Cummins J D, German H. An Asian option approach to the valuation of insurance futures contracts[R]. Working Papers, Wharton Financial Institutions, 1993.
[3]
Cummins J D, German H. Pricing catastrophe insurance futures and call spreads: An arbitrage approach[J]. Journal of Fixed Income, 1995, 4(March):46-57.
[4]
Chang W C, Chang S K J, Lu W. Pricing and hedging catastrophe-linked risk in discrete time[J]. Insurance: Mathematics and Economics, 2008, 43: 422-430.
[5]
German H, Yor M. Stochastic time changes in catastrophe option pricing[J]. Insurance: Mathematics and Economics, 1997, 21: 185-193.
[6]
Chang W C, Chang S K J, Yu M. Pricing catastrophe insurance futures call spreads: A randomized operational time approach[J]. Journal of Risk and Insurance, 1996, 63(4):599-617.
[7]
Biagini F, Bregman Y, Meyer-Brandis T. Pricing of catastrophe insurance options written on a loss index with reestimation[J]. Insurance: Mathematics and Economics, 2008, 43(2): 214-222.
[8]
Wu Yangche, Chung S L. Catastrophe risk management with counterparty risk using alternative instruments[J]. Insurance: Mathematics and Economics. 2010, 47(2):234-245.
[9]
Aase K K. An equilibrium model of catastrophe insurance futures and spreads[J]. The Geneva Papers on Risk and Insurance Theory, 1999, 24(1), 69-96.
[10]
Aase K K. A Markov model for the pricing of catastrophe insurance futures and spreads[J]. Journal of Risk and Insurance, 2001, 68(1):25-50.
[11]
Young V R. Pricing in an incomplete market with an affine term structure[J]. Mathematical Finance, 2004, 14(3): 359-381.
[12]
Young V R, Zariphopoulou T. Pricing dynamic insurance risks using the principle of equivalent utility[J]. Scandinavian Actuarial Journal, 2002, 4:246-279.
[13]
Hobson D, Henderson V. Utility indifference pricing-an overview[M]//Carmona R. Indifference pricing: Theory and applications Princeton: Princeton University Press, 2009.
[14]
Lim T, Quenez M C. Portfolio optimization in a defaults model under full/partial information[J]. Quantitative Finance, 2010.
[15]
Elliott R J, Siu T K. A stochastic differential game for optimal investment of an insurer with regime switching[J]. Quantitative Finance, 2011, 11(3): 365-380.
[16]
Chen An, Pelsser A, Vellekoop M. Modeling non-monotone risk aversion using SAHARA utility functions[J]. Journal of Economic Theory, 2011, 146(5):2075-2092.
[17]
Ikefuji M, Laeven R J A, Magnus J R, et al. Expected utility and catastrophic risk in a stochastic economy-climate model[R]. CentER Discussion Paper Series, 2010.
Mürmann A. Actuarially consistent valuation of catastrophe derivatives[J]. Working paper, 2003.
[23]
Mürmann A. Market price of insurance risk implied by catastrophe derivatives[J]. North American Actuarial Journal, 2006, 12(3), 221-227.
[24]
Canter M S, Cole J B, Sandor R L. Insurance derivatives: A new asset class for the capital markets and a new hedging tool for the insurance industry[J]. Journal of Applied Corporate Finance, 1997, 10(3), 69-83.
[25]
Davis M H A. Option pricing in incomplete markets[M]//Dempster M A H, Pliska S R. Mathematics of derivatives securities. Cambridge: Cambridge University Press, 1997.
[26]
Froot K A. The market for catastrophe risk: A clinical examination[J]. Journal of Finance Economics, 2001, 60, 529-571.
[27]
Hoyt R E, McCullough K A. Catastrophe insurance options: Are they zero-beta assets?[J]. Journal of Insurance Issues, 1999, 22(2), 147-163.
[28]
Beard R E, Pentikinen T, Pesonen E. Risk theory: The stochastic basis of insurance[M]. London: Chapman and Hall, 1984.
[29]
Beekman J A. Two stochastic processes[J]. Stockholm: Almqvist & Wiksell, 1974.
[30]
Breiman L. Probability[M]. Menlo Park, Calif.: Addison-Wesley, 1968.
[31]
Feller W. An introduction to probability theory and its applications[M]. New York: Wiley, 1971.
[32]
Huebner S S. Foundation monograph series[M]. Homewood, Ill.: Irwin, 1979.
[33]
Jensen J L. Saddle point approximations to the distribution of the total claim amount in some recent risk models[J]. Scandinavian Actuarial Journal, 1991, (2):154-68.
[34]
Seal H L. The stochastic theory of a risk business[J]. New York: Wileym, 1969.
