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Currency options as theoretical and practical instrument in hedging the exchange risk in excess of loss reinsurance |
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| Authors: | Rafael Eldor Yehuda Kahane |
| Institution: | Department of Economics, Tel-Aviv University, Tel-Aviv, Israel;Erhard Insurance Center, Faculty of Management, Tel-Aviv University, Tel-Aviv, Israel |
| 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. |
| Keywords: | Currency options Excess of loss Exchange rate Hedge option pricing Risk Reinsurance |
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