Chang, Carolyn W.; Chang, Jack S. K.; Wen, Min-Ming - In: Journal of Risk & Insurance 81 (2014) 1, pp. 199-217
type="main" xml:lang="en" <title type="main">Abstract</title> <p>We develop an optimum risk–return hurricane hedge model in a doubly stochastic jump-diffusion economy. The model's concave risk–return trade-off dictates that a higher correlation between hurricane power and insurer's loss, a smaller variable hedging cost,...</p>