Valuation of structured risk management products

被引：56
|
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
收藏
页码：259 / 272
页数：14
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