Valuation of Catastrophe Equity Puts With Markov-Modulated Poisson Processes

被引：31

作者：

Chang, Chia-Chien ^{[1
]}

Lin, Shih-Kuei ^{[2
]}

Yu, Min-Teh ^{[3
,4
]}

机构：

[1] Natl Kaohsiung Univ Appl Sci, Kaohsiung 415, Taiwan

[2] Natl Chengchi Univ, Taipei 116, Taiwan

[3] Natl Taiwan Univ, Taipei 10617, Taiwan

[4] Providence Univ, Taipei 10617, Taiwan

来源：

JOURNAL OF RISK AND INSURANCE | 2011年 / 78卷 / 02期

关键词：

RAINFALL; REINSURANCE; INSURANCE; HYBRID; BONDS;

D O I：

10.1111/j.1539-6975.2010.01385.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

P>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.

引用

页码：447 / 473

页数：27

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