Insurance and weather derivatives: from exotic options to exotic underlyings
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
London
Risk Books
1999
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XVI, 213 S. Ill., zahlr. graph. Darst. |
| ISBN: | 189933257X |
Internformat
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | BV014074831 | ||
| 003 | DE-604 | ||
| 005 | 20080128 | ||
| 007 | t | ||
| 008 | 020102s1999 ad|| |||| 00||| eng d | ||
| 020 | |a 189933257X |9 1-899332-57-X | ||
| 035 | |a (OCoLC)262894098 | ||
| 035 | |a (DE-599)BVBBV014074831 | ||
| 040 | |a DE-604 |b ger |e rakwb | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-473 |a DE-355 |a DE-11 |a DE-188 | ||
| 050 | 0 | |a HG8045.5 | |
| 082 | 0 | |a 332.632 |2 22 | |
| 084 | |a QK 660 |0 (DE-625)141676: |2 rvk | ||
| 084 | |a QQ 630 |0 (DE-625)141989: |2 rvk | ||
| 084 | |a SK 980 |0 (DE-625)143277: |2 rvk | ||
| 245 | 1 | 0 | |a Insurance and weather derivatives |b from exotic options to exotic underlyings |c ed. by Hélyette Geman |
| 264 | 1 | |a London |b Risk Books |c 1999 | |
| 300 | |a XVI, 213 S. |b Ill., zahlr. graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 650 | 4 | |a Derivative securities | |
| 650 | 4 | |a Exotic options (Finance) | |
| 650 | 4 | |a Insurance | |
| 650 | 4 | |a Risk (Insurance) | |
| 650 | 0 | 7 | |a Risikomanagement |0 (DE-588)4121590-4 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Versicherung |0 (DE-588)4063173-4 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Wetter |0 (DE-588)4065852-1 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Derivat |g Wertpapier |0 (DE-588)4381572-8 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Versicherungsbetrieb |0 (DE-588)4063180-1 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Securitization |0 (DE-588)4140657-6 |2 gnd |9 rswk-swf |
| 655 | 7 | |0 (DE-588)4143413-4 |a Aufsatzsammlung |2 gnd-content | |
| 689 | 0 | 0 | |a Risikomanagement |0 (DE-588)4121590-4 |D s |
| 689 | 0 | 1 | |a Versicherungsbetrieb |0 (DE-588)4063180-1 |D s |
| 689 | 0 | 2 | |a Securitization |0 (DE-588)4140657-6 |D s |
| 689 | 0 | |5 DE-604 | |
| 689 | 1 | 0 | |a Versicherung |0 (DE-588)4063173-4 |D s |
| 689 | 1 | 1 | |a Wetter |0 (DE-588)4065852-1 |D s |
| 689 | 1 | 2 | |a Derivat |g Wertpapier |0 (DE-588)4381572-8 |D s |
| 689 | 1 | |5 DE-604 | |
| 700 | 1 | |a Geman, Hélyette |e Sonstige |4 oth | |
| 856 | 4 | 2 | |m Digitalisierung UB Regensburg |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009639812&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-009639812 | ||
Datensatz im Suchindex
| _version_ | 1804128937675063296 |
|---|---|
| adam_text | CONTENTS
Contributors
vii
Preface
xiii
Helyette Geman
of University
Paris
IX
Dauphine
and ESSEC
Introduction
xv
Richard L.
Sándor
of Hedge Financial Products
INSURANCE DERIVATIVES
1
From Options on Stocks and Currencies to Options on
Insurance, Credit and Weather
3
Helyette
Geman of University Paris IX
Dauphine
and ESSEC
2
The Valuation of Multiple Claim Insurance Contracts
13
David
С
Snimko
of Harvard Business School
3
CAT Calls
25
Helyette
Geman of University Paris IX
Dauphine
and ESSEC
4
Pricing Catastrophe Insurance Futures and Call Spreads:
An Arbitrage Approach
29
J. David Cummins and
Helyette
Geman of The Wharton
School and University Paris IX Dauphine/ESSEC
5
A Rational Approach to Pricing of Catastrophe Insurance
39
Weimin Dong, Haresh Shah and Felix Wong of Risk
Management Solutions
Inc, Standford
University and
Weidlinger Associates
Inc
6
Stochastic Time Changes in Catastrophe Option Pricing
49
Helyette
Geman and Marc Yor of University Paris IX
Dauphine/ESSEC and University Paris VI
7
Interest Rate Risk Management and Valuation of the
Surrender Option in Life Insurance Policies
55
Marie
Odile Albizzati
and
Helyette
Geman of the
Pantheon
Assas
University, Paris and University Paris IX
Dauphine/ESSEC
SECURITISATION
8
The Catastrophe Reinsurance Market: Economic Gyrations and
Innovations Amid Major Structural Transformation
71
R. McFall Lamm Jr of Bankers Trust
9
The Exotica Portfolio: New Financial Instruments
Make Bonds Obsolete
85
R. McFall Lamm Jr of Bankers Trust
10
Insurance-Risk Securitisation and CAT Insurance Derivatives
101
Helyette
Geman of University Paris IX
Dauphine
and ESSEC
11
Insurance
Derivatives:
A New Asset Class for the Capital
Markets and a New Hedging Tool for the Insurance Industry
107
Michael S. Canter, Joseph B. Cole and Richard L.
