This dissertation consists of three papers referring to the pricing of insurance-linked securities, while a fourth one deals with investigating the dynamics of foreign exchange implied volatility and correlation surfaces. The first paper proposes a novel risk-neutral pricing approach for...

Natural and man made disasters cause severe human, physical and economic damage, both for the economy and for the population. There is a widespread perception that property insurance is the most efficient and economical way to protect against financial losses caused by natural disasters....

Pandemic risks, such as Covid-19, are difficult to insure as they are characterized by multiple factor risks and losses and involve different types of businesses and people simultaneously. The scarcity of time series and statistical data prevents insurers from developing correct pricing. We...