This study develops a structural framework to value insurers’ contingent capital with counterparty
risk (CR) and overcomes the problem of price endogeneity (PE) in the valuation model. …

Under the component GARCH model of Christoffersen et al. (2008), this research provides
the analytical pricing formulae of the VIX term structure and VIX futures, points out the zero-…

This study proposes an efficient approach for the pricing of VIX derivatives under the affine
framework and investigates the respective value of two variance components and variance …

Catastrophe (CAT) swaps are bilateral contracts through which CAT losses can be transferred
between two counterparties. They do not require collateral upon initiation, making them …

This study provides a generalized framework under which all types of Asian options can be
priced, fixed and floating strike, forward-starting and in-progress. We not only extend the …

This article evaluates underwriting risks for US property-casualty insurance company using
a by-line multivariate framework. We propose a regression system with copula structure to …

Background Understanding the effects of environmental factors on birth outcomes is crucial
for public health because newborns' birth size affects their likelihood of childhood survival, …

Studies have evaluated the impact of environmental exposure to neurotoxic metals on
developmental delays (DDs). However, comprehensive understanding regarding the associations …

Introduction Few studies have investigated the associations of child development with air
pollution, land-use type, and maternal mental health simultaneously. Therefore, we evaluated …

Air pollution, outdoor residential environment, indoor household characteristics, and parental
mental health are potential factors associated with child development. However, few …