Xu, Maochao; Zhang, Yiying Data breach CAT bonds: modeling and pricing. (English) Zbl 07469933 N. Am. Actuar. J. 25, No. 4, 543-561 (2021). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 91G20 PDF BibTeX XML Cite \textit{M. Xu} and \textit{Y. Zhang}, N. Am. Actuar. J. 25, No. 4, 543--561 (2021; Zbl 07469933) Full Text: DOI OpenURL
Colaneri, Katia; Frey, Rüdiger Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds. (English) Zbl 1475.91353 Insur. Math. Econ. 101, 498-507 (2021). MSC: 91G20 60J74 45K05 PDF BibTeX XML Cite \textit{K. Colaneri} and \textit{R. Frey}, Insur. Math. Econ. 101, 498--507 (2021; Zbl 1475.91353) Full Text: DOI arXiv OpenURL
Schmeck, Maren Diane; Schmidli, Hanspeter Mortality options: the point of view of an insurer. (English) Zbl 1460.91238 Insur. Math. Econ. 96, 98-115 (2021). Reviewer: Pavel Stoynov (Sofia) MSC: 91G05 93E20 PDF BibTeX XML Cite \textit{M. D. Schmeck} and \textit{H. Schmidli}, Insur. Math. Econ. 96, 98--115 (2021; Zbl 1460.91238) Full Text: DOI Link OpenURL
Lyuu, Yuh-Dauh; Teng, Huei-Wen; Tseng, Yao-Te; Wang, Sheng-Xiang A systematic and efficient simulation scheme for the Greeks of financial derivatives. (English) Zbl 1420.91473 Quant. Finance 19, No. 7, 1199-1219 (2019). MSC: 91G20 60G51 60J75 PDF BibTeX XML Cite \textit{Y.-D. Lyuu} et al., Quant. Finance 19, No. 7, 1199--1219 (2019; Zbl 1420.91473) Full Text: DOI OpenURL
Burnecki, Krzysztof; Giuricich, Mario Nicoló; Palmowski, Zbigniew Valuation of contingent convertible catastrophe bonds – the case for equity conversion. (English) Zbl 1425.91215 Insur. Math. Econ. 88, 238-254 (2019). MSC: 91B30 91G20 PDF BibTeX XML Cite \textit{K. Burnecki} et al., Insur. Math. Econ. 88, 238--254 (2019; Zbl 1425.91215) Full Text: DOI arXiv OpenURL
Tang, Qihe; Yuan, Zhongyi CAT bond pricing under a product probability measure with pot risk characterization. (English) Zbl 1410.91288 ASTIN Bull. 49, No. 2, 457-490 (2019). MSC: 91B30 91G20 60G70 PDF BibTeX XML Cite \textit{Q. Tang} and \textit{Z. Yuan}, ASTIN Bull. 49, No. 2, 457--490 (2019; Zbl 1410.91288) Full Text: DOI OpenURL
Pérez-Fructuoso, María José Continuous-time model based on two Wiener processes for calculating insurance linked securities (ILS) underlying a catastrophic loss index. (Spanish. English summary) Zbl 1476.91129 Rev. Invest. Oper. 39, No. 2, 154-169 (2018). MSC: 91G05 60J70 PDF BibTeX XML Cite \textit{M. J. Pérez-Fructuoso}, Rev. Invest. Oper. 39, No. 2, 154--169 (2018; Zbl 1476.91129) Full Text: Link OpenURL
Nowak, Piotr; Romaniuk, Maciej Valuing catastrophe bonds involving correlation and CIR interest rate model. (English) Zbl 1409.91247 Comput. Appl. Math. 37, No. 1, 365-394 (2018). MSC: 91G20 91B30 91G30 60H30 91G60 65C05 91-04 PDF BibTeX XML Cite \textit{P. Nowak} and \textit{M. Romaniuk}, Comput. Appl. Math. 37, No. 1, 365--394 (2018; Zbl 1409.91247) Full Text: DOI OpenURL
Zhang, Xiaoli; Tsai, Cary Chi-Liang The optimal write-down coefficients in a percentage for a catastrophe bond. (English) Zbl 1393.91102 N. Am. Actuar. J. 22, No. 1, 1-21 (2018). MSC: 91B30 91G20 PDF BibTeX XML Cite \textit{X. Zhang} and \textit{C. C. L. Tsai}, N. Am. Actuar. J. 22, No. 1, 1--21 (2018; Zbl 1393.91102) Full Text: DOI OpenURL
Xu, Yajuan; Wang, Guojing Pricing catastrophe options with counterparty credit risk in a reduced form model. (English) Zbl 1399.91124 Acta Math. Sci., Ser. B, Engl. Ed. 38, No. 1, 347-360 (2018). MSC: 91G20 91G40 60J75 PDF BibTeX XML Cite \textit{Y. Xu} and \textit{G. Wang}, Acta Math. Sci., Ser. B, Engl. Ed. 38, No. 1, 347--360 (2018; Zbl 1399.91124) Full Text: DOI OpenURL
