https://scholars.lib.ntu.edu.tw/handle/123456789/424612
標題: | Catastrophe risk management with counterparty risk using alternative instruments | 作者: | Yang-Che Wu SAN-LIN CHUNG |
關鍵字: | Catastrophe risk; Catastrophe reinsurance contracts; Catastrophe-linked instruments | 公開日期: | 2010 | 出版社: | ELSEVIER SCIENCE BV | 卷: | 47 | 期: | 2 | 起(迄)頁: | 234 | 來源出版物: | Insurance: Mathematics and Economics | 摘要: | Since weather-related disasters have an upward trend-cycle movement and the global financial crisis has revealed the severity of counterparty risk, this study reinvestigates and incorporates the catastrophe characteristics and counterparty risk into the valuation of catastrophe products. First, the excess of loss reinsurance is traditionally used to reduce catastrophe risk. Its premium is estimated under these catastrophe characteristics. Second, this paper looks into the price of catastrophe futures and spread option contracts that are based on a catastrophe index. The (re)insurer can apply these exchange-traded derivatives to reduce catastrophe risk without counterparty risk. Third, this paper takes counterparty risk into account to value catastrophe bonds and catastrophe equity puts. Thus, the fair valuations of these two instruments are revealed to the buyer. © 2010 Elsevier B.V. |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/424612 | ISSN: | 01676687 | DOI: | 10.1016/j.insmatheco.2010.04.002 |
顯示於: | 財務金融學系 |
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