Pricing Catastrophe Derivatives Using A Recursive Evaluation Approach

Korean Journal of Financial Studies 2008;37(4):569-598.
Published online August 31, 2008.

Pricing Catastrophe Derivatives Using A Recursive Evaluation Approach

Yu Hong Liu, Mao Wei Hung, I Ming Jiang, Cheng Han Kuei

Key Words: Catastrophe Insurance Derivative,Compound Poisson Process and Distribution,Insurance Services Office (ISO) Catastrophe Futures,Property Claim Services (PCS) Catastrophe Options,Recursive Evaluation Approach

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