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Sponsored Artificial Intelligence: A Modern Approach, Global Edition Artificial Intelligence: A Modern Approach, Global Edition

Author

Hao‐Han Chang

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Open access Jul 2026

Contingent capital: A tale of two valuations

This study investigates the valuation gap between buyers and sellers of insurers' contingent capital, driven by asymmetric exposures to tax benefits, capital injections, and bankruptcy costs. We develop a novel Twin‐Tree Model with Jumps ( TTMJ ) that models the insurer's asset value dynamics by incorporating cat...

Tianran Dai, Chien‐Ling Lo, You-Jia Sun et al. · 0 citations

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