Catastrophic risks and the pricing of catastrophe equity put options

DOI10.1007/S10287-021-00391-YMaRDI QIDQ2051160zbMATH OpenOpenAlexFDO

Authors Massimo Arnone, Michele Leonardo Bianchi, Anna Grazia Quaranta, Gian Luca Tassinari

Publication date 24 November 2021

Published in Computational Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10287-021-00391-y

zbMATH Keywords

catastrophe equity put optionscompound Poissondouble-calibrationvariance gamma

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Recommendations

• Catastrophe equity put options under stochastic volatility and catastrophe-dependent jumps
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• Valuation of CatEPuts with regime switching

Cites work

• Analytical valuation of catastrophe equity options with negative exponential jumps
• Calibrating the smile with multivariate time-changed Brownian motion and the Esscher transform
• Catastrophe equity put options with target variance
• Catastrophe options with stochastic interest rates and compound Poisson losses
• Forward-looking portfolio selection with multivariate non-Gaussian models
• On the Time Value of Ruin
• Pricing catastrophe swaps: a contingent claims approach
• Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
• Pricing perpetual American catastrophe put options: A penalty function approach
• SELF-DECOMPOSABILITY AND OPTION PRICING
• Valuation of contingent convertible catastrophe bonds -- the case for equity conversion
• Valuation of structured risk management products

Cited in

(6)

• Catastrophe equity put options with target variance
• Pricing and hedging catastrophe equity put options under a Markov-modulated jump diffusion model
• Pricing catastrophe options in discrete operational time
• Equalization reserves for natural catastrophes and shareholder value: a simulation study
• A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment
• Catastrophe risk management with counterparty risk using alternative instruments

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