Sándor
of AIG Risk Finance and Hedge Financial Products
12
Assessing Catastrophe Reinsurance-Linked Securities as a
New Asset Class
121
Robert H. Litzenberger, David R. Beaglehole and
Craig E. Reynolds of Goldman, Sachs
&
Co and
Deutsche Bank
13
A Note on Pricing PCS Single-Event Options
131
Michael J.
Tomas
III of Chicago Board of Trade
14
The High-Yield Bond Market: Catastrophe Bonds versus
Defaultable Bonds
137
Helyette
Geman of University Paris IX
Dauphine
and ESSEC
15
The Perfume of the Premium II
143
Morton Lane and
Oleg Movchan
of Gerling Global Financial
Products and UBS Brinson
16
Insurance-Linked Securities
155
Gail Belonsky, David
Laster
and David
Durbin
of Swiss Re
17
Pricing Mother Nature
167
Eric Briys of Merrill Lynch
WEATHER DERIVATIVES
18
Weather Derivatives and Hedging Weather Risks
173
Sailesh Ramamurtie of Southern Company Energy Marketing
19
Weather Derivatives: Hedging Mother Nature
179
Lynda Clemmons, Vincent
Kaminski
and
Joseph H. Hrgovcic of Enron
20
A Weather Risk Management Choice: Hedging with Degree-day
Derivatives
183
Robert Dischel of WxPx.com
21
The Bermuda Triangle: Weather, Electricity and Insurance
Derivatives
197
Helyette
Geman of University Paris IX
Dauphine
and ESSEC
Glossary
205
Index
209
|
| any_adam_object | 1 |
| building | Verbundindex |
| bvnumber | BV014074831 |
| callnumber-first | H - Social Science |
| callnumber-label | HG8045 |
| callnumber-raw | HG8045.5 |
| callnumber-search | HG8045.5 |
| callnumber-sort | HG 48045.5 |
| callnumber-subject | HG - Finance |
| classification_rvk | QK 660 QQ 630 SK 980 |
| ctrlnum | (OCoLC)262894098 (DE-599)BVBBV014074831 |
| dewey-full | 332.632 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.632 |
| dewey-search | 332.632 |
| dewey-sort | 3332.632 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>02192nam a2200553 c 4500</leader><controlfield tag="001">BV014074831</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20080128 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">020102s1999 ad|| |||| 00||| eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">189933257X</subfield><subfield code="9">1-899332-57-X</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)262894098</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV014074831</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-473</subfield><subfield code="a">DE-355</subfield><subfield code="a">DE-11</subfield><subfield code="a">DE-188</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HG8045.5</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.632</subfield><subfield code="2">22</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 660</subfield><subfield code="0">(DE-625)141676:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QQ 630</subfield><subfield code="0">(DE-625)141989:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">SK 980</subfield><subfield code="0">(DE-625)143277:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Insurance and weather derivatives</subfield><subfield code="b">from exotic options to exotic underlyings</subfield><subfield code="c">ed. by Hélyette Geman</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">London</subfield><subfield code="b">Risk Books</subfield><subfield code="c">1999</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">XVI, 213 S.</subfield><subfield code="b">Ill., zahlr. graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Derivative securities</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Exotic options (Finance)</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Insurance</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Risk (Insurance)</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Risikomanagement</subfield><subfield code="0">(DE-588)4121590-4</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Versicherung</subfield><subfield code="0">(DE-588)4063173-4</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Wetter</subfield><subfield code="0">(DE-588)4065852-1</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Derivat</subfield><subfield code="g">Wertpapier</subfield><subfield code="0">(DE-588)4381572-8</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Versicherungsbetrieb</subfield><subfield code="0">(DE-588)4063180-1</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Securitization</subfield><subfield code="0">(DE-588)4140657-6</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="655" ind1=" " ind2="7"><subfield code="0">(DE-588)4143413-4</subfield><subfield code="a">Aufsatzsammlung</subfield><subfield code="2">gnd-content</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Risikomanagement</subfield><subfield code="0">(DE-588)4121590-4</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Versicherungsbetrieb</subfield><subfield