Shao, Jia; Papaioannou, Apostolos D.; Pantelous, Athanasios A. Pricing and simulating catastrophe risk bonds in a Markov-dependent environment. (English) Zbl 1411.91581 Appl. Math. Comput. 309, 68-84 (2017). MSC: 91G20 91B30 62P05 PDF BibTeX XML Cite \textit{J. Shao} et al., Appl. Math. Comput. 309, 68--84 (2017; Zbl 1411.91581) Full Text: DOI OpenURL
Hao, Xuemiao; Liang, Chunli; Wei, Linghua Evaluation of credit value adjustment in K-forward. (English) Zbl 1395.91252 Insur. Math. Econ. 76, 95-103 (2017). MSC: 91B30 91G40 62P05 PDF BibTeX XML Cite \textit{X. Hao} et al., Insur. Math. Econ. 76, 95--103 (2017; Zbl 1395.91252) Full Text: DOI OpenURL
Karagiannis, N.; Assa, H.; Pantelous, A. A.; Turvey, C. G. Modelling and pricing of catastrophe risk bonds with a temperature-based agricultural application. (English) Zbl 1400.91597 Quant. Finance 16, No. 12, 1949-1959 (2016). MSC: 91G20 PDF BibTeX XML Cite \textit{N. Karagiannis} et al., Quant. Finance 16, No. 12, 1949--1959 (2016; Zbl 1400.91597) Full Text: DOI Link OpenURL
Malyarenko, Anatoliy; Röman, Jan; Schyberg, Oskar Sensitivity analysis of catastrophe bond price under the Hull-White interest rate model. (English) Zbl 1356.91088 Silvestrov, Sergei (ed.) et al., Engineering mathematics I. Electromagnetics, fluid mechanics, material physics and financial engineering. Cham: Springer (ISBN 978-3-319-42081-3/hbk; 978-3-319-42082-0/ebook). Springer Proceedings in Mathematics & Statistics 178, 301-314 (2016). MSC: 91G20 91B30 60H30 60H07 PDF BibTeX XML Cite \textit{A. Malyarenko} et al., Springer Proc. Math. Stat. 178, 301--314 (2016; Zbl 1356.91088) Full Text: DOI OpenURL
Zheng, Min Heterogeneous expectations and speculative behavior in insurance-linked securities. (English) Zbl 1418.91260 Discrete Dyn. Nat. Soc. 2015, Article ID 574091, 12 p. (2015). MSC: 91B30 91G20 PDF BibTeX XML Cite \textit{M. Zheng}, Discrete Dyn. Nat. Soc. 2015, Article ID 574091, 12 p. (2015; Zbl 1418.91260) Full Text: DOI OpenURL
Shao, Jia; Pantelous, Athanasios; Papaioannou, Apostolos D. Catastrophe risk bonds with applications to earthquakes. (English) Zbl 1329.91076 Eur. Actuar. J. 5, No. 1, 113-138 (2015). MSC: 91B30 91G20 62P12 86A17 PDF BibTeX XML Cite \textit{J. Shao} et al., Eur. Actuar. J. 5, No. 1, 113--138 (2015; Zbl 1329.91076) Full Text: DOI OpenURL
Wang, Wei; Qian, Linyi; Su, Xiaonan Pricing and hedging catastrophe equity put options under a Markov-modulated jump diffusion model. (English) Zbl 1306.91142 J. Ind. Manag. Optim. 11, No. 2, 493-514 (2015). MSC: 91G20 60J75 PDF BibTeX XML Cite \textit{W. Wang} et al., J. Ind. Manag. Optim. 11, No. 2, 493--514 (2015; Zbl 1306.91142) Full Text: DOI OpenURL
Nowak, Piotr; Romaniuk, Maciej Pricing of catastrophe bond in fuzzy framework. (English) Zbl 1348.91273 Borgelt, Christian (ed.) et al., Towards advanced data analysis by combining soft computing and statistics. Berlin: Springer (ISBN 978-3-642-30277-0/hbk; 978-3-642-30278-7/ebook). Studies in Fuzziness and Soft Computing 285, 137-150 (2013). MSC: 91G20 91B30 PDF BibTeX XML Cite \textit{P. Nowak} and \textit{M. Romaniuk}, Stud. Fuzziness Soft Comput. 285, 137--150 (2013; Zbl 1348.91273) Full Text: DOI OpenURL
Ma, Zong-Gang; Ma, Chao-Qun Pricing catastrophe risk bonds: a mixed approximation method. (English) Zbl 1284.91551 Insur. Math. Econ. 52, No. 2, 243-254 (2013). MSC: 91G20 91G30 PDF BibTeX XML Cite \textit{Z.-G. Ma} and \textit{C.-Q. Ma}, Insur. Math. Econ. 52, No. 2, 243--254 (2013; Zbl 1284.91551) Full Text: DOI OpenURL
