Valuation of catastrophic derivatives

On May 24, 2018, a meeting was held at which the concept of catastrophic derivatives was presented. This concept helps insurers and reinsurers protect themselves against large and unpredictable claims. The lecture began with the definition of the Cox process as a random counting measure. On this basis, a modified Black-Scholes model was constructed, which was used to obtain an analytical formula for the price of the CatEPut option, issued by Aon. More information can be found in the file – Description of meetings.