政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/87577
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 111300/142217 (78%)
Visitors : 48209294      Online Users : 822
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
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/87577


    Title: 保險期貨與期貨選擇權之研究
    Authors: 張經理
    Zhang, Jing-Li
    Contributors: 陳常沂
    Chen, Chang-Yi
    張經理
    Zhang, Jing-Li
    Date: 1995
    Issue Date: 2016-04-28 15:12:44 (UTC+8)
    Abstract: 自從1992年開始，芝加哥交易所（CBOT）即開始推出一系列以保險業每季的賠款損失作為期貨交易的標的物，以使得保險公司、再保險公司或風險管理者可以藉由保險期貨去規避因承保業務造成的核保風險，或者是因巨災危險、健康保險業務、家庭全益業務所致的財產損失；然而這個新興的發展對於整個保險市場而言，無論是在穩定核保市場、降低交易成本及減少資訊不對稱，有著極重要的影響。
    Since 1992 the Chicago Board of Trade(COT)has developed a series of futures contracts based on insurance losses to allow insurers, reinsures, or risk managers to hedge against underwriting or property losses from catastrophes, health insurance, and homeowners policy. This development has the an important role in stabilizing the underwriting market and lowering the transaction costs and information asymmetries. This article introduces catastrophic insurance futures, catastrophic insurance futures options and their related possible problems. It also tests whether Taiwan’s casualty & property companies could hedge against the underwriting risk if catastrophic insurance futures were available. After the empirical analysis, a catastrophe loss process which is similar to Cummins and Geman(1995)method of pricing catastrophic insurance futures is used in my simulation study.
    Reference: 一、中文部份:
    書籍:
    史綱、李存修、林炯坤、臧大年、劉德明、黃敏助，「 期貨交易理論與實務」，台北，財團法人中華民國證券暨期貨市場發展基金會發行，民國八十二年八月。
    2 .朱浩民茗，「期貨市埸分析」，台北，華泰書局，民國八十三年七月。
    3 李存修編茗，「 選擇權之交易實務、投資策略與價模式」，台北，財團法人中華民國證券暨期貨市場發展基金會發行，民國八十二年八月。
    4 陳繼堯著，「 再保險論一當前趨勢與各型態研究」，台北，三民書局印行，民國七十九年二月。
    5 .黃世陽、吳明哲茗，「 Quick Basic 中文版入門」，台北，6 .顏月珠茗，「 商用統計學」， 台北，三民書局，民國七十七年二月四版。
    7 .董夢雲著，「 金融選擇權市揚、評價與策略」， 台北，董夢雲發行，民國八十二年七月。
    期刊:
    1 王言，「 保險商品證券化之介紹:期貨之發展與保險期貨之認識」，保險專刊二十七期，民國八十一年三月。
    2 .梁正德、譯，「 保險衍生性商品之現況」， 保險資訊，第122期， pp.33-36
    3 淩氥寶，「 巨大損失保險期貨」， 保險專刊，第三十五輯，民閏八十三年三月， pp.93-101
    論文:
    1 .林明勳，「 利率風險管理一期貨契約交叉避險之研究」，故治大學國際貿易研究所碩士論文，民國八十二年六月
    2 .林明馨，「 股價指數期貨與選擇權避險策略之績效評估」國立台灣大學財務金融研究所碩士論文，民國八十二年六月。
    3 .計弘仁，「 論保險期貨與對再保險市場之影嚮」，私立中原大學企業管理研究所碩士論文，民國八十四年六月。
    4. 郭維裕，「 指數期貨與選擇權避險策略之績效評估一以美國主要市埸指數為例」，臺灣大學商學研究所碩士論文，民七十九年六月。
    5 .黃敢瑞，「 重大災害風險模型與再保探討以臺灣農業風害為1」，國立政治大學統計研究所碩士論文，民國八十年六月。
    6 .陳鵬仁，「 財務工程在金融創新上的應用利率交換期貨與利交換期貨選擇權之探討」，國立政治大學財政研究所碩士論文，民國八十二年六月。
    7 駱聖芬，「 期貨風險極小避險策略實證模型的選擇」，國立中興大學經濟學研究所碩士論文，民國八十四年六月。
    8 郭美美，「 保險葉利用國外股價指數期貨避險可行性之研究」國立政治大學保險研究所碩士論文，民國八十三年六月。
    9 .鄭文欽，「 股價指數期貨最適避險比率到期日效果之實証研究.」， 國立中央大學財務管理研究所碩士論文，民國八十二年六月。
    1 0 ﹒盧陽正，「 國外期貨契約引進、沖險績效衡量與廠商沖險策略之擬定.」，國立交通大學管理科學研究所博士論文民八十三年。
    二、英文部份
    書籍:
    1. Ayling, D. E. “Underwriting Decisions Under Uncertainty:
    The Catastrophe Market," Aldershot. Hampshire.1984.
