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Securitization of Insurance Risk: The 1995 Bowles Symposium, Chapter 3: Pricing Insurance Derivatives: The Case of CAT Futures
Pricing Insurance Derivatives: The Case of CAT Futures 17 Consider a price process (X,)o~r on (fl, g, P) ... This result should also be compared with formula (17) in Gerber (1987). Example 5 Consider the insurance ...- Authors: Paul Embrechts, Steffen Meister
- Date: Oct 1997
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Reinsurance