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Catastrophic risks and the pricing of catastrophe equity put options

机译：灾难性的风险和灾难股权的定价施工

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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 historical log-returns, market capitalization and option implied volatilities. The calibrated parameters are then considered to price CatEPuts written on the stock of the main Italian insurance company over the high volatile period from January to April 2020. We show that the ratio between plain-vanilla put options and CatEPuts strictly depends on the shape of the implied volatility smile and it varies over time.
机译：本文在审查了保险公司用来对冲灾难性风险的最常见的财务策略和产品之后，我们研究了基于跳跃的过程的选项定价模型，其中复合泊松过程具有负跳跃的复合泊松过程。鉴于灾难性股权投入选项（CATEPUTS）在这方面的重要性，我们介绍了一种定价方法，不仅提供了适用性仍然限制在纯粹数值和实验中的理论贡献，而且可以从真实数据开始实施，并应用评估真正的cateputs。我们提出了一种基于历史记录返回，市场资本化和选择隐含波动措施的校准框架。然后将校准的参数考虑为在2020年1月至4月的高波动期间向主要意大利保险公司股票编写的价格CATEPLS。我们展示了普通瓦拉拉的比例和Cateputs严格依赖于隐含的波动剧烈，随着时间的推移变化。

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