政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/64938

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 109953/140903 (78%)
Visitors : 46054430 Online Users : 974

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

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

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/64938

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

Files in This Item:

File	Description	Size	Format
447473.pdf		317Kb	Adobe PDF2	1380	View/Open

社群 sharing

著作權政策宣告 Copyright Announcement

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。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

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。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

Loading...