跳到主要內容

臺灣博碩士論文加值系統

(3.236.84.188) 您好!臺灣時間:2021/08/02 21:47
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果 :::

詳目顯示

我願授權國圖
: 
twitterline
研究生:羅伊芃
研究生(外文):I-Peng Lo
論文名稱:巨災交換契約之定價模型
論文名稱(外文):Pricing of Catastrophe Swap
指導教授:曾郁仁曾郁仁引用關係
指導教授(外文):Larry Y. Tzeng
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:財務金融學研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2009
畢業學年度:97
語文別:英文
論文頁數:42
中文關鍵詞:巨災風險巨災交換契約巨災保險
外文關鍵詞:Catastrophe riskCatastrophe swap contractCatastrophe insurance
相關次數:
  • 被引用被引用:0
  • 點閱點閱:230
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
近幾年,天然災害造成的影響不論是在發生頻率或是損害程度上,都存在著顯著性的增加,伴隨著人口密度的增加與資產的集中化,巨幅的經濟損失遂成為了天然災害易發生區域的最重要課題。縱然市場上已經發展出各式各樣處理巨災風險的新金融商品,卻因為前述原因以及巨災風險再保險市場的萎縮,使得我們不得不另覓他法來對抗這個無法避免的趨勢。
本篇論文將設計一個跨期性理賠的避險模型來處理巨災風險,於後文將會仔細地介紹這個全新的避險策略「巨災交換契約」其模型的建構概念以及方式,並由蒙地卡羅模擬法計算出所需的交換數額,最後,針對三種不同的巨災風險處理來進行數值分析,藉由比較其「淨現金流量」和「期望效用」來驗證該巨災交換契約模型的可行性與有利性。
There is a growing evidence that the coming years will see a rise in both the frequency and severity of natural disasters. The increased frequency of natural disasters coincides with the increasing concentration of population and assets in disaster prone areas which leads to growing economic losses. Though various kinds of financing instruments have been developed against catastrophe risks, because of the previous reasons plus the shrink of reinsurance market in the world, we still can not help but find out new methods to fight against this unavoidable trend.
This study develops a whole new aspect of contingent-claim model for hedging the catastrophe risk. We describe the framework of the new hedging strategy - catastrophe swap - as detail as possible and compute the exchange amount of CAT swap contract by Monte Carlo Simulation. Last but not least, this article reveals the most powerful back-up, net cash flow and utility comparison between different strategies, to prove the practicability and favorableness of our catastrophe swap model.
口試委員審定書 i
謝辭 ii
摘要 iii
Abstract iv
I. Introduction 1
1. Motive and Purpose 1
2. Structure 3
II. Related literature 6
1. Catastrophe insurance and reinsurance 6
2. Catastrophe derivatives 8
3. Valuation models 11
III. Methodology 12
1. A model for CAT swap 12
i. The interest rate dynamics 12
ii. The asset and liability dynamics 13
iii. The CAT loss dynamics 15
iv. The CAT swap valuation 16
2. Numerical analysis 25
i. Parameters and base values setting 25
ii. Simulation result - swap amount 28
IV. Model effect discussion 30
1. Net cash flow comparison 30
2. Utility comparison 34
V. Conclusion and comments 39
VI. Reference 41
1. Jin-Ping Lee, Min-Teh Yu, “Valuation of catastrophe reinsurance with catastrophe bonds”, Insurance: Mathematics and Economics 41 (2007) 264-278.
2. Jin-Ping Lee, Min-Teh Yu, “Pricing Default-Risky CAT Bonds With Moral Hazard And Basis Risk”, The Journal of Risk and Insurance, 2002, Vol. 69, No. 1, 25-44.
3. Dwight M. Jaffee, Thomas Russell, “Catastrophe Insurance, Capital Markets, and Uninsurable Risks”, The Journal of Risk and Insurance, 1997, Vol. 64, No.2, 205-230.
4. Scott E. Harrington, “Insurance Derivatives, Tax Policy, and the Future of the Insurance Industry”, The Journal of Risk and Insurance, 1997, Vol. 64, No.4, 719-725.
5. Scott Harrington, Greg Niehaus, “Basis Risk with PCS Catastrophe Insurance Derivatives Contracts”, The Journal of Risk and Insurance, 1999, Vol. 66, No. 1, 49-82.
6. Helyette Geman, Marc Yor, “Stochastic time changes in catastrophe option pricing”, Insurance: Mathematics and Economics 21 (1997) 185-193.
7. Carolyn E. Chang, Jack S. K. Chang, Min-Teh Yu, “Pricing Catastrophe Insurance Futures Call Spreads: A Randomized Operational Time Approach”, The Journal of Risk and Insurance, 1996, Vol. 63, No. 4, 599-617.
8. Weimin Dong, Haresh Shah, Felix Wong, “A Rational Approach to Pricing of Catastrophe insurance”, Journal of Risk and Uncertainty, 12:201-218 (1996).
9. Dan R. Anderson, “All Risks Rating Within A Catastrophe Insurance System”, Journal of Risk and Insurance, 1976, Vol. 43, No. 4, 629-651.
10.“Swiss Re provides basis risk hedge through CAT swap”, Insurance Finance & Investment (Euromoney Publications PLC), 09/07/98, Vol. 3, Issue 18, p2.
11. Reinebach, Adam, “Mitsui serves up a CAT bone alternatives: Catastrophe swaps”, Investment Dealers’ Digest, 04/20/98, Vol. 64, Issue 16, p5.
12. 蔡秉均,巨災風險管理─以巨災風險為例,國立台灣大學財務金融研究所碩士論文2005年。
13. 李珍穎,建立台灣綜合天然災害風險管理與保險規劃之研究,國立高雄第一科技大學風險管理與保險系碩士論文2002年。
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top