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dc.contributor.authorChang, Carolyn W.en_US
dc.contributor.authorChang, Jack S. K.en_US
dc.contributor.authorYu, Min-Tehen_US
dc.contributor.authorZhao, Yangen_US
dc.date.accessioned2020-07-01T05:21:17Z-
dc.date.available2020-07-01T05:21:17Z-
dc.date.issued1970-01-01en_US
dc.identifier.issn1354-7798en_US
dc.identifier.urihttp://dx.doi.org/10.1111/eufm.12265en_US
dc.identifier.urihttp://hdl.handle.net/11536/154365-
dc.description.abstractIn 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.en_US
dc.language.isoen_USen_US
dc.subjectcatastrophe bondsen_US
dc.subjectcatastrophe spaceen_US
dc.subjectdefault risken_US
dc.subjectoptimum allocationen_US
dc.subjecttraditional reinsuranceen_US
dc.titlePortfolio optimization in the catastrophe spaceen_US
dc.typeArticleen_US
dc.identifier.doi10.1111/eufm.12265en_US
dc.identifier.journalEUROPEAN FINANCIAL MANAGEMENTen_US
dc.citation.spage0en_US
dc.citation.epage0en_US
dc.contributor.department交大名義發表zh_TW
dc.contributor.departmentNational Chiao Tung Universityzh_TW
dc.identifier.wosnumberWOS:000533533100001en_US
dc.citation.woscount0en_US
Appears in Collections:Articles