Valuing Multirisk Catastrophe Reinsurance Based on the Cox–Ingersoll–Ross (CIR) Model
Catastrophe risks lead to severe problems of insurance and reinsurance industry. In order to reduce the underwriting risk, the insurer would seek protection by transferring part of its risk exposure to the reinsurer. A framework for valuing multirisk catastrophe reinsurance under stochastic interest...
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| Hlavní autor: | |
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| Médium: | Artigo |
| Jazyk: | Inglês |
| Vydáno: |
Wiley
2021-01-01
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| Edice: | Discrete Dynamics in Nature and Society |
| On-line přístup: | http://dx.doi.org/10.1155/2021/8818486 |
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