journal6 ›› 2007, Vol. 28 ›› Issue (5): 29-33.

• Mathematics • Previous Articles     Next Articles

Catastrophe Index Model and Insurance Actuary Pricing of the Derivatives


  1. (College of Business,Hunan University of Science and Technology,Xiangtan 411201,Hunan China)
  • Online:2007-09-25 Published:2012-06-11

Abstract: Under jump-diffusion catastrophe index model,the author analyzes the pricing of catastrophe derivatives under stochastic interest rates with a compound Poisson process.By using the approach of insurance actuary pricing,the formulas of values of catastrophe options and catastrophe bonds are obtained.

Key words: catastrophe options, stochastic interest rates, compound Poisson process, insurance actuary pricing

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