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

This article develops a contingent claim model to price a default-risky, catastrophe-linked
bond. This model incorporates stochastic interest rates and more generic loss processes …

This study develops a contingent-claim framework for valuing a reinsurance contract and
examines how a reinsurance company can increase the value of a reinsurance contract and …

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 …

Reinsurance demand is often investigated using the classical stochastic control framework
with the reinsurance level as a regular control variable. However, reinsurance contracts are …

This article presents a valuation theory of futures contracts and derivatives on such contracts
when the underlying delivery value follows a stochastic process containing jumps of random …

We derive the pricing formula for catastrophe equity put options (CatEPuts) by assuming
catastrophic events follow a Markov Modulated Poisson process (MMPP) whose intensity …

We model claim arrival and loss uncertainties jointly in a doubly-binomial framework to price
an Asian-style catastrophe (CAT) option with a non-traded underlying loss index using the …

We propose a model in which, in exchange to the payment of a fixed transaction cost, an
insurance company can choose the retention level as well as the time at which subscribing a …

The main focus of this paper is to develop a framework for pricing of a multiple-event coupon
paying CAT bond. The model is the first of its kind to address theoretical issues of pricing of …