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Valuation of Catastrophe Equity Puts With Markov‐Modulated Poisson Processes

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  • Chia‐Chien Chang
  • Shih‐Kuei Lin
  • Min‐Teh Yu

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  • Chia‐Chien Chang & Shih‐Kuei Lin & Min‐Teh Yu, 2011. "Valuation of Catastrophe Equity Puts With Markov‐Modulated Poisson Processes," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 78(2), pages 447-473, June.
    • Handle: RePEc:bla:jrinsu:v:78:y:2011:i:2:p:447-473
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    Cited by:

    1. Cheng, Hung-Wen & Lo, Chien-Ling & Tsai, Jeffrey Tzuhao, 2020. "Model specification of conditional jump intensity: Evidence from S&P 500 returns and option prices," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    2. Jesse B. Tack & David Ubilava, 2015. "Climate and agricultural risk: measuring the effect of ENSO on U.S. crop insurance," Agricultural Economics, International Association of Agricultural Economists, vol. 46(2), pages 245-257, March.
    3. Chang, Carolyn W. & Li, Xiaodan & Lin, Edward M.H. & Yu, Min-Teh, 2018. "Systemic risk, interconnectedness, and non-core activities in Taiwan insurance industry," International Review of Economics & Finance, Elsevier, vol. 55(C), pages 273-284.
    4. Raluca Maran, 2023. "Do Sovereign Catastrophe Bonds Improve Fiscal Resilience? An Application of Synthetic Control Method to Mexico," Economics of Disasters and Climate Change, Springer, vol. 7(3), pages 431-455, November.
    5. Martin Eling, 2013. "Recent Research Developments Affecting Nonlife Insurance—The CAS Risk Premium Project 2011 Update," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 16(1), pages 35-46, March.
    6. Bi, Hongwei & Wang, Guanying & Wang, Xingchun, 2019. "Valuation of catastrophe equity put options with correlated default risk and jump risk," Finance Research Letters, Elsevier, vol. 29(C), pages 323-329.
    7. Wu, Yang-Che, 2020. "Equilibrium in natural catastrophe insurance market under disaster-resistant technologies, financial innovations and government interventions," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 116-128.
    8. Eckhard Platen & David Taylor, 2016. "Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts," Papers 1610.09875, arXiv.org.
    9. Wang, Xingchun, 2016. "Catastrophe equity put options with target variance," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 79-86.
    10. Lo, Chien-Ling & Lee, Jin-Ping & Yu, Min-Teh, 2013. "Valuation of insurers’ contingent capital with counterparty risk and price endogeneity," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5025-5035.
    11. Kim, Hwa-Sung & Kim, Bara & Kim, Jerim, 2014. "Pricing perpetual American CatEPut options when stock prices are correlated with catastrophe losses," Economic Modelling, Elsevier, vol. 41(C), pages 15-22.
    12. Wang, Xingchun, 2020. "Catastrophe equity put options with floating strike prices," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    13. Tai, Vivian W. & Lai, Yi-Hsun & Yang, Tung-Hsiao, 2020. "The role of the board and the audit committee in corporate risk management," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    14. Zhao, Yang & Yu, Min-Teh, 2020. "Predicting catastrophe risk: Evidence from catastrophe bond markets," Journal of Banking & Finance, Elsevier, vol. 121(C).
    15. Burnecki, Krzysztof & Giuricich, Mario Nicoló & Palmowski, Zbigniew, 2019. "Valuation of contingent convertible catastrophe bonds — The case for equity conversion," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 238-254.
    16. Wang, Xingchun, 2019. "Valuation of new-designed contracts for catastrophe risk management," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    17. Chen, Jun-Home & Lian, Yu-Min & Liao, Szu-Lang, 2022. "Pricing catastrophe equity puts with counterparty risks under Markov-modulated, default-intensity processes," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).

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