標題: Portfolio optimization in the catastrophe space
作者: Chang, Carolyn W.
Chang, Jack S. K.
Yu, Min-Teh
Zhao, Yang
交大名義發表
National Chiao Tung University
關鍵字: catastrophe bonds;catastrophe space;default risk;optimum allocation;traditional reinsurance
公開日期: 1-Jan-1970
摘要: 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.
URI: http://dx.doi.org/10.1111/eufm.12265
http://hdl.handle.net/11536/154365
ISSN: 1354-7798
DOI: 10.1111/eufm.12265
期刊: EUROPEAN FINANCIAL MANAGEMENT
起始頁: 0
結束頁: 0
Appears in Collections:Articles