The compound Poisson process (CPP) is often used in catastrophe risk modeling, for
example, aggregate loss risk modeling. Hence, CPP can be involved in pricing catastrophe …

Purpose Catastrophe (CAT) events associated with natural catastrophes and man-made
disasters cause profound impacts on the insurance industry. This research thus reviews the …

One of the most significant economic developments of the past decade has been the
convergence of the financial services industry, particularly the capital markets and (re) …

This book is a comprehensive guide to several aspects of risk, including information
systems, disaster management, supply chain and disaster management perspectives. A …

What a pleasure it is to discover the second edition of the Handbook of Insurance, edited by
Georges Dionne, 12 years after the first! Almost all original basic texts are there, for the most …

This paper presents a contingent claim model similar to the one described by Lee and Yu
(2002) for pricing catastrophe risk bonds. First, we derive a bond pricing formula in a …

This article examines the calibration of a real parametric catastrophe bond (CAT bond) for
earthquakes sponsored by the Mexican government, which is of a high interest as it delivers …

Earthquake contingency costs in traditional insurance cannot provide sufficient earthquake
funding for a country because they often differ significantly from actual losses. Over the last …

In this paper, we comprehensively analyze the catastrophe (cat) swap, a financial instrument
which has attracted little scholarly attention to date. We begin with a discussion of the typical …

We present a method for pricing structured CAT bonds based on utility indifference pricing.
The CAT bond considered here is issued in two distinct notes called tranches, specifically …