English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 90756/120810 (75%)
Visitors : 25056823      Online Users : 332
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 140.119/64938
    Please use this identifier to cite or link to this item: http://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.
    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 SizeFormat
    447473.pdf317KbAdobe PDF1192View/Open

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

    社群 sharing

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback