The frequency and intensity of weather-related catastrophes, such as storms and floods, have been increasing due to climate change. This leads to rising storm catastrophe risks to the property-casualty insurance and reinsurance sector. In this paper, we propose an index-based storm catastrophe...

This paper studies the performance of discrete-time constant proportional portfolio insurance (CPPI) under proportional trading cost and regime switching. Explicit formulas are developed for a variety of measures for the performance of a CPPI portfolio, and a double-sided Laplace inversion...

Hedging is one of the most important topics in finance. When a financial market is complete, every contingent claim can be hedged perfectly to eliminate any potential future obligations. When the financial market is incomplete, the investor may eliminate his risk exposure by superhedging. In...

In this paper, we consider the problem of optimal partial hedging for a contingent claim subject to a preset hedging budget constraint. Under some technical assumptions on the hedged loss function and the market pricing functional, the optimal partial hedging strategy, which minimizes the...