English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 91913/122132 (75%)
Visitors : 25838261      Online Users : 189
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/63905
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/63905


    Title: Pricing Catastrophe Insurance Derivatives with Stochastic Interest Rates and Regime-Switching Jump Diffusion Losses
    Authors: Wu, Yang-Che;Liao, Szu-Lang;Shyu, So-De
    吳仰哲;廖四郎;徐守德
    Contributors: 金融系
    Date: 2008-10
    Issue Date: 2014-02-17 17:49:09 (UTC+8)
    Abstract: 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]
    Relation: Icfai Journal of Risk and Insurance, 5(4), 7-28
    Data Type: article
    Appears in Collections:[金融學系] 期刊論文

    Files in This Item:

    File Description SizeFormat
    7-28.pdf782KbAdobe PDF849View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback