An option-theoretic model of catastrophes applied to mortgage insurance.: An article from: Journal of Risk and Insurance

This digital document is an article from Journal of Risk and Insurance, published by American Risk and Insurance Association, Inc. on December 1, 1996. The length of the article is 6263 words. The page length shown above is based on a typical 300-word page. The article is delivered in HTML format and is available in your Amazon.com Digital Locker immediately after purchase. You can view it with any web browser.

From the supplier: An option pricing model of mortgage insurance that considers catastrophic events is developed. The catastrophic events may be exclusively financial in nature or nature-generated physical destruction. This approach incorporates a Poisson distribution into the building process to revise the typical lognormal form to a new jump-diffusion form. The model is proven to be effective through the measurement of the effect of changes on insurance prices in the probability of a catastrophe and the intensity of damage. The model can also determine the effect of government disaster relief programs on mortgage insurance.

Citation Details
Title: An option-theoretic model of catastrophes applied to mortgage insurance.
Author: James B. Kau
Publication:Journal of Risk and Insurance (Refereed)
Date: December 1, 1996
Publisher: American Risk and Insurance Association, Inc.
Volume: v63 Issue: n4 Page: p639(18)

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