Contingent capital: A tale of two valuations
研究保险公司或有资本买卖双方因税收、注资和破产成本差异导致的估值分歧，提出带跳跃的双树模型，利用美国地震损失数据，发现提前行权和净值条款可扩大双方可接受的交易价格区间，为设计增强保险公司灾害韧性的或有资本工具提供参考。
Abstract 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 catastrophe risk, insolvency risk, and contractual features observed in practice. Using U.S. earthquake loss data and a representative real‐world contract, we show that early exercise and net‐worth provisions significantly affect contract tradability by expanding the range of mutually acceptable prices. Our results provide new insights into reconciling valuation asymmetries and offer guidance for designing contingent capital instruments that enhance insurers' financial resilience under catastrophe risk.