Search results for "Put option"

showing 3 items of 3 documents

Catastrophic risks and the pricing of catastrophe equity put options

2021

In this paper, after a review of the most common financial strategies and products that insurance companies use to hedge catastrophic risks, we study an option pricing model based on processes with jumps where the catastrophic event is captured by a compound Poisson process with negative jumps. Given the importance that catastrophe equity put options (CatEPuts) have in this context, we introduce a pricing approach that provides not only a theoretical contribution whose applicability remains confined to purely numerical examples and experiments, but which can be implemented starting from real data and applied to the evaluation of real CatEPuts. We propose a calibration framework based on his…

Market capitalizationSettore SECS-P/11 - Economia degli Intermediari Finanziari0211 other engineering and technologiesContext (language use)02 engineering and technologyBlack–Scholes modelImplied volatilityManagement Information SystemsCompound Poisson processG1Economics021108 energyVariance gammaG12Hedge (finance)C2Original Paper021103 operations researchActuarial scienceCompound PoissonCatastrophe equity put options · Variance gamma · Compound Poisson · Double-calibrationEquity (finance)Double-calibrationVariance-gamma distributionCatastrophe equity put options · Variance gamma · Compound Poisson ·Double-calibrationC63G22Catastrophe equity put optionsInformation SystemsComputational Management Science
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Designing Guarantee Options in Defined Contribution Pension Plans

2015

The shift from defined benefit (DB) to defined contribution (DC) is pervasive among pension funds, due to demographic changes and macroeconomic pressures. In DB all risks are borne by the provider, while in plain vanilla DC all risks are borne by the beneficiary. For DC to provide income security some kind of guarantee is required. A minimum guarantee clause can be modeled as a put option written on some underlying reference portfolio of assets and we develop a discrete model that optimally selects the reference portfolio to minimise the cost of a guarantee. While the relation DB-DC is typically viewed as a binary one, the model can be used to price a wide range of guarantees creating a con…

PensionActuarial scienceYardstickEconomicsAsset allocationPortfolioAsset (economics)Put optionEmbedded optionStochastic programmingSSRN Electronic Journal
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Designing and pricing guarantee options in defined contribution pension plans

2015

Abstract The shift from defined benefit (DB) to defined contribution (DC) is pervasive among pension funds, due to demographic changes and macroeconomic pressures. In DB all risks are borne by the provider, while in plain vanilla DC all risks are borne by the beneficiary. However, for DC to provide income security some kind of guarantee is required. A minimum guarantee clause can be modeled as a put option written on some underlying reference portfolio and we develop a discrete model that selects the reference portfolio to minimize the cost of a guarantee. While the relation DB–DC is typically viewed as a binary one, the model shows how to price a wide range of guarantees creating a continu…

Statistics and ProbabilityPensions; Minimum guarantee; Defined benefit; Defined contribution; Embedded options; Risk sharing; Portfolio selection; Stochastic programmingRisk sharingEconomics and EconometricsPensionActuarial scienceComputer sciencePensionStochastic programmingAsset allocationMinimum guaranteeEmbedded optionPortfolio selectionEmbedded optionStochastic programmingDefined contributionSettore SECS-S/06 -Metodi Mat. dell'Economia e d. Scienze Attuariali e Finanz.Defined benefitValuation of optionsPortfolioAsset (economics)Statistics Probability and UncertaintyPut optionInsurance: Mathematics and Economics
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