{"id":"https://openalex.org/W3137630945","doi":"https://doi.org/10.1007/s10287-021-00391-y","title":"Catastrophic risks and the pricing of catastrophe equity put options","display_name":"Catastrophic risks and the pricing of catastrophe equity put options","publication_year":2021,"publication_date":"2021-03-18","ids":{"openalex":"https://openalex.org/W3137630945","doi":"https://doi.org/10.1007/s10287-021-00391-y","mag":"3137630945","pmid":"https://pubmed.ncbi.nlm.nih.gov/38624709"},"language":"en","primary_location":{"id":"doi:10.1007/s10287-021-00391-y","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s10287-021-00391-y","pdf_url":"https://link.springer.com/content/pdf/10.1007/s10287-021-00391-y.pdf","source":{"id":"https://openalex.org/S28822639","display_name":"Computational Management Science","issn_l":"1619-697X","issn":["1619-697X","1619-6988"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Computational Management Science","raw_type":"journal-article"},"type":"article","indexed_in":["crossref","pubmed"],"open_access":{"is_oa":true,"oa_status":"bronze","oa_url":"https://link.springer.com/content/pdf/10.1007/s10287-021-00391-y.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5040681240","display_name":"Massimo Arnone","orcid":null},"institutions":[{"id":"https://openalex.org/I112862951","display_name":"University of Messina","ror":"https://ror.org/05ctdxz19","country_code":"IT","type":"education","lineage":["https://openalex.org/I112862951"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Massimo Arnone","raw_affiliation_strings":["Department of Economics, University of Messina, Messina, Italy"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics, University of Messina, Messina, Italy","institution_ids":["https://openalex.org/I112862951"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5061589540","display_name":"Michele Leonardo Bianchi","orcid":"https://orcid.org/0000-0002-1865-6935"},"institutions":[{"id":"https://openalex.org/I103737770","display_name":"Bank of Italy","ror":"https://ror.org/03v2nbx43","country_code":"IT","type":"funder","lineage":["https://openalex.org/I103737770"]}],"countries":["IT"],"is_corresponding":true,"raw_author_name":"Michele Leonardo Bianchi","raw_affiliation_strings":["Financial Stability Directorate, Bank of Italy, Rome, Italy"],"raw_orcid":"https://orcid.org/0000-0002-1865-6935","affiliations":[{"raw_affiliation_string":"Financial Stability Directorate, Bank of Italy, Rome, Italy","institution_ids":["https://openalex.org/I103737770"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5074442551","display_name":"Anna Grazia Quaranta","orcid":"https://orcid.org/0000-0003-4619-5862"},"institutions":[{"id":"https://openalex.org/I55133342","display_name":"University of Macerata","ror":"https://ror.org/0001fmy77","country_code":"IT","type":"education","lineage":["https://openalex.org/I55133342"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Anna Grazia Quaranta","raw_affiliation_strings":["Department of Economics and Law, University of Macerata, Macerata, Italy"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics and Law, University of Macerata, Macerata, Italy","institution_ids":["https://openalex.org/I55133342"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5069166425","display_name":"Gian Luca Tassinari","orcid":"https://orcid.org/0000-0002-5650-5054"},"institutions":[{"id":"https://openalex.org/I9360294","display_name":"University of Bologna","ror":"https://ror.org/01111rn36","country_code":"IT","type":"education","lineage":["https://openalex.org/I9360294"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Gian Luca Tassinari","raw_affiliation_strings":["Department of Economics, Department of Statistical Sciences \"Paolo Fortunati\" and Department of Management, University of Bologna, Bologna, Italy"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics, Department of Statistical Sciences \"Paolo Fortunati\" and Department of Management, University of Bologna, Bologna, Italy","institution_ids":["https://openalex.org/I9360294"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5061589540"],"corresponding_institution_ids":["https://openalex.org/I103737770"],"apc_list":{"value":2890,"currency":"USD","value_usd":2890},"apc_paid":null,"fwci":1.3975,"has_fulltext":true,"cited_by_count":7,"citation_normalized_percentile":{"value":0.87015819,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":97},"biblio":{"volume":"18","issue":"2","first_page":"213","last_page":"237"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T12394","display_name":"Insurance and Financial Risk Management","score":0.9991999864578247,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T12394","display_name":"Insurance