We analyze transition probabilities of regime-switching in electricity prices based on supply and demand by using the structural model of Kanamura and Ohashi (2004). We show that the transition probabilities depend on the demand level and thus are not constant. This result is in sharp contrast...

Despite the worldwide popularity of CDD- and HDD-type weather derivatives on temperature, a different class of weather derivatives, the so-called summer days options, is more popular in Japan, whose payoffs are determined by the number of summer days (i.e., the days whose average temperature is...

This study analyzes the impact of introducing solar power generation on wholesale electricity prices by conducting a quantile regression. We use electricity prices, electricity demand, and solar power generation in the Kyushu area of Japan from April 2016 to March 2020, where solar power...

This study proposes two new regime-switching volatility models to empirically analyze the impact of the COVID-19 pandemic on hotel stock prices in Japan compared with the US, taking into account the role of stock markets. The first model is a direct impact model of COVID-19 on hotel stock...

Traditionally, insurance risks are borne in reinsurance markets. In 1990s, however, after the sequence of huge natural disasters and huge insurance payments, the reinsurance markets reduced its capability to bear risks, especially those related to catastrophic natural disasters....

Traditionally, insurance risks are borne in reinsurance markets. In 1990s, however, after the sequence of huge natural disasters and huge insurance payments, the reinsurance markets reduced its capability to bear risks, especially those related to catastrophic natural disasters. Catastrophe-...

We consider an economy in which a lender finances his loans to borrowers by issuing a securitized product to investors, and where the credit quality of the product may depend on whether the lender screens the borrowers. In the presence of asymmetric information between the lender and the...