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政大典藏 > College of Commerce > Department of Money and Banking > Periodical Articles > Item 140.119/63905

Please use this identifier to cite or link to this item: https://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:	[Department of Money and Banking] Periodical Articles

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