Valuation of structured risk management products

被引：57

作者：

Cox, SH ^{[1
]}

Fairchild, JR

Pedersen, HW

机构：

[1] Georgia State Univ, Dept Risk Management & Insurance, Actuarial Sci Program, Atlanta, GA 30302 USA

[2] Zurich Financial Serv Grp, Zurich, Switzerland

[3] Univ Manitoba, Warren Ctr Actuarial Studies & Res, IH Asper Sch, Winnipeg, MB R3T 2N2, Canada

来源：

INSURANCE MATHEMATICS & ECONOMICS | 2004年 / 34卷 / 02期

关键词：

financial risk management; alternative risk transfer; securitization; catastrophe risk bonds; finite risk reinsurance; options pricing; reinsurance; retention; real options;

D O I：

10.1016/j.insmatheco.2003.12.006

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper applies valuation theory to structured risk management products. We specialize the theoretical model to two representative products, a "double trigger" put option and a property insurance with a retention which is a function of a commodity price. The double trigger refers to the fact that the option has to satisfy two conditions in order to be in the money: the underlying equity must be below the strike price and, in addition, a specified catastrophic event must have occurred and affected the insured firm. These examples illustrate how the standard valuation theory for pricing risk in an arbitrage-free market should be applied to products engineered to manage multiple risks within the firm. (C) 2004 Elsevier B.V. All rights reserved.

引用

页码：259 / 272

页数：14

共 5 条

[1] Beyond arbitrage:: Good-deal asset price bounds in incomplete markets [J].