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

Rafael Eldor*, Yehuda Kahane

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

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.

Original languageEnglish
Pages (from-to)137-141
Number of pages5
JournalInsurance: Mathematics and Economics
Volume4
Issue number2
DOIs
StatePublished - Apr 1985

Funding

FundersFunder number
Nur Moshe Fund

    Keywords

    • Currency options
    • Excess of loss
    • Exchange rate
    • Hedge option pricing
    • Reinsurance
    • Risk

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