    England; Brookfield, Vt., U.S.A. : Gower.
    2.Bowerman O,Connell "Forecasting And Time Series An
    Applied Approach," Dubury press, 1993, third edition.
    3.Hull. John.”Options, Futures, And Other Derivative
    Securities," Englewood Cliffs, N.J. : Prentice Hall, 1993 2nd edition .
    4.Harry M Kat "The Efficiency of Dynamic Trading Strategies
    In Imperfect Markets." Thesis Publishers Amsterdam,1993.
    5.Robert B.Milier "Minitab Handbook For Business And
    Economics, " 1988.
    期刊論文:
    1. Black,Fischer,"The Pricing Of Commodity Contracts ,”Journal of Financial Economics, (1976), 3: 167 -179.
    2. Black,Fisher and Myron Scholes,"The Pricing Of Options And Corporate Liabilities," Journal of Political Economy,(1973),81 :637-659 .
    3. Bluford Putman, "Searching For Zero-Beta Catastrophes,"
    GL OBAL INVESTOR (April ,1994): 37.
    4. Cagle,Julie and Scott Harrington,"The Impact Shock To
    Capital On Insurance Company Stock Prices", (1992) working paper, Xavier University, October, Ohio.
    5. Carolyn W.Chang,Jack S.K. Chang,and Min-Ten Yu,"Pricing
    Catastrophe Insurance Futures Call Spreads,"1995.
    6. Chandrasekhar Mishra and Jorge L.Urrutia "An option Base
    Approach To Determining The Optimal Reinsurance Stop-Loss Premium," Advances In Futures And Options Research ;(1984) Vol 7:313-321.
    7. Chicago Board of Trade 1994 Catastrophe Insurance Futures And Options:A Reference Guide,Chicage ,CBOT IL.
    8. Chicago Board of Trade, January -1995; CA T, Catastrophe
    Insurance Futures &Options Background Report.
    9. Chicago Board of Trade, 1994; Insurance Company Statutory Accounting Guidelines For Insurance Futures And Options
    10. Chicago Board of Trade, 1995; PCS Catastrophe Insurance
    Options:A users Guide.
    11. Chicago Board of Trade, 1995;PCS Catastrophe Insurance
    Options: The New Standardized Alternative For Managing
    Catastrophe Risk.
    12. Cox, Samuel and Robert Schwebach "Insurance Futures
    And Hedging Insurance Price Risk," Journal of Risk And
    Insurance ,"(1992)59:628-644.
    13. Cummins J.Oavid and Helyette Geman "An Asian Option
    Approach To The Valuation of Insurance Futures Contracts."
    The Review of Futures Markets (1993)9.1 O:Vo113 :518-521.
    14. Cummins J.David And Helyette Geman "Pricing Catastrophe
    Insurance Futures And Call Spreads:An Arbitrage Approach. "Journal of Ax Income (March 1995)Vo1A ISS:4 : 46-57.
    15. D`Arcy.Steven P. and Virginia Grace France "Catastrophe
    Insurance Futures,"(1992).CPCU Journal ,December: 202-
    213.
    16. D`ArcY,Steven P. and Virginia grace France" Symposium
    On Insurance Futures-- Catastrophe Futures :A better Hedge
    For Insurance."Journal of Risk And Insurance (1992)59 :575
    -600.
    17. David Foppert "Uncertain Futures." BEST` VIEW (1993)
    March: 22.
