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政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/64938

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Title:	Valuation of Catastrophe Equity Puts with Markov-Modulated Poisson Processes
Authors:	Chang, C. C.;Lin, S. K.;Yu, M. T. 林士貴
Contributors:	金融系
Date:	2011.06
Issue Date:	2014-03-27 10:00:56 (UTC+8)
Abstract:	We derive the pricing formula for catastrophe equity put options (CatEPuts) by assuming catastrophic events follow a Markov Modulated Poisson process (MMPP) whose intensity varies according to the change of the Atlantic Multidecadal Oscillation (AMO) signal. U.S. hurricanes events from 1960 to 2007 show that the CatEPuts pricing errors under the MMPP(2) are smaller than the PP by 30 percent to 66 percent. The scenario analysis indicates that the MMPP outperforms the exponential growth pattern (EG) if the hurricane intensity is the AMO signal, whereas the EG may outperform the MMPP if the future climate is warming rapidly.
Relation:	Journal of Risk and Insurance,78(2), 447-473
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1111/j.1539-6975.2010.01385.x
DOI:	10.1111/j.1539-6975.2010.01385.x
Appears in Collections:	[金融學系] 期刊論文

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