and Financial Risk Management","score":0.9991999864578247,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9972000122070312,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9919000267982483,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/valuation-of-options","display_name":"Valuation of options","score":0.6165616512298584},{"id":"https://openalex.org/keywords/hedge","display_name":"Hedge","score":0.5780323147773743},{"id":"https://openalex.org/keywords/equity","display_name":"Equity (law)","score":0.5265876650810242},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5011696815490723},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.49247559905052185},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.4825698435306549},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.4740276634693146},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.45336535573005676},{"id":"https://openalex.org/keywords/black\u2013scholes-model","display_name":"Black\u2013Scholes model","score":0.4488603472709656},{"id":"https://openalex.org/keywords/capitalization","display_name":"Capitalization","score":0.43983665108680725},{"id":"https://openalex.org/keywords/poisson-process","display_name":"Poisson process","score":0.42485445737838745},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.34889185428619385},{"id":"https://openalex.org/keywords/poisson-distribution","display_name":"Poisson distribution","score":0.31668370962142944},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.1673172414302826},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.08720064163208008}],"concepts":[{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.6165616512298584},{"id":"https://openalex.org/C70771513","wikidata":"https://www.wikidata.org/wiki/Q235779","display_name":"Hedge","level":2,"score":0.5780323147773743},{"id":"https://openalex.org/C199728807","wikidata":"https://www.wikidata.org/wiki/Q2578557","display_name":"Equity (law)","level":2,"score":0.5265876650810242},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5011696815490723},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.49247559905052185},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.4825698435306549},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.4740276634693146},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.45336535573005676},{"id":"https://openalex.org/C163128081","wikidata":"https://www.wikidata.org/wiki/Q1338307","display_name":"Black\u2013Scholes model","level":3,"score":0.4488603472709656},{"id":"https://openalex.org/C2779137862","wikidata":"https://www.wikidata.org/wiki/Q425951","display_name":"Capitalization","level":2,"score":0.43983665108680725},{"id":"https://openalex.org/C166144826","wikidata":"https://www.wikidata.org/wiki/Q1145117","display_name":"Poisson process","level":3,"score":0.42485445737838745},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.34889185428619385},{"id":"https://openalex.org/C100906024","wikidata":"https://www.wikidata.org/wiki/Q205692","display_name":"Poisson distribution","level":2,"score":0.31668370962142944},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.1673172414302826},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.08720064163208008},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C18903297","wikidata":"https://www.wikidata.org/wiki/Q7150","display_name":"Ecology","level":1,"score":0.0},{"id":"https://openalex.org/C138885662","wikidata":"https://www.wikidata.org/wiki/Q5891","display_name":"Philosophy","level":0,"score":0.0},{"id":"https://openalex.org/C41895202","wikidata":"https://www.wikidata.org/wiki/Q8162","display_name":"Linguistics","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0}],"mesh":[],"locations_count":7,"locations":[{"id":"doi:10.1007/s10287-021-00391-y","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s10287-021-00391-y","pdf_url":"https://link.springer.com/content/pdf/10.1007/s10287-021-00391-y.pdf","source":{"id":"https://openalex.org/S28822639","display_name":"Computational Management Science","issn_l":"1619-697X","issn":["1619-697X","1619-6988"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Computational Management Science","raw_type":"journal-article"},{"id":"pmid:38624709","is_oa":false,"landing_page_url":"https://pubmed.ncbi.nlm.nih.gov/38624709","pdf_url":null,"source":{"id":"https://openalex.org/S4306525036","display_name":"PubMed","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1299303238","host_organization_name":"National Institutes of Health","host_organization_lineage":["https://openalex.org/I1299303238"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Computational management