Insurance and Weather Derivatives

Preface - Hélyette Geman

Introduction - Richard Sandor

Section 1: Insurance Derivatives

Chapter 1. Geman, Hélyette, 1999, “From Options on Stocks and Currencies on Options on Insurance, Credit and Weather

Chapter 2. Shimko, David, 1992, “The Valuation of Multiple Claim Insurance Contracts

Chapter 3. Geman, Hélyette, 1994, “CAT Calls“

Chapter 4. Cummins, David and Hélyette Geman, 1996, “Pricing Catastrophe Insurance Futures and Call Spreads: An Arbitrage Approach“,

Chapter 5. Dong, Weimin, Haresh Shah, and Felix Wong, 1996, “A Rational Approach to Pricing of Catastrophe Insurance

Chapter 6. Geman, Hélyette and Marc Yor, 1997, “Stochastic Time Changes in Catastrophe Option Pricing“, .

Chapter 7. Geman, Hélyette and Marie Odile Albizzati, 1994, Interest Rate Risk Management and the Valuation of the Surrender Option in Life Insurance Policies

Section 2: Securitisation

Chapter 8. Lamm Jr, R. McFall, 1997, “The Catastrophe Reinsurance Market: Economic Gyrations and Innovations Amid Major Structural Transformation“

Chapter 9. Lamm Jr, R. McFall, 199?, “The Exotica Portfolio: New Financial Instruments Make Bonds Obsolete

Chapter 10. Geman, Hélyette, 1996, “Insurance Risk Securitisation and CAT Insurance Derivatives

Chapter 11. Canter, Michael, Joseph B. Cole and Richard L. Sandor, 1997, “Insurance Derivatives: A New Asset Class for the Capital Markets and a New Hedging Tool for the Insurance Industry

Chapter 12. Litzenberger, Robert, David Beaglehole and Craig Reynolds, 1996, “Assessing Catastrophe Reinsurance-Linked Securities as a New Asset Class

Chapter 13. Tomas, Michael J. III, 1998, “A Note on Pricing PCS Single-Event Options

Chapter 14. Geman, Hélyette, 1999, “The High-Yield Bond Market: Catastrophe Bonds Versus Default Bonds

Chapter 15. Lane, Morton and Oleg Movchan, 1995, The Perfume of the Premium II

Chapter 16. Gail Belonsky, 1999, “Insurance-Linked Securities.

Chapter 17. Briys, Eric, 1998, “Pricing Mother Nature

Section 3: Weather Derivatives

Chapter 18. Ramamurtie, Sailesh, 1999, Weather Derivatives and Hedging Weather Risks

Chapter 19. Clemmons Lynda, Hrgovcic, Joseph, Kaminski, Vince, 1999, Weather Derivatives: Hedging Mother Nature

Chapter 20. Dischel, Bob, 1999, A Weather Risk Management Choice: Hedging with Degree-day Derivatives

Chapter 21. Geman, Hélyette, 1999, “The Bermuda Triangle: Weather, Electricity and Insurance Derivatives“