Skip to main content
Message Font: Serif | Sans-Serif
No. of Recommendations: 0
peter xyz,

have you read chris may's book Non-linear Pricing ?

expensive but definitely worth the price imho.

regarding super-cat, i agree with your general assumptions. past history indicates that large super-cat events improve pricing in the subsequent years. the problem with super-cat as an investor (fyi i am an owner of BRK class b shares) is that even with a longer term horizon, say 10, 20 years or even 30 years, there is a not insignificant probability that super-cat events can cluster within those time frames.


as far as normalizing price structure volatility, in risk arbitrage i have been adpating some techniques developed in the currency markets by the folks at Olsen in Zurich -

their focus of course is very short term, but i think that some of this stuff is very scaleable.

Print the post  


What was Your Dumbest Investment?
Share it with us -- and learn from others' stories of flubs.
When Life Gives You Lemons
We all have had hardships and made poor decisions. The important thing is how we respond and grow. Read the story of a Fool who started from nothing, and looks to gain everything.
Contact Us
Contact Customer Service and other Fool departments here.
Work for Fools?
Winner of the Washingtonian great places to work, and Glassdoor #1 Company to Work For 2015! Have access to all of TMF's online and email products for FREE, and be paid for your contributions to TMF! Click the link and start your Fool career.