
- W2063669318 hasPrimaryLocation W20636693181 @default.
- W2063669318 hasRelatedWork W1522504334 @default.
- W2063669318 hasRelatedWork W1973538245 @default.
- W2063669318 hasRelatedWork W2013444265 @default.
- W2063669318 hasRelatedWork W2021570049 @default.
- W2063669318 hasRelatedWork W2030617584 @default.
- W2063669318 hasRelatedWork W2056210026 @default.
- W2063669318 hasRelatedWork W2982023230 @default.
- W2063669318 hasRelatedWork W3149328373 @default.
- W2063669318 hasRelatedWork W331667891 @default.
- W2063669318 hasRelatedWork W2142213187 @default.
- W2063669318 hasVolume "43" @default.
- W2063669318 isParatext "false" @default.
- W2063669318 isRetracted "false" @default.
- W2063669318 magId "2063669318" @default.
- W2063669318 workType "article" @default.