Lo, Chien-Ling; Lee, Jin-Ping; Yu, Min-Teh - In: Journal of Banking & Finance 37 (2013) 12, pp. 5025-5035
This study develops a structural framework to value insurers’ contingent capital with counterparty risk (CR) and overcomes the problem of price endogeneity (PE) in the valuation model. Our results on the focal contingent capital instrument – catastrophe equity put option (CatEPut) –...