    18. Doherty.Neil and George Dionne "Insurance With
    Undiversifiable Risk:Contract Structure and Organizational
    Form of Insurance Firms," Journal of Risk and Uncertainty(1992)6: 187-203.
    19. Douglas Mcleod,"Wider Use Of Cat Futures And Options
    Predicted," Business Insurance.April (1994):11.
    20. Dr. Lohmar,"Futures of Insurance And Reinsurance of
    Natural Hazards" ,台灣地區颱風地震災害及保險問題研討會實錄，中央再保險公司印，民國八十二年十一月。
    21. Gavin Souter "Using Derivatives To Cut Risk Requires
    Carefu I Management," Business Insurance, June 19( 1995)
    :15.
    22. Geman,H.,and M Yor."Bessel Processes ,AsiAn Options,And
    Perpetuities," Mathematical Finance, (1993)No.4:349-375.
    23. George Flanigan,& William L.Scott,"CAT Spreads At The
    CBOT Coming Alive,"CPCU Journal ,December (1994):210-214.
    24. Hoyt,Robert E. " Use of Financial Futures By Life Insurers," The Journal of Risk and Insurance (1989)56:740-748.
    25. James A.Hayes,Joseph B.Cole and David I. Meiselman, "Health Insurance Derivatives:The Newest Application of Modern Financial Risk Management," Business Economics April(1993) :36-40.
    26. Judy Greenwald ,"At Present, Interest Is Lacking In
    Insurance Futures," Business Insurance, Novermber
    1(1993):37-38.
    27. Jonson,L, "The Theory of Hedging And Speculation In
    Commodity Futures," Review of Economic Studies, 27,
    June, (1960):131-151.
    28. Kathleen McCullough,"Catastrophe Insurance Futures,"
    Risk Management ,August (1995): 31-39.
    29. Mark G.Tang "Correlated Random Number Generator," Dept.
    of Information Sciences And systems Morgan State University
    Baltimore, MD 21239 ,September (1994).
    30. Mary Ann Bosse ,ASteven Graham "An Examiniatio of The
    Futures Market For Catastrophe Insurance," The Journal of
    Insurance Issues (1994jVol XVII,No.2 :23-45.
    31. Niehaus Greg and Steven V.Mann "The Trading of
    Underwriting Risk :An Analysis of Insurance Futures Contracts And Reinsurance," The Journal of Risk And Insurance(1992) Vol . Llx, No.4: 601-627.
    32. Ropert Goshay and Richard Sandor "An Inquiry Into The
    Feasibility of a Reinsurance Future Market," Journal of Business Finance(1973), Vol.5 NO.2: .
    33. Russ Ray "Catastrophe Derivatives," Risk Management,
    October (1993):75-79.
    34. Russ Ray "The Futures Look Bright," Financail Executive
    ,July/August (1993):45-47
    35. Russ Ray, "Futures, "The Futurist, "Nov/Dec(1995): 15-18.
    36 . Russ Ray, "The Pros And Cons of Insurance Futures,"
    CPCU ,Journal, December(1993) : 197 -200 .
    37. Scott E.Harrington,Steven V Mann ,and Greg Niehaus
    "Insurer Capital Structure Decisions And The Viavility of
    Insurance Derivatives," The Journal of Risk and Insurance
    (1995) Vol.62 No.31 :483
    38. Sherman, Richard E. "Actuaries And Insurance Futures ,"Actuarial Review(1991) 18 : 6-7
    39. Shimko,D. "The Valuation of Multiple Claim Insurance
    Contracts," Journal of Financial and Quantitative Analysis ,27, No.2 (1992) :229-246.
    40. Snyder,John H "1993 Hurricane Andrew :A Postmortem,", Best Review, Property/Casualty Insurance Edition, 92: 16: 1 05-1 08.
    41. Society`s Columbus Chapter,"How Have The Catastrophe of 1992 Affected Solvency Capacity,And Reinsurance In The PIC Industry?," CPCP Journar,June (1995) :77-90.
    Description: 碩士
    國立政治大學
    風險管理與保險研究所
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002002951
    Data Type: thesis
    Appears in Collections:[Department of Risk Management and Insurance] Theses

    Files in This Item:

    There are no files associated with this item.



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