{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,7,13]],"date-time":"2026-07-13T06:59:14Z","timestamp":1783925954785,"version":"3.55.0"},"reference-count":39,"publisher":"Springer Science and Business Media LLC","issue":"2","license":[{"start":{"date-parts":[[2021,3,18]],"date-time":"2021-03-18T00:00:00Z","timestamp":1616025600000},"content-version":"tdm","delay-in-days":0,"URL":"https:\/\/www.springernature.com\/gp\/researchers\/text-and-data-mining"},{"start":{"date-parts":[[2021,3,18]],"date-time":"2021-03-18T00:00:00Z","timestamp":1616025600000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/www.springernature.com\/gp\/researchers\/text-and-data-mining"}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":["Comput Manag Sci"],"published-print":{"date-parts":[[2021,6]]},"DOI":"10.1007\/s10287-021-00391-y","type":"journal-article","created":{"date-parts":[[2021,3,18]],"date-time":"2021-03-18T04:45:52Z","timestamp":1616042752000},"page":"213-237","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":7,"title":["Catastrophic risks and the pricing of catastrophe equity put options"],"prefix":"10.1007","volume":"18","author":[{"given":"Massimo","family":"Arnone","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-1865-6935","authenticated-orcid":false,"given":"Michele Leonardo","family":"Bianchi","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Anna Grazia","family":"Quaranta","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Gian Luca","family":"Tassinari","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"297","published-online":{"date-parts":[[2021,3,18]]},"reference":[{"issue":"3","key":"391_CR1","doi-asserted-by":"publisher","first-page":"488","DOI":"10.2307\/1879431","volume":"84","author":"G Akerlof","year":"1970","unstructured":"Akerlof G (1970) The market for lemons: quality uncertainty and the market mechanism. Q J Econ 84(3):488\u2013500","journal-title":"Q J Econ"},{"issue":"1","key":"391_CR2","doi-asserted-by":"publisher","first-page":"76","DOI":"10.1207\/S15327760JPFM0101_07","volume":"1","author":"VJ Bantwal","year":"2000","unstructured":"Bantwal VJ, Kunreuther HC (2000) A CAT bond premium puzzle? J Psycol Financ Mark 1(1):76\u201391","journal-title":"J Psycol Financ Mark"},{"key":"391_CR3","doi-asserted-by":"publisher","first-page":"323","DOI":"10.1016\/j.frl.2018.08.014","volume":"29","author":"H Bi","year":"2019","unstructured":"Bi H, Wang G, Wang X (2019) Valuation of catastrophe equity put options with correlated default risk and jump risk. Financ Res Lett 29:323\u2013329","journal-title":"Financ Res Lett"},{"key":"391_CR4","doi-asserted-by":"publisher","DOI":"10.1142\/11118","volume-title":"Handbook of heavy-tailed distributions in asset management and risk management","author":"ML Bianchi","year":"2019","unstructured":"Bianchi ML, Stoyanov SV, Tassinari GL, Fabozzi FJ, Focardi SM (2019) Handbook of heavy-tailed distributions in asset management and risk management. World Scientific, Singapore"},{"key":"391_CR5","doi-asserted-by":"crossref","unstructured":"Bianchi ML, Tassinari GL (2020) Forward-looking portfolio selection with multivariate non-Gaussian models. Quant Financ 20:1645\u20131661","DOI":"10.1080\/14697688.2020.1733057"},{"issue":"1","key":"391_CR6","first-page":"1","volume":"32","author":"S Bouriaux","year":"2009","unstructured":"Bouriaux S, MacMinn R (2009) Securitization of catastrophe risk: new developments in insurance-linked securities and serivatives. J Insur Issues 32(1):1\u201334","journal-title":"J Insur Issues"},{"issue":"3","key":"391_CR7","doi-asserted-by":"publisher","first-page":"520","DOI":"10.1016\/j.insmatheco.2011.08.003","volume":"49","author":"A Braun","year":"2011","unstructured":"Braun A (2011) Pricing catastrophe swaps: a contingent claims approach. Insur Math Econ 49(3):520\u2013536","journal-title":"Insur Math Econ"},{"key":"391_CR8","doi-asserted-by":"publisher","first-page":"238","DOI":"10.1016\/j.insmatheco.2019.07.006","volume":"88","author":"K