https://scholars.lib.ntu.edu.tw/handle/123456789/471384
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.author | CHIA-CHIEN CHANG | en_US |
dc.contributor.author | Yang, Jen-Wei | en_US |
dc.contributor.author | Yu, Min-Teh | en_US |
dc.creator | Chang, Chia-Chien;Yang, Jen-Wei;Yu, Min-Teh | - |
dc.date.accessioned | 2020-03-06T03:24:32Z | - |
dc.date.available | 2020-03-06T03:24:32Z | - |
dc.date.issued | 2018 | - |
dc.identifier.issn | 0022-4367 | - |
dc.identifier.uri | https://scholars.lib.ntu.edu.tw/handle/123456789/471384 | - |
dc.description.abstract | We propose a regime-switching Poisson process incorporating climate and carbon dioxide (CO2) indices (RPCM) to model hurricane frequency. Model accuracy shows that two-state RPCM (2-RPCM) is superior to the existing climate methods, as forecast errors under 2-RPCM are smaller than previous models by about 60–75 percent. We derive the pricing formula of reinsurance premiums by assuming the aggregate loss following the regime-switching compound process. Pricing errors under 2-RPCM for reinsurance premiums are 35–54 percent lower than those from previous models. The climate and regime-switching effects dominate the CO2 effect in reducing pricing errors and producing more effective tail value at risk. © 2016 The Journal of Risk and Insurance | - |
dc.relation.ispartof | Journal of Risk and Insurance | - |
dc.subject.classification | [SDGs]SDG13 | - |
dc.title | HURRICANE RISK MANAGEMENT WITH CLIMATE AND CO2 INDICES | en_US |
dc.type | journal article | en |
dc.identifier.doi | 10.1111/jori.12182 | - |
dc.identifier.isi | WOS:000440927600004 | - |
dc.relation.pages | 695-720 | - |
dc.relation.journalvolume | 85 | - |
dc.relation.journalissue | 3 | - |
item.openairecristype | http://purl.org/coar/resource_type/c_6501 | - |
item.openairetype | journal article | - |
item.grantfulltext | none | - |
item.cerifentitytype | Publications | - |
item.fulltext | no fulltext | - |
crisitem.author.dept | Foreign Languages and Literatures | - |
crisitem.author.orcid | 0000-0001-9543-268X | - |
crisitem.author.parentorg | College of Liberal Arts | - |
顯示於: | 外國語文學系 |
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