Valuing catastrophe derivatives under limited diversification : a stochastic dominance approach
Stylianos Perrakis; Ali Boloorforoosh
| Year of publication: |
2013
|
|---|---|
| Authors: | Perrakis, Stylianos ; Boloorforoosh, Ali |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 37.2013, 8, p. 3157-3168
|
| Subject: | Catastrophe events | Jump processes | Jump-diffusion | Insurance products | Derivative assets | Derivat | Derivative | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Katastrophe | Disaster | Portfolio-Management | Portfolio selection | Versicherung | Insurance | Risikomanagement | Risk management | Diversifikation | Diversification | Elementarschadenversicherung | Natural disaster insurance | Risikomodell | Risk model | Volatilität | Volatility |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009778483