Valuation of insurers’ contingent capital with counterparty risk and price endogeneity
Year of publication: |
2013
|
---|---|
Authors: | Lo, Chien-Ling ; Lee, Jin-Ping ; Yu, Min-Teh |
Published in: |
Journal of Banking & Finance. - Elsevier, ISSN 0378-4266. - Vol. 37.2013, 12, p. 5025-5035
|
Publisher: |
Elsevier |
Subject: | Contingent capital | Catastrophe risk | Insurer’s default risk | Catastrophe equity puts | Contingent claim analysis |
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