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    题名: 巨災與氣候衍生性商品之定價、避險與實証分析(II)
    其它题名: Pricing, Hedging, and Empirical Evidence in Catastrophic and Weather Deriviatives
    作者: 林士貴
    贡献者: 國立政治大學金融系
    行政院國家科學委員會
    关键词: 大西洋幾十年震盪;狀態轉移;蒙地卡羅;巨災權益賣權
    Atlantic Multidecadal Oscillation (AMO);regime switch;Monte Carlo;Catastrophe Equity Put
    日期: 2012
    上传时间: 2012-06-25 15:17:20 (UTC+8)
    摘要: 氣候變遷透過溫度變化、雨量變化、颶風侵襲的頻率及其強度的增加等等氣候因子影響到整個生態環境與經濟活動，而氣候變遷造成熱帶氣旋發生頻率增加與強度增加因素，除了IPPC在第四次評估報告中認為與人類大量排放溫室氣體造成全球暖化有關，而引起颶風來臨的頻率不斷增加；最近一些研究(如:Goldenberg et al. 2001； Landsea, 2005)認為過去幾十年在大西洋颶風活動的增加和被稱為大西洋幾十年震盪 (Atlantic Multidecadal Oscillation, AMO)的自然天氣循環有關，此外，氣候變遷也存在突變的現象(Minobe,1977)，此突變的現象為單一轉換事件，即大氣洋流在突變後的狀態與先前的狀態大不相同，其改變的時間亦較不具週期性。本文修正了Cox, Fairchild and Pedersen (2004)，Jaimungal and Wang (2006)，Lin et al.,(2009)與Chang et al.,(2010)的模型，並依據颶風生成的頻率與情況，提出一個將颶風發生的次數成指數型遞增、颶風次數伴隨狀態移轉與突變等三種現象納入模型的考量來評價巨災權益賣權，利用蒙地卡羅模擬來評價巨災權益賣權，模擬結果顯示當颶風來臨的頻率增加、造成的損失變異程度的增加會造成巨災權益賣權的價格增加。
    The change of climate has great impact on the ecological environment and the economic activities through the vibration of the temperature, rainfall and the frequency of the landfall of the hurricanes etc. According the fourth assessment of the International Plant Protection Convention (IPPC), the increasing frequency of the hurricanes is due to the huge emission of the carbon dioxide. In the recent researches (Goldenberg et al. 2001； Landsea, 2005), the increasing activities of the hurricanes on the Atlantic basin has relation with the phenomena of the Atlantic Multidecadal Oscillation (AMO), furthermore, there is also existing the abrupt circumstance in the climate change (Minobe, 1977). In the easy, we justify the model of Cox, Fairchild and Pedersen (2004), Jaimungal and Wang (2006), Lin et al., (2009) and Chang et al., (2010) and propose the model which includes these three phenomena that are respectively described as exponential increasing of the occurrence of the hurricane, the occurrence of the hurricane changing with the regime of states, and the abrupt circumstance of the climate change. In addition, we use the Monte Carlo simulation to calculate the price of the Catastrophe Equity Put (CatEPut), and find the increasing of the frequency of the hurricanes and vibration of the loss caused by the hurricanes will increasing the price of the CatEPut.
    關聯: 應用研究
    學術補助
    研究期間:10108~ 10207
    研究經費:646仟元
    数据类型: report
    显示于类别:[金融學系] 國科會研究計畫

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