Catastrophe Swap Valuation Based on Stochastic Damage and its Numerical Solution
Pricing catastrophe swap as an instrument for insurance companies risk management, has received trivial attention in the previous studies, but in most of them, damage severities caused by the disaster has been considered to be fixed. In this study, through considering jumps for modeling the occurren...
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Allameh Tabataba'i University Press
2022-07-01
|
| Series: | Mathematics and Modeling in Finance |
| Subjects: | |
| Online Access: | https://jmmf.atu.ac.ir/article_14566_ec92c8a1f4cf3ed91b3ad8bea879e230.pdf |