NORBERG, RAGNAR; SAVINA, OKSANA - In: International Journal of Theoretical and Applied … 15 (2012) 04, pp. 1250030-1
The present study addresses the problem of designing a catastrophe derivative that insurers can use to hedge catastrophe-related losses in an incomplete market. The losses are modeled as a doubly stochastic compound Poisson process with shot-noise intensity. The hedging capability of a...