Ein wichtiges Problem bei der Versicherung und besonders der Rückversicherung vonKatastrophenereignissen besteht in der Gefahr einer Kumulierung von Schäden beim einzelnen(Rück)Versicherer und dem damit verbundenen Ausfallrisiko. Als ein wirksames Instrument zurBereitstellung von...

In this paper we price a precipitation option based on empirical weather data from Germanyusing different pricing methods, among them the burn analysis, index value simulation anddaily simulation. For that purpose we develop a daily precipitation model. Moreover, a decorrelationanalysis is...

Some traders estimate precipitation derivatives to have a potential which increases even thatof temperature derivatives. Precipitation derivatives can be used both for hedging and marketingpurposes for a diverse number of possible end users. However, the complex way ofmeasuring precipitation,...

Derivative financial instruments are frequently used as a tool for influencing the risk ofentrepreneurial uncertain payoff. To this end, an approximation procedure is developed capable ofcalculating the optimal quantity of derivatives to be used. It is assumed that the entrepreneurial cashflow...

In this paper, we examine an exchange economy with a financial market composed of three assets: a share of a stock, an European call option written on the stock, and a riskless bond.

This paper develops a principal-agent model of financial contracting in which optimal contracts resemble a combination of debt and equity. When defaulting on debt, the firm is punished by disruption of external funding. Such contracts however, invite rivals to compete more aggressively to...

This paper deals with the introduction of stock options in an (dy-namically) incomplete securities market.

We develop a new approach to pricing and hedging contingent claims in incomplete markets framework the no-arbitrage arguments that have been developed in complete markets leads us to defining the concept we are able to extend the no-arbitrage ideo to a world of incomplete markets in such a way...

The paper studies the problem of maximizing the expected utility of terminal wealth in the framework of a general incomplete semimartingale model of a financial market. We show that the necessary and sufficient condition on a utility function for the validity of several key assertions of the...

This paper publishes results on the convergence for hedging strategies in the setting of incomplete financial markets.