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Natural disasters, stock price volatility in the property-liability insurance market and sustainability : an unexplored link

Montero, José-María; Naimy, Viviane; Farraj, Nermeen Abi - In: Socio-economic planning sciences : the international … 91 (2024), pp. 1-20

Persistent link: https://www.econbiz.de/10014528750

Pricing of Catastrophe Risk and the Implied Volatility Smile

Ben Ammar, Semir - 2016

between catastrophe risk and the implied volatility smile of insurance stock options. We find that the slope is significantly …, suggesting a higher risk compensation for catastrophic events. We are able to link the insurance-specific tail risk component … derived from options with the risk spread from catastrophe bonds. Our results provide an accurate, high-frequency calculation …

Persistent link: https://www.econbiz.de/10012984717

Pricing of catastrophe risk and the implied volatility smile

Ben Ammar, Semir - In: Essays on alternative investments and insurance, (pp. 117-176). 2016

Die vorliegende Dissertation besteht aus vier Teilen, die sich mit den Themen Alternative Investments, Katastrophenrisiko und Asset Pricing im Versicherungskontext auseinandersetzen. Mithilfe verschiedener Finanzinstrumente (Aktien, Fonds und Optionen) wird die Bilanz eines...

Persistent link: https://www.econbiz.de/10011540169

Dynamics of Tokyo Electric Power Company and the Nikkei : 1985 to 2016 including the Fukushima disaster

Rey, Serge; Nivoix, Sophie - In: Journal of economic integration 33 (2018) 1, pp. 979-1010

Persistent link: https://www.econbiz.de/10011903552

An empirical investigation into exchange regime choice and exchange rate volatility

Berger, Helge; Sturm, Jan-Egbert; Haan, Jakob de - 2000

We test a simple model of exchange rate regime choice with data for non-OECD countries covering the period 1980-94. We find the variance of output at home and in potential target countries as well as the correlation between home and foreign real activity are powerful and robust predictors of...

Persistent link: https://www.econbiz.de/10001473991