Date of Award
5-7-2008
Degree Type
Dissertation
Degree Name
Doctor of Philosophy (PhD)
Department
Risk Management and Insurance
First Advisor
Dr. Samuel H. Cox - Chair
Second Advisor
Dr. Shaun Wang
Third Advisor
Dr. Eric Ulm
Fourth Advisor
Dr. Richard MacMinn
Abstract
Contingent Claim Pricing with Applications to Financial Risk Management By Hua Chen 2008 Committee Chair: Samuel H. Cox and Shaun Wang Major Academic Unit: Department of Risk Management and Insurance This is a multi-essay dissertation designed to explore the contingent claim pricing theory with non-tradable underlying assets, with emphasis on its applications to insurance and risk management. In the first essay, I apply the real option pricing theory and dynamic programming methods to address problems in the area of operational risk management. Particularly, I develop a two-stage model to help firms determine optimal switching triggers in the event of an influenza epidemic. In the second essay, I examine mortality securitization in an incomplete market framework. I build a jump-diffusion process into the original Lee-Carter model and explore alternative model with transitory versus permanent jump effects. I discuss pricing difficulties of the Swiss Re mortality bond (2003) and use the Wang transform to account for correlations of the mortality index over time. In the third essay, I study the valuation of the non-recourse provision in reverse mortgages. I model the various risks embedded in the HECM program and apply the conditional Esscher transform to price the non-recourse provision. I further examine the premium structure of HECM loans and investigate whether insurance premiums are adequate to cover expected claims.
DOI
https://doi.org/10.57709/1059054
Recommended Citation
Chen, Hua, "Contingent Claim Pricing with Applications to Financial Risk Management." Dissertation, Georgia State University, 2008.
doi: https://doi.org/10.57709/1059054