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Pricing catastrophe swaps with default risk and stochastic interest rates

Lo, Chien-Ling; Chang, Carolyn C. W.; Lee, Jin-Ping; … - In: Pacific-Basin finance journal 68 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10013332712

Modeling underwriting risk : a copula regression analysis on U.S. property-casualty insurance byline loss ratios

Tsai, Jeffrey Tzuhao; Lo, Chien-Ling - In: Pacific-Basin finance journal 83 (2024), pp. 1-18

Persistent link: https://www.econbiz.de/10014491177

Investment with network externality under uncertainty

Lu, Chia-chi; Hung, Weifeng; Sheu, Jyh-jian; Shih, Pai-ta - In: Review of quantitative finance and accounting 36 (2011) 4, pp. 555-564

Persistent link: https://www.econbiz.de/10009272397

Option implied riskiness and risk-taking incentives of executive compensation

Lu, Chia-Chi; Shen, Hsin-han; Shih, Pai-Ta; Tsai, Wei‐Che - In: Review of quantitative finance and accounting 60 (2023) 3, pp. 1143-1160

Persistent link: https://www.econbiz.de/10014291781

Option pricing with stochastic liquidity risk : theory and evidence

Feng, Shih-ping; Hung, Mao-Wei; Wang, Yaw-huei - In: Journal of financial markets 18 (2014), pp. 77-95

Persistent link: https://www.econbiz.de/10010442476

The Information Content of Option-Implied Tail Risk on the Future Returns of the Underlying Asset

Wang, Yaw-Huei - 2017

We compile option-implied tail loss and gain measures based on a deep out-of-the- money option pricing formula derived by applying ‘extreme value theory', and then use these measures to investigate the information content of option-implied tail risk on the future returns of the underlying...

Persistent link: https://www.econbiz.de/10012955241

Measuring risk-based premium and capital requirement for insurers

Chang, Chuang-chang; Dong, Meng-yun; Yu, Min-Teh - In: Advances in financial planning and forecasting 8 (1998), pp. 63-78

Persistent link: https://www.econbiz.de/10001406382

Integrated portfolio risk measure : estimation and asymptotics of multivariate geometric quantiles

Sun, Edward W.; Wang, Yu-Jen; Yu, Min-Teh - In: Computational economics 52 (2018) 2, pp. 627-652

Persistent link: https://www.econbiz.de/10012053017

Risk assessment with wavelet feature engineering for high-frequency portfolio trading

Chen, Yi-Ting; Sun, Edward W.; Yu, Min-Teh - In: Computational economics 52 (2018) 2, pp. 653-684

Persistent link: https://www.econbiz.de/10012053020

Systemic risk, interconnectedness, and non-core activities in Taiwan insurance industry

Chang, Carolyn C. W.; Li, Xiaodan; Lin, Edward M. H.; … - In: International review of economics & finance : IREF 55 (2018), pp. 273-284

Persistent link: https://www.econbiz.de/10012033479