政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/63905
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    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/63905


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    题名: Pricing Catastrophe Insurance Derivatives with Stochastic Interest Rates and Regime-Switching Jump Diffusion Losses
    作者: Wu, Yang-Che;Liao, Szu-Lang;Shyu, So-De
    吳仰哲;廖四郎;徐守德
    贡献者: 金融系
    日期: 2008-10
    上传时间: 2014-02-17 17:49:09 (UTC+8)
    摘要: This article introduces a regime-switching jump diffusion model to capture the arrival and loss process for the catastrophic loss index. Based on this model, we price catastrophe insurance derivatives—the Property Claim Services (PCS) futures call option, the PCS futures call spread and the default-free catastrophe bond. Under a framework of incomplete markets, and using non-traded CAT (catastrophe) loss indices, the existence of a well-defined arbitrage-free price is shown, and the analytic closed-form pricing formulas can be implemented via the fast Fourier transform. We derive the hedging parameters, Delta, Gamma and Rho, from these formulas. Further, the sensitivity analysis of the parameters are conducted to study the effect of these contingent claims valuation. [ABSTRACT FROM AUTHOR]
    關聯: Icfai Journal of Risk and Insurance, 5(4), 7-28
    数据类型: article
    显示于类别:[金融學系] 期刊論文

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