We investigate the valuation and hedging of catastrophe options, whose claim arrival process is modeled by the Cox process or a doubly stochastic Poisson process. Employing the non-arbitrage principle we obtain closed form formula for the pricing of the option. Various hedging parameters are also computed.catastrophe options, Cox process, pricing

Fujita, Takahiko

Ishimura, Naoyuki

Tanaka, Daichi

Research Papers in Economics

English

Catastrophe insurance, capital markets, and uninsurable risks,”

Catastrophe options with stochastic interest rates and compound Poisson losses,”

Explosive Poisson processes with applications to risk reserves,”

Finance no Kakuritsu-kaiseki Nyumon [Introduction to the Stochastic Analysis for Financial Derivatives],

Jump wo fukumu kabuka model ni okeru option no kakaku zuke [Option pricing when underlying stock involves jump process],” Thesis for the Master-course degree,

On Cox processes and credit risky securities,”

Option pricing when underlying stock returns are discontinuous,”

Pricing catastrophe bonds by an arbitrage approach,”

Pricing catastrophe insurance futures and call spreads: An arbitrage approach,”

Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity,”

Stochastic Processes for Insurance and Finance,

The basis risk of catastrophic-loss index securities,”

The market for catastrophe risk: a clinical examination,”

The virtual waiting-time and related processes,”

Valuation of catastrophe reinsurance with catastrophe bonds,”

Valuation of structured risk management products,”

An Arbitrage Approach to the Pricing of Catastrophe Options Involving the Cox Process