Currency options as theoretical and practical instrument in hedging the exchange risk in excess of loss reinsurance (original) (raw)

Currency options as theoretical and practical instrument in hedging the exchange risk in excess of loss reinsurance

Insurance Mathematics & Economics, 1985

Abstract

ABSTRACT The paper demonstrates that a ceding company can fully hedge itself against adverse movements of the exchange rate in the case of excess of loss foreign reinsurance by using the currency option markets.

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