Valuation of insurers' contingent capital with counterparty risk and price endogeneity
Year of publication: |
2013
|
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Authors: | Lo, Chien-ling ; Lee, Jin-ping ; Yu, Min-Teh |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 37.2013, 12, p. 5025-5035
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Subject: | Contingent capital | Catastrophe risk | Insurer’s default risk | Catastrophe equity puts | Contingent claim analysis | Risikomodell | Risk model | Optionspreistheorie | Option pricing theory | Kreditrisiko | Credit risk | Katastrophe | Disaster | Derivat | Derivative |
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