An accurate lattice model for pricing catastrophe equity put under the jump-diffusion process

Chuan Ju Wang*, Tian-Shyr Dai

*Corresponding author for this work

Research output: Contribution to journalArticle

Abstract

A catastrophe equity put (CatEPut) is constructed to recapitalize an insurance company that suffers huge compensation payouts due to catastrophic events (CEs). The company can exercise its CatEPut to sell its stock to the counterparty at a predetermined price when its accumulated loss due to CEs exceeds a predetermined threshold and its own stock price falls below the strike price.

Original languageEnglish
Article number8492370
Pages (from-to)35-45
Number of pages11
JournalIEEE Computational Intelligence Magazine
Volume13
Issue number4
DOIs
StatePublished - 1 Nov 2018

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