Intellectual Contribution by Alan Jung

Contribution Title

Insurance and Reinsurance Contracts as Complex Derivatives: Application to Multiple Peril Policies,

Publication

Journal of Risk

Co-author

Year

2001

Description

Multiple peril insurance schemes (e.g., revenue and earnings insurance) provide protection against adverse movements in several specified risks. Their indemnity payoff function resembles that of exotic options with complex contingencies. In this paper we show how option pricing techniques can be used to calculate fair premiums for three existing revenue insurance contracts. The products are sold by private insurance companies, but are reinsured by US government. We also show that the reinsurance contract can be valued by the same technique.

Complete Citation

Insurance and Reinsurance Contracts as Complex Derivatives: Application to Multiple Peril Policies, co-authored with C. Ramezani. Journal of Risk, Summer 2001, Vol. 3, No. 4.

Website

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