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Pricing of Catastrophe Risk and the Implied Volatility Smile

Ben Ammar, Semir - 2016

Property-casualty (P&C) insurers are exposed to rare but severe natural disasters. This paper analyzes the relation between catastrophe risk and the implied volatility smile of insurance stock options. We find that the slope is significantly steeper compared to non-financials and other financial...

Persistent link: https://www.econbiz.de/10012984717

The impact of natural disasters on stock markets : evidence from Japan and the US

Wang, Lin; Kutan, Ali Mustafa - In: Comparative economic studies 55 (2013) 4, pp. 672-686

Persistent link: https://www.econbiz.de/10010246286

Natural disasters, stock price volatility in the property-liability insurance market and sustainability : an unexplored link

Montero, José-María; Naimy, Viviane; Farraj, Nermeen Abi - In: Socio-economic planning sciences : the international … 91 (2024), pp. 1-20

Persistent link: https://www.econbiz.de/10014528750

Growth controls, real options and land development

Cunningham, Christopher R. - In: The review of economics and statistics 89 (2007) 2, pp. 343-358

Persistent link: https://www.econbiz.de/10003463112

Housing and debt over the life cycle and over the business cycle

Iacoviello, Matteo; Pavan, Marina - 2009

Persistent link: https://www.econbiz.de/10003894836

Housing and debt over the life cycle and over the business cycle

Iacoviello, Matteo; Pavan, Marina - 2009

matches the wealth distribution; the age profiles of consumption, homeownership, and mortgage debt; and data on the frequency … maximum borrowing limit, and housing investment, homeownership, and household debt closely track aggregate productivity. In …