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The main goal of this paper is to better understand the behavior of credit spreads in the past and the potential risk of unexpected future credit spread changes. One important consideration to note regarding credit spreads is the fact that bond spreads contain a liquidity premium, which...
Persistent link: https://www.econbiz.de/10013105185
Securitization of the rainfall risk involves pooling of the rainfall contingent insurance policies to issue financial instruments in the capital markets to transfer the rainfall risk from the insurers to the investors. Low income households, especially in the developing countries like India...
Persistent link: https://www.econbiz.de/10012969306
Low income households, especially in the developing countries could suffer losses due to weather related events such as drought, hurricanes, floods etc. Such losses could cast a household into a chronic poverty cycle - a poverty trap from which the household may find it difficult to re-emerge....
Persistent link: https://www.econbiz.de/10012969308
The structure of a typical rainfall insurance is complex; insurance payoffs are based on many parameters such as the rainfall volume, the rainfall distribution (the number of consecutive dry days), the number of days with excess rainfall etc. Such a complex insurance structure is essential to...
Persistent link: https://www.econbiz.de/10012955178
Developing a liquid longevity market requires reliable and well-designed financial instruments. An index-based longevity swap and a cap are analyzed in this paper under a tractable stochastic mortality model. The model is calibrated using Australian mortality data and analytical formulas for...
Persistent link: https://www.econbiz.de/10013026643
We derive risk-neutral option price formulas for plain-vanilla temperature futures derivatives on the basis of several multi-factor Ornstein-Uhlenbeck temperature models which allow for seasonality in the mean level and volatility. Our main innovation consists in an incorporation of omnipresent...
Persistent link: https://www.econbiz.de/10013035450
Traditional life insurance policies offer no equity investment opportunities for the premium paid, and suffer from low returns over the long insurance terms. Modern equity-linked insurance policies offer equity investment opportunities exposed to equity market risk. To combine the low-risk of...
Persistent link: https://www.econbiz.de/10012891148
A State Price Density (SPD) is the density function of a risk neutral equivalent martingale measure for option pricing, and is indispensible for exotic option pricing and portfolio risk management. Many approaches have been proposed in the last two decades to calibrate a SPD using financial...
Persistent link: https://www.econbiz.de/10009741915
A State Price Density (SPD) is the density function of a risk neutral equivalent martingale measure for option pricing, and is indispensible for exotic option pricing and portfolio risk management. Many approaches have been proposed in the last two decades to calibrate a SPD using financial...
Persistent link: https://www.econbiz.de/10012992818
Persistent link: https://www.econbiz.de/10013101725