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An Analysis of Pricing and Basis Risk for Industry Loss Warranties
Gatzert, Nadine - 2012
In recent years, industry loss warranties (ILWs) have become increasingly popular in the reinsurance market. The … generally results in lower prices compared to traditional, purely indemnity-based reinsurance contracts. However, use of the …
Persistent link: https://www.econbiz.de/10013101727
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Risk and valuation of mortality contingent catastrophe bonds
Bauer, Daniel (contributor); Kramer, Florian W. (contributor) - 2008
Persistent link: https://www.econbiz.de/10003638565
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Persistent crises and levered asset prices
Kuehn, Lars-Alexander; Schreindorfer, David; Schulz, Florian - In: The review of financial studies 36 (2023) 6, pp. 2571-2616
Persistent link: https://www.econbiz.de/10014320692
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Pricing Climate Change Risks : CAPM with Rare Disasters and Stochastic Probabilities
Karydas, Christos; Xepapadeas, Anastasios - 2019
There are concerns that climate-related physical and political risks are not yet properly reflected in asset prices. To address these concerns, we develop a dynamic asset pricing framework with rare disasters related to climate change. The novelty of this paper lies in linking carbon emissions...
Persistent link: https://www.econbiz.de/10014108526
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A class of nonzero-sum investment and reinsurance games subject to systematic risks
Siu, Chi Chung; Yam, Sheung Chi Phillip; Yang, Hailiang; … - In: Scandinavian actuarial journal (2017) 8, pp. 670-707
Persistent link: https://www.econbiz.de/10011848596
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Gaussian and Poisson approximation : applications to CDOs tranche pricing
El Karoui, Nicole; Jiao, Ying; Kurtz, David - In: The journal of computational finance 12 (2008/09) 2, pp. 31-58
Persistent link: https://www.econbiz.de/10009534632
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Disaster Risks in Bond Returns
Lin, Hai - 2019
We propose a news-implied rare disaster risk indicator and study its predictive power on the returns of U.S. Treasury … not spanned by the current yield curve. The disaster risk factor delivers a counter cycle bond risk premium, and the … predictability of disaster risk is more significant during periods of economic downturn. Our empirical findings show that disaster …
Persistent link: https://www.econbiz.de/10012860176
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Equity valuation under stochastic rates
Realdon, Marco (contributor) - 2006
Persistent link: https://www.econbiz.de/10003335020
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Kapitalmarktmodelle und erwartete Renditen am deutschen Aktienmarkt
Schneider, Sebastian - 2001
Persistent link: https://www.econbiz.de/10001530439