台灣地區巨災之時間序列相關研究--以歷年颱風損失為例
Date Issued
2005
Date
2005
Author(s)
顧婉馨
DOI
zh-TW
Abstract
Previous research applied the assumption that catastrophe loss followed a pure Poisson process, and the loss severity followed an independently identical lognormal distribution when pricing the catastrophe bonds. In other words, catastrophe loss is time series independent and is generated from an ARMA(0,0) model. However, the assumption may result in under-pricing or over-pricing the catastrophe bonds.
To test the assumption that catastrophe loss is time series independent, I will fit the ARIMA model for the typhoon loss occurring in Taiwan. The loss data is collected from the agricultural statistics released by Council of Agriculture and the disaster loss statistics released by National Fire Agency, Ministry Of The Interior.
The result indicates that the time series data of annual typhoon loss in Taiwan is not generated from an ARMA(0,0) model and the past white noises have positive effect on current typhoon loss. Besides, whether to eliminate the inflation factor does not change the time series model of total typhoon loss and agricultural typhoon loss occurring in Taiwan. For future research, it is suggested that the possibility of mispricing the catastrophe bonds might be reduced if the time series model is combined into the pricing model.
Subjects
時間序列
巨災
颱風損失
Time Series
Catastrophe
Typhoon loss
Type
thesis