Zobrazeno 1 - 10
of 33
pro vyhledávání: '"Carolyn W. Chang"'
Autor:
Carolyn W. Chang, Jack S. K. Chang
Publikováno v:
Risks, Vol 5, Iss 3, p 51 (2017)
We propose an integrated approach straddling the actuarial science and the mathematical finance approaches to pricing a default-risky catastrophe reinsurance contract. We first apply an incomplete-market version of the no-arbitrage martingale pricing
Externí odkaz:
https://doaj.org/article/fff2aaefef294b819f17bebbf6cca48c
Publikováno v:
North American Actuarial Journal. 26:27-42
Hurricane bonds are unique in that they are structured with a dual exercise condition: a physically based condition that the underlying hurricane makes landfall at a prespecified location, and a st...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::136dd3479baf8635e9ef58aad2eb4770
https://doi.org/10.1080/10920277.2020.1824798
https://doi.org/10.1080/10920277.2020.1824798
Publikováno v:
European Financial Management. 26:1414-1448
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
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d1b39e4a06b69b1d44a0a53043f512be
https://doi.org/10.1111/eufm.12265
https://doi.org/10.1111/eufm.12265
Autor:
Carolyn W. Chang, Yalan Feng
Publikováno v:
Asia-Pacific Journal of Risk and Insurance.
Hurricane bonds are parametric in nature as they have a dual-exercise structure: the first exercise is conditional on the hurricane’s physical landfall location and the second is conditional upon the embedded option ending in-the-money. We propose
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::77d2b616772d648ac08dc6a2b065847b
https://doi.org/10.1515/apjri-2020-0017
https://doi.org/10.1515/apjri-2020-0017
Publikováno v:
International Review of Economics & Finance. 55:273-284
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 s
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4d98237c0e318eeb59baeb9b06f8bf20
https://doi.org/10.1016/j.iref.2017.07.014
https://doi.org/10.1016/j.iref.2017.07.014
Publikováno v:
Pacific-Basin Finance Journal. 68:101314
Catastrophe (CAT) swaps are bilateral contracts through which CAT losses can be transferred between two counterparties. They do not require collateral upon initiation, making them default-risky, have an average maturity of 3 years and may use index t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8b2f58716e6d61ee537b7f57d822035f
https://doi.org/10.1016/j.pacfin.2020.101314
https://doi.org/10.1016/j.pacfin.2020.101314
Autor:
Carolyn W. Chang1 cchang@fullerton.edu, Jack S. K. Chang2 jchang@calstatela.edu
Publikováno v:
Journal of Risk Management in Financial Institutions. Autumn-Fall2017, Vol. 10 Issue 4, p341-352. 12p.
Publikováno v:
The North American Journal of Economics and Finance. 54:100906
Catastrophe bonds are the most successful alternative risk transfer tools in transferring catastrophic insurance risk to capital markets. This research provides empirical insights about the predictive power of catastrophe bond spreads in forecasting
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9614e43d4ebb3cf54711edac77fcd69e
https://doi.org/10.1016/j.najef.2019.01.003
https://doi.org/10.1016/j.najef.2019.01.003
Publikováno v:
25th Annual European Real Estate Society Conference.
This paper studies the optimal leverage strategies for REITs in three major Asian markets - Hong Kong, Japan, and Singapore, from 2001 to 2013. REITs are a real-estate-focused investment holding and management companies that are subject to the REIT r
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f0fd2f541f70e4bb5c562e93ccfdaaaa
https://doi.org/10.15396/eres2018_71
https://doi.org/10.15396/eres2018_71
Publikováno v:
Journal of the Operational Research Society. 66:405-420
We propose a novel market-based approach to optimum inventory control in a doubly stochastic jump-diffusion economy by modelling a commodity distributor’s inventory investment as a portfoli...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::eb4709a953c77614af7a6ce598e6296a
https://doi.org/10.1057/jors.2014.4
https://doi.org/10.1057/jors.2014.4