English, Article edition: An Equilibrium Model of Catastrophe Insurance Futures and Spreads Knut Aase

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Physical Description
  • article
Language
  • English

Edition details

Title
  • An Equilibrium Model of Catastrophe Insurance Futures and Spreads
Author
  • Knut Aase
Physical Description
  • article
Notes
  • This article presents a valuation model of futures contracts and derivatives on such contracts, when the underlying delivery value is an insurance index, which follows a stochastic process containing jumps of random claim sizes at random time points of accident occurrence. Applications are made on insurance futures and spreads, a relatively new class of instruments for risk management launched by the Chicago Board of Trade in 1993, anticipated to start in Europe and perhaps also in other parts of the world in the future. The article treats the problem of pricing catastrophe risk, which is priced in the model and not treated as unsystematic risk. Several closed pricing formulas are derived, both for futures contracts and for futures derivatives, such as caps, call options, and spreads. The framework is that of partial equilibrium theory under uncertainty. The Geneva Papers on Risk and Insurance Theory (1999) 24, 69–96. doi:10.1023/​A:1008785300001
  • RePEc:pal:genrir:v:24:y:1999:i:1:p:69-96
Language
  • English
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