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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(I)
    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: 巨災風險;或有資本商品;益賣巨災權;或有資本票據;氣候衍生性商品;跳躍擴散過程;馬可夫調控過程
    日期: 2011
    上传时间: 2012-06-25 15:17:07 (UTC+8)
    摘要: 近來，氣候變遷影響人類居住、生活與經濟已越來嚴重，因此本研究希望藉著保險公司購買或有資本商品的避策略，能源氣候衍生性，以降低氣候對人類生存與經濟活動的影響。使用馬可夫調控過程定價巨災權益賣，然而在股產生巨災風險 包括人為巨災及自然，包括了911恐怖攻擊事件等的非金融巨災以及如網路泡沫與次級房貸之金融巨災，自然巨包括了颶風以及地震。本研究目的是根據當有重大巨災事件發生時造成資本市場上的股價產不正常跳躍現象分析，利用實証分析後假設 資產動態過程之模型評價巨災衍生性商品中的或有資本商品，如巨災權益賣以及或有資本票據之商品。此外，全球氣候的變遷也造成溫度、雨量等因子的變動加劇而產生不正常的跳躍現象， 因此藉由將這些不正常情況加入氣候因子動態過程的跳躍現象，研究衍生性商品 定價、避險以及實証分析。因此本研究目的是主要有三方面：第一方面 資產的動態過程實証分析 ，發展混合跳躍擴散過程，描述各種巨災類型的發生過程 ，並討論股價是否會由此混合跳躍擴散的發生過程 ，以實証的方法 (如以概似函數做估計與檢定 )分析保險公司股價的動態過程 ，以及氣溫度數分析保險公司股價的動態過程。第二方面巨災衍生性商品定價與避險，根據實證上獲得之混合跳躍擴散過程模型之參數估計後，根據資產的動態過程推導巨災衍生性商品之評價公式，包括根據資產的動態過程推導巨災衍生性商品之評價公式，包括權益賣與或有資本票據，並且根評價公式推導避險找出策略。第三方面氣候衍生性商品 ，利用均數復歸並加入溫度跳躍的模型，與實際溫度跳躍的模型，進行模型估計與檢定與資料進行模型估計與檢定，進而對相關的氣溫衍生性商品行進行評價與擬定避險策避險策略。
    Impact of climate change has been more and more important for human habitation, life and economic activity. In this study, insurance companies need to find a hedge strategy of stock price in catastrophic risk, and energy companies also need to buy climate derivatives hedging strategy to reduce the climate impact on human survival and economic activities. Change, Lin and Yu (2010) propose Markov modulated Poison processes with the pricing of catastrophic equity put option based on the hurricane catastrophe. However, there are man-made catastrophes (such as 911 terrorist attacks, internet bubble and the subprime financial crisis) and natural catastrophes (such as hurricane and earthquake catastrophe) in catastrophic risks caused the abnormal variation of stock price processes. The purpose of this study is based on the incident when a major catastrophe caused by the capital market stock price to produce jumps in empirical analysis. Based on assuming the dynamic process of stock price with catastrophic risks, we evaluate the catastrophe derivatives in the contingent capital, such as catastrophe equity put and contingent surplus notes. In addition, global climate change also results in temperature, rainfall and other climate change factors have exacerbated the abnormal jump phenomenon. Therefore, jump parts are added to the dynamic process on empirical analysis of climatic factors. Then, we derive the pricing formula of weather derivatives and hedge the weather derivatives. Therefore, there are three aspects in this project to proceed as follows. 1. In the empirical performance, one of the common requirements for accurate modeling of the insurance stock price (or the weather index) is that the series of historical stock price (or the weather) have jump behavior, which can capture the catastrophic risks, including natural catastrophe and man-made catastrophe risk. 2. In the pricing and hedging of the catastrophic derivative, based on the empirical analysis of catastrophic risks, we derive the pricing formula of contingent capital and hedge the derivatives, including catastrophic equity put and contingent surplus notes. 3. In the pricing and hedging of the weather derivatives, based on the empirical analysis of the temperature in El Niño and La Niña, we will give a jump model to derive and hedge the weather derivatives in HDD and CDD.
    關聯: 應用研究
    學術補助
    研究期間:10008~ 10107
    研究經費:623仟元
    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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