Burnecki","year":"2019","unstructured":"Burnecki K, Giuricich MN, Palmowski Z (2019) Valuation of contingent convertible catastrophe bonds the case for equity conversion. Insur Math Econ 88:238\u2013254","journal-title":"Insur Math Econ"},{"issue":"1","key":"391_CR9","doi-asserted-by":"publisher","first-page":"40","DOI":"10.1016\/j.envhaz.2007.04.005","volume":"7","author":"V Cardenas","year":"2007","unstructured":"Cardenas V, Hochrainer-Stigler S, Mechler R, Pflug G, Linnerooth-Bayer J (2007) Sovereign financial disaster risk management: the case of Mexico. Environmental Hazards 7(1):40\u201353","journal-title":"Environmental Hazards"},{"issue":"1","key":"391_CR10","doi-asserted-by":"publisher","first-page":"31","DOI":"10.1111\/j.1467-9965.2007.00293.x","volume":"17","author":"P Carr","year":"2007","unstructured":"Carr P, Geman H, Madan DB, Yor M (2007) Self-decomposability and option pricing. Math Financ 17(1):31\u201357","journal-title":"Math Financ"},{"issue":"4","key":"391_CR11","doi-asserted-by":"publisher","first-page":"61","DOI":"10.21314\/JCF.1999.043","volume":"2","author":"P Carr","year":"1999","unstructured":"Carr P, Madan D (1999) Option valuation using the fast Fourier transform. J Comput Financ 2(4):61\u201373","journal-title":"J Comput Financ"},{"issue":"1","key":"391_CR12","doi-asserted-by":"publisher","first-page":"24","DOI":"10.1016\/j.jbankfin.2009.06.019","volume":"34","author":"CW Chang","year":"2010","unstructured":"Chang CW, Chang JSK, Lu WL (2010) Pricing catastrophe options with stochastic claim arrival intensity in claim time. J Bank Financ 34(1):24\u201332","journal-title":"J Bank Financ"},{"issue":"4","key":"391_CR13","doi-asserted-by":"publisher","first-page":"599","DOI":"10.2307\/253473","volume":"63","author":"CW Chang","year":"1996","unstructured":"Chang CW, Chang JSK, Yu MT (1996) Pricing catastrophe insurance futures call spreads: a randomized operational time approach. J Risk Insur 63(4):599\u2013617","journal-title":"J Risk Insur"},{"issue":"1","key":"391_CR14","doi-asserted-by":"publisher","first-page":"59","DOI":"10.1016\/j.insmatheco.2008.09.009","volume":"44","author":"LF Chang","year":"2009","unstructured":"Chang LF, Hung MW (2009) Analytical valuation of catastrophe equity options with negative exponential jumps. Insur Math Econ 44(1):59\u201369","journal-title":"Insur Math Econ"},{"issue":"1","key":"391_CR15","doi-asserted-by":"publisher","first-page":"91","DOI":"10.1057\/palgrave.gpp.2510155","volume":"33","author":"A Charpentier","year":"2008","unstructured":"Charpentier A (2008) Insurability of climate risks. Geneva Papers Risk Insur Issues Pract 33(1):91\u2013109","journal-title":"Geneva Papers Risk Insur Issues Pract"},{"issue":"2","key":"391_CR16","doi-asserted-by":"publisher","first-page":"259","DOI":"10.1016\/j.insmatheco.2003.12.006","volume":"34","author":"SH Cox","year":"2004","unstructured":"Cox SH, Fairchild JR, Pedersen HW (2004) Valuation of structured risk management products. Insur Math Econ 34(2):259\u2013272","journal-title":"Insur Math Econ"},{"key":"391_CR17","doi-asserted-by":"publisher","first-page":"628","DOI":"10.2307\/253347","volume":"59","author":"SH Cox","year":"1992","unstructured":"Cox SH, Schwebach RG (1992) Insurance futures and hedging insurance price risk. J Risk Insur pages 59:628\u2013644","journal-title":"J Risk Insur pages"},{"issue":"4","key":"391_CR18","doi-asserted-by":"publisher","first-page":"46","DOI":"10.3905\/jfi.1995.408128","volume":"4","author":"JD Cummins","year":"1995","unstructured":"Cummins JD, Geman H (1995) Pricing catastrophe insurance futures and call spreads: An arbitrage approach. The Journal of Fixed Income 4(4):46\u201357","journal-title":"The Journal of Fixed Income"},{"issue":"1","key":"391_CR19","doi-asserted-by":"publisher","first-page":"73","DOI":"10.1007\/s007800200079","volume":"7","author":"A Dassios","year":"2003","unstructured":"Dassios A, Jang JW (2003) Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity. Financ Stoch 