Scherer, Matthias; Schmid, Ludwig; Schmidt, Thorsten Shot-noise driven multivariate default models. (English) Zbl 1256.91059 Eur. Actuar. J. 2, No. 2, 161-186 (2012). MSC: 91G40 91G20 PDF BibTeX XML Cite \textit{M. Scherer} et al., Eur. Actuar. J. 2, No. 2, 161--186 (2012; Zbl 1256.91059) Full Text: DOI OpenURL
Braun, Alexander Pricing catastrophe swaps: a contingent claims approach. (English) Zbl 1228.91065 Insur. Math. Econ. 49, No. 3, 520-536 (2011). MSC: 91G20 91G40 PDF BibTeX XML Cite \textit{A. Braun}, Insur. Math. Econ. 49, No. 3, 520--536 (2011; Zbl 1228.91065) Full Text: DOI OpenURL
Chang, Lung-Fu; Hung, Mao-Wei Analytical valuation of catastrophe equity options with negative exponential jumps. (English) Zbl 1156.91363 Insur. Math. Econ. 44, No. 1, 59-69 (2009). MSC: 91B28 91B30 60H30 PDF BibTeX XML Cite \textit{L.-F. Chang} and \textit{M.-W. Hung}, Insur. Math. Econ. 44, No. 1, 59--69 (2009; Zbl 1156.91363) Full Text: DOI OpenURL
Wang, Liang; Valdez, Emiliano A.; Piggott, John Securitization of longevity risk in reverse mortgages. (English) Zbl 1481.91189 N. Am. Actuar. J. 12, No. 4, 345-371 (2008). MSC: 91G05 PDF BibTeX XML Cite \textit{L. Wang} et al., N. Am. Actuar. J. 12, No. 4, 345--371 (2008; Zbl 1481.91189) Full Text: DOI OpenURL
Muermann, Alexander Market price of insurance risk implied by catastrophe derivatives. (English) Zbl 1481.91181 N. Am. Actuar. J. 12, No. 3, 221-227 (2008). MSC: 91G05 91G20 PDF BibTeX XML Cite \textit{A. Muermann}, N. Am. Actuar. J. 12, No. 3, 221--227 (2008; Zbl 1481.91181) Full Text: DOI OpenURL
Egami, Masahiko; Young, Virginia R. Indifference prices of structured catastrophe (CAT) bonds. (English) Zbl 1152.91442 Insur. Math. Econ. 42, No. 2, 771-778 (2008). MSC: 91B24 91B30 PDF BibTeX XML Cite \textit{M. Egami} and \textit{V. R. Young}, Insur. Math. Econ. 42, No. 2, 771--778 (2008; Zbl 1152.91442) Full Text: DOI Link OpenURL
Lee, Jin-Ping; Yu, Min-Teh Valuation of catastrophe reinsurance with catastrophe bonds. (English) Zbl 1193.91067 Insur. Math. Econ. 41, No. 2, 264-278 (2007). MSC: 91B30 PDF BibTeX XML Cite \textit{J.-P. Lee} and \textit{M.-T. Yu}, Insur. Math. Econ. 41, No. 2, 264--278 (2007; Zbl 1193.91067) Full Text: DOI OpenURL
Jaimungal, Sebastian; Wang, Tao Catastrophe options with stochastic interest rates and compound Poisson losses. (English) Zbl 1168.91388 Insur. Math. Econ. 38, No. 3, 469-483 (2006). MSC: 91G20 60H10 60H30 91G30 PDF BibTeX XML Cite \textit{S. Jaimungal} and \textit{T. Wang}, Insur. Math. Econ. 38, No. 3, 469--483 (2006; Zbl 1168.91388) Full Text: DOI OpenURL
Young, Virginia R. Pricing in an incomplete market with an affine term structure. (English) Zbl 1134.91471 Math. Finance 14, No. 3, 359-381 (2004). MSC: 91B28 60H10 60H30 91B30 93E20 PDF BibTeX XML Cite \textit{V. R. Young}, Math. Finance 14, No. 3, 359--381 (2004; Zbl 1134.91471) Full Text: DOI OpenURL
Bacinello, Anna Rita Pricing guaranteed life insurance participating policies with annual premiums and surrender option. (English) Zbl 1084.62519 N. Am. Actuar. J. 7, No. 3, 1-17 (2003). MSC: 62P05 91B30 91G20 PDF BibTeX XML Cite \textit{A. R. Bacinello}, N. Am. Actuar. J. 7, No. 3, 1--17 (2003; Zbl 1084.62519) Full Text: DOI OpenURL
Babbel, David F.; Gold, Jeremy; Merrill, Craig B. Fair value of liabilities: the financial economics perspective. (English) Zbl 1084.91511 N. Am. Actuar. J. 6, No. 1, 12-27 (2002). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{D. F. Babbel} et al., N. Am. Actuar. J. 6, No. 1, 12--27 (2002; Zbl 1084.91511) Full Text: DOI OpenURL