code="0">(DE-588)4063180-1</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="2"><subfield code="a">Securitization</subfield><subfield code="0">(DE-588)4140657-6</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="689" ind1="1" ind2="0"><subfield code="a">Versicherung</subfield><subfield code="0">(DE-588)4063173-4</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2="1"><subfield code="a">Wetter</subfield><subfield code="0">(DE-588)4065852-1</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2="2"><subfield code="a">Derivat</subfield><subfield code="g">Wertpapier</subfield><subfield code="0">(DE-588)4381572-8</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Geman, Hélyette</subfield><subfield code="e">Sonstige</subfield><subfield code="4">oth</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">Digitalisierung UB Regensburg</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009639812&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-009639812</subfield></datafield></record></collection> |
| genre | (DE-588)4143413-4 Aufsatzsammlung gnd-content |
| genre_facet | Aufsatzsammlung |
| id | DE-604.BV014074831 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:57:11Z |
| institution | BVB |
| isbn | 189933257X |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-009639812 |
| oclc_num | 262894098 |
| open_access_boolean | |
| owner | DE-473 DE-BY-UBG DE-355 DE-BY-UBR DE-11 DE-188 |
| owner_facet | DE-473 DE-BY-UBG DE-355 DE-BY-UBR DE-11 DE-188 |
| physical | XVI, 213 S. Ill., zahlr. graph. Darst. |
| publishDate | 1999 |
| publishDateSearch | 1999 |
| publishDateSort | 1999 |
| publisher | Risk Books |
| record_format | marc |
| spelling | Insurance and weather derivatives from exotic options to exotic underlyings ed. by Hélyette Geman London Risk Books 1999 XVI, 213 S. Ill., zahlr. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Derivative securities Exotic options (Finance) Insurance Risk (Insurance) Risikomanagement (DE-588)4121590-4 gnd rswk-swf Versicherung (DE-588)4063173-4 gnd rswk-swf Wetter (DE-588)4065852-1 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Versicherungsbetrieb (DE-588)4063180-1 gnd rswk-swf Securitization (DE-588)4140657-6 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Risikomanagement (DE-588)4121590-4 s Versicherungsbetrieb (DE-588)4063180-1 s Securitization (DE-588)4140657-6 s DE-604 Versicherung (DE-588)4063173-4 s Wetter (DE-588)4065852-1 s Derivat Wertpapier (DE-588)4381572-8 s Geman, Hélyette Sonstige oth Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009639812&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Insurance and weather derivatives from exotic options to exotic underlyings Derivative securities Exotic options (Finance) Insurance Risk (Insurance) Risikomanagement (DE-588)4121590-4 gnd Versicherung (DE-588)4063173-4 gnd Wetter (DE-588)4065852-1 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Versicherungsbetrieb (DE-588)4063180-1 gnd Securitization (DE-588)4140657-6 gnd |
| subject_GND | (DE-588)4121590-4 (DE-588)4063173-4 (DE-588)4065852-1 (DE-588)4381572-8 (DE-588)4063180-1 (DE-588)4140657-6 (DE-588)4143413-4 |
| title | Insurance and weather derivatives from exotic options to exotic underlyings |
| title_auth | Insurance and weather derivatives from exotic options to exotic underlyings |
| title_exact_search | Insurance and weather derivatives from exotic options to exotic underlyings |
| title_full | Insurance and weather derivatives from exotic options to exotic underlyings ed. by Hélyette Geman |
| title_fullStr | Insurance and weather derivatives from exotic options to exotic underlyings ed. by Hélyette Geman |
| title_full_unstemmed | Insurance and weather derivatives from exotic options to exotic underlyings ed. by Hélyette Geman |
| title_short | Insurance and weather derivatives |
| title_sort | insurance and weather derivatives from exotic options to exotic underlyings |
| title_sub | from exotic options to exotic underlyings |
| topic | Derivative securities Exotic options (Finance) Insurance Risk (Insurance) Risikomanagement (DE-588)4121590-4 gnd Versicherung (DE-588)4063173-4 gnd Wetter (DE-588)4065852-1 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Versicherungsbetrieb (DE-588)4063180-1 gnd Securitization (DE-588)4140657-6 gnd |
| topic_facet | Derivative securities Exotic options (Finance) Insurance Risk (Insurance) Risikomanagement Versicherung Wetter Derivat Wertpapier Versicherungsbetrieb Securitization Aufsatzsammlung |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009639812&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT gemanhelyette insuranceandweatherderivativesfromexoticoptionstoexoticunderlyings |