science","raw_type":null},{"id":"pmh:oai:RePEc:spr:comgts:v:18:y:2021:i:2:d:10.1007_s10287-021-00391-y","is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s10287-021-00391-y","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:cris.unibo.it:11585/945255","is_oa":true,"landing_page_url":"https://link.springer.com/article/10.1007/s10287-021-00391-y","pdf_url":null,"source":{"id":"https://openalex.org/S4306402579","display_name":"Archivio istituzionale della ricerca (Alma Mater Studiorum Universit\u00e0 di Bologna)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I4210117483","host_organization_name":"Istituto di Ematologia di Bologna","host_organization_lineage":["https://openalex.org/I4210117483"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"info:eu-repo/semantics/article"},{"id":"pmh:oai:iris.unipa.it:10447/509729","is_oa":true,"landing_page_url":"http://hdl.handle.net/10447/509729","pdf_url":null,"source":{"id":"https://openalex.org/S4306401065","display_name":"Nova Science Publishers (Nova Science Publishers, Inc.)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"info:eu-repo/semantics/article"},{"id":"pmh:oai:pubmedcentral.nih.gov:7969350","is_oa":true,"landing_page_url":"https://www.ncbi.nlm.nih.gov/pmc/articles/7969350","pdf_url":null,"source":{"id":"https://openalex.org/S2764455111","display_name":"PubMed Central","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1299303238","host_organization_name":"National Institutes of Health","host_organization_lineage":["https://openalex.org/I1299303238"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Comput Manag Sci","raw_type":"Text"},{"id":"pmh:oai:u-pad.unimc.it:11393/283828","is_oa":false,"landing_page_url":"http://hdl.handle.net/11393/283828","pdf_url":null,"source":{"id":"https://openalex.org/S4377196455","display_name":"U-PAD Unimc - Open Digital Publications (University of Macerata)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I55133342","host_organization_name":"University of Macerata","host_organization_lineage":["https://openalex.org/I55133342"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"info:eu-repo/semantics/article"}],"best_oa_location":{"id":"doi:10.1007/s10287-021-00391-y","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s10287-021-00391-y","pdf_url":"https://link.springer.com/content/pdf/10.1007/s10287-021-00391-y.pdf","source":{"id":"https://openalex.org/S28822639","display_name":"Computational Management Science","issn_l":"1619-697X","issn":["1619-697X","1619-6988"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Computational Management Science","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320322149","display_name":"Banca d'Italia","ror":"https://ror.org/03v2nbx43"}],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W3137630945.pdf","grobid_xml":"https://content.openalex.org/works/W3137630945.grobid-xml"},"referenced_works_count":37,"referenced_works":["https://openalex.org/W187090959","https://openalex.org/W296777427","https://openalex.org/W1480459000","https://openalex.org/W1920545270","https://openalex.org/W1965302626","https://openalex.org/W1970776271","https://openalex.org/W1975428009","https://openalex.org/W1975462989","https://openalex.org/W1976954646","https://openalex.org/W1977626386","https://openalex.org/W1981137970","https://openalex.org/W1985820303","https://openalex.org/W1994064197","https://openalex.org/W2002530172","https://openalex.org/W2018398968","https://openalex.org/W2021831801","https://openalex.org/W2029091905","https://openalex.org/W2043814786","https://openalex.org/W2055390972","https://openalex.org/W2107692174","https://openalex.org/W2111648184","https://openalex.org/W2150320772","https://openalex.org/W2150800487","https://openalex.org/W2156109180","https://openalex.org/W2291602508","https://openalex.org/W2335311326","https://openalex.org/W2444293943","https://openalex.org/W2508679861","https://openalex.org/W2555732278","https://openalex.org/W2888097075","https://openalex.org/W2894211295","https://openalex.org/W2969181752","https://openalex.org/W3018632624","https://openalex.org/W3019057540","https://openalex.org/W3122172651","https://openalex.org/W3125304980","https://openalex.org/W4247340585"],"related_works":["https://openalex.org/W4328096176","https://openalex.org/W2258849102","https://openalex.org/W4398218509","https://openalex.org/W2368488114","https://openalex.org/W1606748888","https://openalex.org/W2792174015","https://openalex.org/W2943124786","https://openalex.org/W4323786639","https://openalex.org/W3176143848","https://openalex.org/W2088436879"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2024,"cited_by_count":3},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":1}],"updated_date":"2026-07-23T08:03:31.855105","created_date":"2025-10-10T00:00:00"}