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A canonical first passage time model to pricing nature-linked bonds. (2004). Vaugirard, Victor .
In: Economics Bulletin.
RePEc:ebl:ecbull:eb-04g10002.

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Cited: 7

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Cites: 7

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Cocites: 50

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  1. .

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  2. Stable Weak Approximation at Work in Index-Linked Catastrophe Bond Pricing. (2017). Burnecki, Krzysztof ; Giuricich, Mario Nicolo.
    In: Risks.
    RePEc:gam:jrisks:v:5:y:2017:i:4:p:64-:d:123183.

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  3. Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts. (2016). Platen, Eckhard ; Taylor, David.
    In: Research Paper Series.
    RePEc:uts:rpaper:379.

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  4. Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts. (2016). Platen, Eckhard ; Taylor, David.
    In: Papers.
    RePEc:arx:papers:1610.09875.

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  5. Alternative Risk Transfer and Insurance-Linked Securities: Trends, Challenges and New Market Opportunities. (2015). Braun, Alexander ; ben Ammar, Semir ; Eling, Martin.
    In: I.VW HSG Schriftenreihe.
    RePEc:zbw:usgivw:56.

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  6. Pricing catastrophe swaps: A contingent claims approach. (2011). Braun, Alexander.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:49:y:2011:i:3:p:520-536.

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  7. An approximate formula for the first-crossing-time density of a Wiener process perturbed by random jumps. (2009). Giraudo, Maria Teresa .
    In: Statistics & Probability Letters.
    RePEc:eee:stapro:v:79:y:2009:i:13:p:1559-1567.

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References

References cited by this document

  1. Briys, E. (1998) “Pricing Insurance Linked Bonds” in Options, Futures and Exotic Derivatives, by E. Briys and M. Bellalah, Eds., U.K.: Wiley, 225-240.
    Paper not yet in RePEc: Add citation now
  2. Cummins, J. D., and H. Geman. (1995) “Pricing Catastrophe Insurance Futures and Call Spreads: An Arbitrage Approach” Journal of Fixed Income 1, 46-57.
    Paper not yet in RePEc: Add citation now
  3. Froot, K. A. (2001) “The Market for Catastrophe Risk: A Clinical Examination” Journal of Financial Economics 60, 529-571.

  4. Lee, J. P., and M. T. Yu (2002) “Pricing Default-Risky CAT Bonds with Moral Hazard and Basis Risk” Journal of Risk and Insurance 69, 25-44.
    Paper not yet in RePEc: Add citation now
  5. Lucas, R. (1978) “Asset Prices in an Exchange Economy” Econometrica 46, 1426-46.

  6. Merton, R. C. (1976) “Option Pricing when Underlying Stock Returns are Discontinuous” Journal of Financial Economics 3, 125-44.

  7. Vasicek, O. (1977) “An Equilibrium Characterization of the Term Structure” Journal of Financial Economics 5, 177-88.

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