IDEAS home Printed from https://ideas.repec.org/a/eee/insuma/v27y2000i2p189-200.html
   My bibliography  Save this article

Pricing catastrophe insurance products based on actually reported claims

Author

Listed:
  • Christensen, Claus Vorm
  • Schmidli, Hanspeter

Abstract

No abstract is available for this item.

Suggested Citation

  • Christensen, Claus Vorm & Schmidli, Hanspeter, 2000. "Pricing catastrophe insurance products based on actually reported claims," Insurance: Mathematics and Economics, Elsevier, vol. 27(2), pages 189-200, October.
    • Handle: RePEc:eee:insuma:v:27:y:2000:i:2:p:189-200
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-6687(00)00047-0
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. J. David Cummins & Hèlyette Geman, 1993. "An Asian Option to the Valuation of Insurance Futures Contracts," Center for Financial Institutions Working Papers 94-03, Wharton School Center for Financial Institutions, University of Pennsylvania.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Giuricich, Mario Nicoló & Burnecki, Krzysztof, 2019. "Modelling of left-truncated heavy-tailed data with application to catastrophe bond pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 498-513.
    2. Stylianos Perrakis & Ali Boloorforoosh, 2018. "Catastrophe futures and reinsurance contracts: An incomplete markets approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(1), pages 104-128, January.
    3. Han-Bin KANG & Hsuling CHANG & Tsangyao CHANG, 2022. "Catastrophe Reinsurance Pricing -Modification of Dynamic Asset-Liability Management," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 5-20, December.
    4. Ben Ammar, Semir & Braun, Alexander & Eling, Martin, 2015. "Alternative Risk Transfer and Insurance-Linked Securities: Trends, Challenges and New Market Opportunities," I.VW HSG Schriftenreihe, University of St.Gallen, Institute of Insurance Economics (I.VW-HSG), volume 56, number 56.
    5. Schmeck, Maren Diane & Schmidli, Hanspeter, 2019. "Mortality Options: the Point of View of an Insurer," Center for Mathematical Economics Working Papers 616, Center for Mathematical Economics, Bielefeld University.
    6. Thilini Mahanama & Abootaleb Shirvani & Svetlozar Rachev, 2022. "A Natural Disasters Index," Environmental Economics and Policy Studies, Springer;Society for Environmental Economics and Policy Studies - SEEPS, vol. 24(2), pages 263-284, April.
    7. Braun, Alexander, 2011. "Pricing catastrophe swaps: A contingent claims approach," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 520-536.
    8. Schmeck, Maren Diane & Schmidli, Hanspeter, 2021. "Mortality options: The point of view of an insurer," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 98-115.
    9. Thilini V. Mahanama & Abootaleb Shirvani, 2020. "A Natural Disasters Index," Papers 2008.03672, arXiv.org.
    10. Muhsin Tamturk & Dominic Cortis & Mark Farrell, 2020. "Examining the Effects of Gradual Catastrophes on Capital Modelling and the Solvency of Insurers: The Case of COVID-19," Risks, MDPI, vol. 8(4), pages 1-13, December.
    11. Truong, Chi & Trück, Stefan, 2016. "It’s not now or never: Implications of investment timing and risk aversion on climate adaptation to extreme events," European Journal of Operational Research, Elsevier, vol. 253(3), pages 856-868.
    12. Yi, Changsheng & Chen, Zhaoming & Chen, Hongchen, 2023. "Opportunity knocks but just once: Impact of infrastructure investment decision on climate adaptation to flood events," Omega, Elsevier, vol. 121(C).
    13. Biagini, Francesca & Bregman, Yuliya & Meyer-Brandis, Thilo, 2008. "Pricing of catastrophe insurance options written on a loss index with reestimation," Insurance: Mathematics and Economics, Elsevier, vol. 43(2), pages 214-222, October.
    14. Patrice Poncet & Victor Vaugirard, 2001. "The valuation of nature-linked bonds with exchange rate risk," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 25(3), pages 293-307, September.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Schmeck, Maren Diane & Schmidli, Hanspeter, 2019. "Mortality Options: the Point of View of an Insurer," Center for Mathematical Economics Working Papers 616, Center for Mathematical Economics, Bielefeld University.
    2. Mathieu Gatumel & Dominique Guegan, 2008. "Towards an understanding approach of the insurance linked securities market," Post-Print halshs-00235354, HAL.
    3. David Cummins & Christopher Lewis & Richard Phillips, 1999. "Pricing Excess-of-Loss Reinsurance Contracts against Cat as trophic Loss," NBER Chapters, in: The Financing of Catastrophe Risk, pages 93-148, National Bureau of Economic Research, Inc.
    4. Schmeck, Maren Diane & Schmidli, Hanspeter, 2021. "Mortality options: The point of view of an insurer," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 98-115.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:27:y:2000:i:2:p:189-200. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered 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 CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references 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" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/505554 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.