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https://ah.lib.nccu.edu.tw/handle/140.119/64938
題名: | Valuation of Catastrophe Equity Puts with Markov-Modulated Poisson Processes | 作者: | Chang, C. C.;Lin, S. K.;Yu, M. T. 林士貴 |
貢獻者: | 金融系 | 日期: | 2011 | 上傳時間: | 27-Mar-2014 | 摘要: | 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. | 關聯: | Journal of Risk and Insurance,78(2), 447-473 | 資料類型: | article | DOI: | http://dx.doi.org/10.1111/j.1539-6975.2010.01385.x |
Appears in Collections: | 期刊論文 |
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