2008-08-012024-05-18https://scholars.lib.ntu.edu.tw/handle/123456789/697171摘要：計畫首先實證巨災是否會序列相關，因為地層能量的釋放，論文預期發現地震巨災很可能是負相關。論文進一步研究如果巨災會序列相關，那麼對巨災債券定價的影響。論文使用台灣地震資料進行實證研究，並進一步探討地震和洪水在此一問題上的異同。論文希望藉由此一研究提供未來台灣發行巨災債券的參考。<br> Abstract: In this paper, we intend to empirically examine whether catastrophe risks are serially correlated. We expect to observe that earthquake catastrophe risks are negatively serially correlated. We further study the impact on the price of CAT bond, if the catastrophe risks are serially correlated rather than independent. The applications in earthquake and hurricane risks are also discussed.巨災地震巨災債券catastrophe risksearthquakecatastrophe bond