This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
Bibliography
Aase, K. (1999). An Equilibrium Model of Catastrophe Insurance Futures and Spreads, The Geneva Papers on Risk and Insurance Theory 24: 69–96.
Barton, C. and Nishenko, S. (1994). Natural Disasters — Forecasting Economic and Life Losses, SGS special report.
Baryshnikov, Yu., Mayo, A. and Taylor, D.R. (1998). Pricing of CAT bonds, preprint.
Bremaud, P. (1981). Point Processes and Queues: Martingale Dynamics, Springer, New York.
Burnecki, K., Kukla, G. and Weron R. (2000). Property Insurance Loss Distributions, Phys. A 287: 269–278.
Burnecki, K. and Kukla, G. (2003). Pricing of Zero-Coupon and Coupon Cat Bonds, Appl. Math. (Warsaw) 30(3): 315–324.
Burnecki, K., Härdle, W. and Weron, R. (2004). Simulation of Risk Processes, in Encyclopedia of Actuarial Science, J. L. Teugels and B. Sundt (eds.), Wiley, Chichester.
Canter, M. S., Cole, J. B. and Sandor, R. L. (1996). Insurance Derivatives: A New Asset Class for the Capital Markets and a New Hedging Tool for the Insurance Industry, Journal of Derivatives 4(2): 89–104.
Cummins, J. D. and Danzon, P. M. (1997). Price Shocks and Capital Flows in Liability Insurance, Journal of Financial Intermediation 6: 3–38.
Cummins, J. D., Lo, A. and Doherty, N. A. (1999). Can Insurers Pay for the “Big One”? Measuring the Capacity of an Insurance Market to Respond to Catastrophic Losses, preprint, Wharton School, University of Pennsylvania.
D'Agostino, R.B. and Stephens, M.A. (1986). Goodness-of-Fit Techniques, Marcel Dekker, New York.
Doherty, N. A. (1997). Innovations in Managing Catastrophe Risk, Journal of Risk & Insurance 64(4): 713–718.
Duffie, D. and Singleton, K. J. (1999). Modelling Term Structures of Defaultable Bonds, The Review of Financial Studies 12(4): 687–720.
Embrechts, P., Resnick, S. I. and Samorodnitsky, G. (1999). Extreme Value Theory as a Risk Management Tool, North American Actuarial Journal 3(2): 30–41.
Embrechts, P. and Meister, S. (1997). Pricing Insurance Derivatives: The Case of Cat-Futures, in Securitization of Insurance risk, 1995 Bowles Symposium, SOA Monograph M-F197-1: 15–26.
Froot, K. and O'Connell P. (1997). On the Pricing of Intermediated Risks: Theory and Application to Catastrophe Reinsurance, NBER Working Paper No. w6011.
Jarrow, R. A. and Turnbull, S. (1995). Pricing Options on Financial Securities Subject to Default Risk, Journal of Finance 50: 53–86.
Kau, J. B. and Keenan, D. C. (1996). An Option-Theoretic Model of Catastrophes Applied to Mortgage Insurance, Journal of Risk and Insurance 63(4): 639–656.
Lane, M.N. (2001). Rationale and Results with the LFC CAT Bond Pricing Model, Lane Financial L.L.C.
Lane, M.N. (2004). The Viability and Likely Pricing of “CAT Bonds” for Developing Countries, Lane Financial L.L.C.
Litzenberger, R.H., Beaglehole, D. R. and Reynolds, C. E. (1996). Assessing Catastrophe Reinsurance-Linked Securities as a New Asset Class, Journal of Portfolio Management (December): 76–86.
McGhee, C. (2004). Market Update: The Catastrophe Bond Market at Year-End 2003, Guy Carpenter & Company, Inc.
Ross, S. (2001). Simulation, 3rd ed., Academic Press, Boston.
Sigma (1996). Insurance Derivatives and Securitization: New Hedging Perspectives for the US Catastrophe Insurance Market?, Report Number 5, Swiss Re.
Sigma (1997). Too Little Reinsurance of Natural Disasters in Many Markets, Report Number 7, Swiss Re.
Sigma (2003). The Picture of ART, Report Number 1, Swiss Re.
Winter, R. A. (1994). The dynamics of competitive insurance markets, Journal of Financial Intermediation 3: 379–415.
Zhou, C. (1994). A Jump Diffusion Approach to Modelling Credit Risk and Valuing Defaultable Securities, preprint, Federal Board.
Rights and permissions
Copyright information
© 2005 Springer-Verlag Berlin Heidelberg
About this chapter
Cite this chapter
Burnecki, K., Kukla, G., Taylor, D. (2005). Pricing of Catastrophe Bonds. In: Statistical Tools for Finance and Insurance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/3-540-27395-6_4
Download citation
DOI: https://doi.org/10.1007/3-540-27395-6_4
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-22189-0
Online ISBN: 978-3-540-27395-0
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)