scholarly journals Pricing of Reinsurance Contracts in the Presence of Catastrophe Bonds

2010 ◽  
Vol 40 (1) ◽  
pp. 307-329 ◽  
Author(s):  
Gareth G. Haslip ◽  
Vladimir K. Kaishev
Keyword(s):  
Fourier Transform ◽  
Numerical Methods ◽  
Probability Measure ◽  
Fast Fourier Transform ◽  
Risk Process ◽  
Market Prices ◽  
Catastrophe Bonds ◽  
Risk Neutral ◽  
Underlying Risk ◽  
Pricing Formula

AbstractA methodology for pricing of reinsurance contracts in the presence of a catastrophe bond is developed. An important advantage of this approach is that it allows for the pricing of reinsurance contracts consistent with the observed market prices of catastrophe bonds on the same underlying risk process.Within the proposed methodology, an appropriate financial pricing formula is derived, under a market implied risk neutral probability measure for both a catastrophe bond and an aggregate excess of loss reinsurance contract, using a generalised Fourier transform. Efficient numerical methods for the evaluation of this formula, such as the Fast Fourier transform and Fractional Fast Fourier transform, are considered.The methodology is illustrated on several examples including Pareto and Gamma claim severities.

Fast Fourier Transform Based Numerical Methods for Elasto-Plastic Contacts of Nominally Flat Surfaces

2008 ◽  
Vol 75 (1) ◽  
Author(s):  
W. Wayne Chen ◽  
Shuangbiao Liu ◽  
Q. Jane Wang
Keyword(s):  
Fourier Transform ◽  
Numerical Methods ◽  
Fast Fourier Transform ◽  
Analytical Solutions ◽  
Three Dimensional ◽  
Stress And Strain ◽  
Two Dimensional ◽  
Response Functions ◽  
Strain Fields ◽  
Flat Surfaces

This paper presents a three-dimensional numerical elasto-plastic model for the contact of nominally flat surfaces based on the periodic expandability of surface topography. This model is built on two algorithms: the continuous convolution and Fourier transform (CC-FT) and discrete convolution and fast Fourier transform (DC-FFT), modified with duplicated padding. This model considers the effect of asperity interactions and gives a detailed description of subsurface stress and strain fields caused by the contact of elasto-plastic solids with rough surfaces. Formulas of the frequency response functions (FRF) for elastic/plastic stresses and residual displacement are given in this paper. The model is verified by comparing the numerical results to several analytical solutions. The model is utilized to simulate the contacts involving a two-dimensional wavy surface and an engineering rough surface in order to examine its capability of evaluating the elasto-plastic contact behaviors of nominally flat surfaces.

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