The valuation of contingent capital with catastrophe risks

DOI10.1016/j.insmatheco.2009.03.005zbMath1231.91372OpenAlexW2145709395MaRDI QIDQ659096

Chia-Chien Chang, Michael R. Powers, Shih-Kuei Lin

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.03.005

zbMATH Keywords

doubly stochastic Poisson processcatastrophe riskscontingent capital

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (9)

Catastrophe equity put options with target variance ⋮ Catastrophe option pricing with auto-correlated and catastrophe-dependent intensity ⋮ Utility indifference pricing of insurance catastrophe derivatives ⋮ Reexamining the feasibility of diversification and transfer instruments on smoothing catastrophe risk ⋮ Managing risks from climate impacted hazards -- the value of investment flexibility under uncertainty ⋮ Feasibility of Long-Term Interest Balance among Stakeholders in the Natural Catastrophe Insurance Market ⋮ Utility indifference pricing of derivatives written on industrial loss indices ⋮ Pricing and hedging catastrophe equity put options under a Markov-modulated jump diffusion model ⋮ Pricing zero-coupon catastrophe bonds using EVT with doubly stochastic Poisson arrivals

Cites Work

• Valuation of structured risk management products
• Catastrophe options with stochastic interest rates and compound Poisson losses
• Bond Market Structure in the Presence of Marked Point Processes
• The Term Structure of Simple Forward Rates with Jump Risk
• Option pricing when underlying stock returns are discontinuous

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