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    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/64937


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    題名: The Valuation of Contingent Capital with Catastrophe Risks
    作者: Lin, Shih-Kuei;Chang, C. C.;Powers, M. R.
    林士貴
    貢獻者: 金融系
    關鍵詞: Doubly stochastic Poisson process;Catastrophe risks;Contingent capital
    日期: 2009.08
    上傳時間: 2014-03-27 10:00:44 (UTC+8)
    摘要: The Intergovernmental Panel on Climate Change Fourth Assessment Report (2007) indicates that unanticipated catastrophic events could increase with time because of global warming. Therefore, it seems inadequate to assume that arrival process of catastrophic events follows a pure Poisson process adopted by most previous studies (e.g. [Louberge, H., Kellezi, E., Gilli, M., 1999. Using catastrophe-linked securities to diversify insurance risk: A financial analysis of lCAT bonds. J. Risk Insurance 22, 125–146; Lee, J.-P., Yu, M.-T., 2002. Pricing default-risky CAT bonds with moral hazard and basis risk. J. Risk Insurance 69, 25–44; Cox, H., Fairchild, J., Pedersen, H., 2004. Valuation of structured risk management products. Insurance Math. Econom. 34, 259–272; Jaimungal, S., Wang, T., 2006. Catastrophe options with stochastic interest rates and compound Poisson losses. Insurance Math. Econom., 38, 469–483]. In order to overcome this shortcoming, this paper proposes a doubly stochastic Poisson process to model the arrival process for catastrophic events. Furthermore, we generalize the assumption in the last reference mentioned above to define the general loss function presenting that different specific loss would have different impacts on the drop in stock price. Based on modeling the arrival rates for catastrophe risks, the pricing formulas of contingent capital are derived by the Merton measure. Results of empirical experiments of contingent capital prices as well as sensitivity analyses are presented.
    關聯: Insurance: Mathematics and Economics,45(1), 65-73
    資料類型: article
    DOI 連結: http://dx.doi.org/10.1016/j.insmatheco.2009.03.005
    DOI: 10.1016/j.insmatheco.2009.03.005
    顯示於類別:[金融學系] 期刊論文

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