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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

Abstract

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Suggested Citation

  • 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. 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.
    2. repec:eee:reveco:v:55:y:2018:i:c:p:273-284 is not listed on IDEAS
    3. Eckhard Platen & David Taylor, 2016. "Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts," Research Paper Series 379, Quantitative Finance Research Centre, University of Technology, Sydney.
    4. Wang, Xingchun, 2016. "Catastrophe equity put options with target variance," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 79-86.
    5. 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.
    6. Krzysztof Burnecki & Mario Nicol'o Giuricich & Zbigniew Palmowski, 2018. "Valuation of contingent convertible catastrophe bonds - the case for equity conversion," Papers 1804.07997, arXiv.org.
    7. 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.

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