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Basis risk and hedging efficiency of weather derivatives
Yang, Charles C.; Brockett, Patrick L.; Wen, Min Ming - In: Journal of risk finance : the convergence of financial … 10 (2009) 5, pp. 517-536
Persistent link: https://www.econbiz.de/10009523704
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Modeling and pricing longevity derivatives using stochastic mortality rates and the Esscher transform
Chuang, Shuo-Li; Brockett, Patrick L. - In: North American actuarial journal 18 (2014) 1, pp. 22-37
Persistent link: https://www.econbiz.de/10011338403
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Portfolio effects and valuation of weather derivatives
Brockett, Patrick L.; Wang, Mulong; Yang, Chuanhou; … - In: The financial review : the official publication of the … 41 (2006) 1, pp. 55-76
Persistent link: https://www.econbiz.de/10003274772
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Weather derivatives and weather risk management
Brockett, Patrick L.; Wang, Mulong; Yang, Chuanhou - In: Risk management and insurance review 8 (2005) 1, pp. 127-140
Persistent link: https://www.econbiz.de/10002845551
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Was the U.S. life insurance industry in danger of systemic risk by using derivative hedging prior to the 2008 financial crisis?
Baranoff, Etti G.; Brockett, Patrick L.; Sager, Thomas W.; … - In: Quantitative finance and economics 3 (2019) 1, pp. 145-164
Persistent link: https://www.econbiz.de/10012176449