Catastrophe Risk Bonds

By Samuel H. Cox, H. Pedersen. 2000

178 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/8a83af8b0f5105605e116a68be3f6c7b87d0d5f6

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In Demography

In Economics and Econometrics

In Management Science and Operations Research

Citations in the corpus

Valuation of catastrophe reinsurance with catastrophe bonds (2007, background): “2 For example, see Cox and Schwebach (1992), Cummins and Geman (1995), and Chang et al. (1996) on CAT futures and options; see Louberge et al. (1999), Croson and Kunreuther (2000), and Cox and Pederson (2000) on CAT bonds.”
Pricing Default-Risky Cat Bonds with Moral Hazard and Basis Risk (2002, background): “For a discussion of this point, see Naik and Lee (1990), Cummins and Geman (1995), and Cox and Pedersen (2000).”
Catastrophe options with stochastic interest rates and compound Poisson losses (2006, methodology): “Cox and Pedersen (2000) examine the pricing of catastrophe risk bonds, and briefly discuss the theory of equilibrium pricing and its relationship to the standard arbitrage-free valuation framework. Dassios and Jang (2003) use the Cox process, also known as the doubly stochastic Poisson process, to m”
PRICING IN AN INCOMPLETE MARKET WITH AN AFFINE TERM STRUCTURE (2004, unknown): “Therefore, our method generalizes that of Brennan and Schwarz (1976) and Cox and Pedersen (2000), among others, because their price is a special case of ours for α = 0.”
Securitization of Mortality Risks in Life Annuities (2005, unknown): “Cox and Pedersen (2000) describe a model for pricing cat bonds and several examples of cat bonds.”
Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option (2003, background): “…the introductory sections in papers by Møller (1998, 2001a) and Bacinello and Persson (2002), which also referred to equity-linked contracts; the paper by Cox and Pedersen (2000), concerning catastrophe risk bonds; and the more general papers by Babbel and Merrill (1998) and Møller (2001b).”