7(1):73\u201395","journal-title":"Financ Stoch"},{"key":"391_CR20","doi-asserted-by":"crossref","DOI":"10.18235\/0010539","volume-title":"Disaster risk management: national systems for the comprehensive management of disaster risk financial strategies for natural disaster reconstruction","author":"P Freeman","year":"2003","unstructured":"Freeman P, Martin L, Linnerooth-Bayer J, Mechler R, Pflug G, Warner K (2003) Disaster risk management: national systems for the comprehensive management of disaster risk financial strategies for natural disaster reconstruction. Technical report, Inter-American Development Bank"},{"issue":"1","key":"391_CR21","doi-asserted-by":"publisher","first-page":"48","DOI":"10.1080\/10920277.1998.10595671","volume":"2","author":"HU Gerber","year":"1998","unstructured":"Gerber HU, Shiu ESW (1998) On the time value of ruin. North Am Actuar J 2(1):48\u201372","journal-title":"North Am Actuar J"},{"issue":"4","key":"391_CR22","doi-asserted-by":"publisher","first-page":"159","DOI":"10.21314\/JCF.2012.248","volume":"15","author":"F Guillaume","year":"2012","unstructured":"Guillaume F (2012) Sato two-factor models for multivariate option pricing. J Compu Financ 15(4):159\u2013192","journal-title":"J Compu Financ"},{"key":"391_CR23","doi-asserted-by":"publisher","first-page":"1731","DOI":"10.5194\/nhess-14-1731-2014","volume":"14","author":"P Hudson","year":"2014","unstructured":"Hudson P, Botzen W, Kreibich H, Bubeck P, Aerts J (2014) Evaluating the effectiveness of flood damage mitigation measures by the application of propensity score matching. Nat Hazards Earth Syst Sci 14:1731\u20131747","journal-title":"Nat Hazards Earth Syst Sci"},{"issue":"3","key":"391_CR24","doi-asserted-by":"publisher","first-page":"469","DOI":"10.1016\/j.insmatheco.2005.11.008","volume":"38","author":"S Jaimungal","year":"2006","unstructured":"Jaimungal S, Wang T (2006) Catastrophe options with stochastic interest rates and compound Poisson losses. Insur Math Econ 38(3):469\u2013483","journal-title":"Insur Math Econ"},{"key":"391_CR25","doi-asserted-by":"publisher","first-page":"226","DOI":"10.1016\/j.najef.2012.06.017","volume":"25","author":"IM Jiang","year":"2013","unstructured":"Jiang IM, Yang SY, Liu YH, Wang AT (2013) Valuation of double trigger catastrophe options with counterparty risk. North Am J Econ Financ 25:226\u2013242","journal-title":"North Am J Econ Financ"},{"issue":"4","key":"391_CR26","doi-asserted-by":"publisher","first-page":"264","DOI":"10.1038\/nclimate2124","volume":"4","author":"B Jongman","year":"2014","unstructured":"Jongman B, Hochrainer-Stigler S, Feyen L, Aerts JCJH, Mechler R, Botzen WJW, Bouwer LM, Pflug G, Rojas R, Ward PJ (2014) Increasing stress on disaster-risk finance due to large floods. Nature Climate Change 4(4):264\u2013268","journal-title":"Nature Climate Change"},{"key":"391_CR27","doi-asserted-by":"publisher","first-page":"517","DOI":"10.1007\/978-1-4614-0155-1_19","volume-title":"Handbook of insurance","author":"H Kunreuther","year":"2013","unstructured":"Kunreuther H, Kerjan ME (2013) Managing catastrophic risks through redesigned insurance: challenges and opportunities. Handbook of insurance. Springer, Berlin, pp 517\u2013546"},{"issue":"2","key":"391_CR28","doi-asserted-by":"publisher","first-page":"287","DOI":"10.1016\/j.insmatheco.2008.04.002","volume":"44","author":"XS Lin","year":"2009","unstructured":"Lin XS, Wang T (2009) Pricing perpetual American catastrophe put options: a penalty function approach. Insur Math Econ 44(2):287\u2013295","journal-title":"Insur Math Econ"},{"issue":"1","key":"391_CR29","doi-asserted-by":"publisher","first-page":"85","DOI":"10.1007\/s10584-013-1035-6","volume":"133","author":"J Linnerooth-Bayer","year":"2015","unstructured":"Linnerooth-Bayer J, Hochrainer-Stigler S (2015) Financial instruments for disaster risk management and climate change adaptation. Clim Change 133(1):85\u2013100","journal-title":"Clim Change"},{"key":"391_CR30","unstructured":"Munich Re (2001) Munich Re