| dc.contributor | 金融系 | en_US |
| dc.creator (作者) | Wu, Yang-Che ; Liao, Szu-Lang ; Shyu, So-De | en_US |
| dc.creator (作者) | 吳仰哲;廖四郎;徐守德 | zh_TW |
| dc.date (日期) | 2008-10 | en_US |
| dc.date.accessioned | 17-Feb-2014 17:49:09 (UTC+8) | - |
| dc.date.available | 17-Feb-2014 17:49:09 (UTC+8) | - |
| dc.date.issued (上傳時間) | 17-Feb-2014 17:49:09 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/63905 | - |
| dc.description.abstract (摘要) | 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] | en_US |
| dc.format.extent | 800770 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | Icfai Journal of Risk and Insurance, 5(4), 7-28 | en_US |
| dc.title (題名) | Pricing Catastrophe Insurance Derivatives with Stochastic Interest Rates and Regime-Switching Jump Diffusion Losses | en_US |
| dc.type (資料類型) | article | en |
