Implied Loss Distributions for Catastrophe Insurance Derivatives

Topics:
Insurance,
Investment and Capital Markets
Tags:
Business Operations,
Corporate Insurance,
Finance,
Financial Planning,
Insurance,
University Of Aarhus
Source:
University of Aarhus

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Overview: The paper analyses the catastrophic insurance derivatives considering the implied loss distribution embedded in the traded prices. There are two main problems in this analysis. First what kind of distribution should be chosen and second how should the involved parameters be estimated. This paper gives answers to these two questions.

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Format: PDF | Size: 453KB | Date: Jan 2001 | Pages: 29

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