Browsing by Author "Chang, Carolyn W."

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Portfolio optimization in the catastrophe space
(1970-01-01)
Chang, Carolyn W.
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Chang, Jack S. K.
;
Yu, Min-Teh
;
Zhao, Yang
;
交大名義發表
In today's global catastrophe space, the role of insurance-linked securities has evolved from that of a threatened reinsurance substitute to now being a viable complementary reinsurance product, underpinning the convergence of the two markets. This study constructs a two-agent sequential optimization framework to mimic the economics of the reinsurance/insurance markets and shows how NPV-maximizing reinsurers and hedging cost-minimizing insurers can optimally allocate default-risky catastrophe reinsurance and default-free catastrophe bonds at the interface of these two markets. We analyze parametric impacts considering interest rate risk, financial leverage, basis risk, differential markup, catastrophe arrival intensity, and severity, as well as other relevant characteristics.
Systemic risk, interconnectedness, and non-core activities in Taiwan insurance industry
(2018-05-01)
Chang, Carolyn W.
;
Li, Xiaodan
;
Lin, Edward M. H.
;
Yu, Min-Teh
;
交大名義發表
We employ three measures- marginal expected shortfall, SRISK index, and Conditional Value-at-Risk- to assess an insurer's exposure and contribution to systemic risk during the period 2005-2015. We then examine the primary factors posing the systemic risk and find that both non-core activities and interconnectedness of insurers are the significant and primary drivers. Our results differ from the findings in the U.S. insurance sector where firm size is the primary driver of insurers' exposure and contribution to systemic risk, as the findings in the global insurance sector where leverage is a significant driver of insurers' exposure, and both leverage and non-core activities are primary drivers of insurers' contribution to systemic risk. Our results further indicate that the size and significance of the interconnectedness effect on systemic risk increase as the share of insurance sector within the financial industry rises.