Extreme value techniques. Part IV - fin re pricing
We present a state-of-the-art rating methodology for financial reinsurance contracts that is based upon a consistent stochastic model (of the jump diffusion type) for financial market variables (like, eg, interest rates, foreign currencies, stocks, stock indices, etc.) as well as for (excess-of-loss) reinsurance claims. A lattice-based implementation of this pricing methodology (ie, a corresponding Fin Re Toolbox) is discussed in some detail and then applied to rate current example Fin Re contracts taken from the Swiss Re New Markets business area.