| dc.contributor | 風管系; 金融系 | - |
| dc.creator (作者) | 黃泓智; 林士貴 | - |
| dc.creator (作者) | Chuang, Ming-Che;Huang, Hong-Chih;Huang, Shih-Feng; Lin, Shih-Kuei | - |
| dc.date (日期) | 2025-09 | - |
| dc.date.accessioned | 2025-11-14 | - |
| dc.date.available | 2025-11-14 | - |
| dc.date.issued (上傳時間) | 2025-11-14 | - |
| dc.identifier.uri (URI) | https://ah.lib.nccu.edu.tw/item?item_id=179793 | - |
| dc.description.abstract (摘要) | A growing frequency of natural catastrophes due to global climate change has confronted insurance companies with massive compensation claims and substantial stock price risk. The catastrophe equity put options provide a means to manage such risks. As stock markets usually exhibit volatility clustering, volatility may increase significantly. This article establishes a GARCH model for global climate change to characterize the dynamic process of insurance companies’ stock prices. The incomplete market requires an Esscher transform, a specific risk-neutral probability measure that serves to price the CatEPut. The empirical analysis identifies that the inverse-Gaussian distribution for each catastrophe loss and the random walk with positive drift for the arrival rate of catastrophes perform the best in terms of goodness-of-fit. The sensitivity analysis results illustrate that global climate change, the catastrophe intensity, and the systematic/unsystematic catastrophe risk constitute important factors for determining the CatEPut price. | - |
| dc.format.extent | 107 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | The North American Journal of Economics and Finance, Vol.80, 102473 | - |
| dc.subject (關鍵詞) | Catastrophe equity put; Global climate change; Catastrophe risk; Systematic risk | - |
| dc.title (題名) | Catastrophe risk with global climate change determines the price of catastrophe equity puts | - |
| dc.type (資料類型) | article | - |
| dc.identifier.doi (DOI) | 10.1016/j.najef.2025.102473 | - |
| dc.doi.uri (DOI) | https://doi.org/10.1016/j.najef.2025.102473 | - |