ART Solutions. Technnical report"},{"issue":"11","key":"391_CR31","doi-asserted-by":"publisher","first-page":"2403","DOI":"10.5194\/nhess-16-2403-2016","volume":"16","author":"J Mysiak","year":"2016","unstructured":"Mysiak J, P\u00e9rez-Blanco CD (2016) Partnerships for disaster risk insurance in the EU. Nat Hazards Earth Syst Sci 16(11):2403\u20132416","journal-title":"Nat Hazards Earth Syst Sci"},{"key":"391_CR32","unstructured":"OECD (2010) Good practices for mitigation and financing catastrophic risks. Recommendation"},{"key":"391_CR33","unstructured":"OECD (2017) Revised report on the financial management of earthquake risk. Recommendation"},{"key":"391_CR34","doi-asserted-by":"publisher","DOI":"10.1002\/0470870230","volume-title":"L\u00e9vy processes in finance","author":"W Schoutens","year":"2003","unstructured":"Schoutens W (2003) L\u00e9vy processes in finance. Wiley, New Jersey"},{"issue":"4","key":"391_CR35","doi-asserted-by":"publisher","first-page":"1450023","DOI":"10.1142\/S021902491450023X","volume":"17","author":"GL Tassinari","year":"2014","unstructured":"Tassinari GL, Bianchi ML (2014) Calibrating the smile with multivariate time-changed Brownian motion and the Esscher transform. Int J Theor Appl Financ 17(4):1450023","journal-title":"Int J Theor Appl Financ"},{"key":"391_CR36","doi-asserted-by":"publisher","first-page":"378","DOI":"10.2307\/2391850","volume":"21","author":"BA Turner","year":"1976","unstructured":"Turner BA (1976) The organizational and interorganizational development of disasters. Adm Sci Q 21:378\u2013397","journal-title":"Adm Sci Q"},{"key":"391_CR37","doi-asserted-by":"publisher","first-page":"79","DOI":"10.1016\/j.insmatheco.2016.08.010","volume":"71","author":"X Wang","year":"2016","unstructured":"Wang X (2016) Catastrophe equity put options with target variance. Insur Math Econ 71:79\u201386","journal-title":"Insur Math Econ"},{"issue":"2","key":"391_CR38","doi-asserted-by":"publisher","first-page":"181","DOI":"10.1111\/irfi.12075","volume":"16","author":"X Wang","year":"2016","unstructured":"Wang X (2016) The pricing of catastrophe equity put options with default risk. Int Rev Financ 16(2):181\u2013201","journal-title":"Int Rev Financ"},{"key":"391_CR39","doi-asserted-by":"publisher","first-page":"101211","DOI":"10.1016\/j.najef.2020.101211","volume":"54","author":"Xingchun Wang","year":"2020","unstructured":"Wang Xingchun (2020) Catastrophe equity put options with floating strike prices. North Am J Econ Financ 54:101211","journal-title":"North Am J Econ Financ"}],"container-title":["Computational Management Science"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/link.springer.com\/content\/pdf\/10.1007\/s10287-021-00391-y.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/link.springer.com\/article\/10.1007\/s10287-021-00391-y\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/link.springer.com\/content\/pdf\/10.1007\/s10287-021-00391-y.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,4,9]],"date-time":"2025-04-09T07:25:21Z","timestamp":1744183521000},"score":1,"resource":{"primary":{"URL":"https:\/\/link.springer.com\/10.1007\/s10287-021-00391-y"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2021,3,18]]},"references-count":39,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2021,6]]}},"alternative-id":["391"],"URL":"https:\/\/doi.org\/10.1007\/s10287-021-00391-y","relation":{},"ISSN":["1619-697X","1619-6988"],"issn-type":[{"value":"1619-697X","type":"print"},{"value":"1619-6988","type":"electronic"}],"subject":[],"published":{"date-parts":[[2021,3,18]]},"assertion":[{"value":"29 October 2020","order":1,"name":"received","label":"Received","group":{"name":"ArticleHistory","label":"Article History"}},{"value":"19 February 2021","order":2,"name":"accepted","label":"Accepted","group":{"name":"ArticleHistory","label":"Article History"}},{"value":"18 March 2021","order":3,"name":"first_online","label":"First Online","group":{"name":"ArticleHistory","label":"Article History"}}]}}