曾郁仁Tzeng, Larry Y.臺灣大學:財務金融學研究所羅伊芃Lo, I-PengI-PengLo2010-05-112018-07-092010-05-112018-07-092009U0001-2212200808395800http://ntur.lib.ntu.edu.tw//handle/246246/182718近幾年，天然災害造成的影響不論是在發生頻率或是損害程度上，都存在著顯著性的增加，伴隨著人口密度的增加與資產的集中化，巨幅的經濟損失遂成為了天然災害易發生區域的最重要課題。縱然市場上已經發展出各式各樣處理巨災風險的新金融商品，卻因為前述原因以及巨災風險再保險市場的萎縮，使得我們不得不另覓他法來對抗這個無法避免的趨勢。 本篇論文將設計一個跨期性理賠的避險模型來處理巨災風險，於後文將會仔細地介紹這個全新的避險策略「巨災交換契約」其模型的建構概念以及方式，並由蒙地卡羅模擬法計算出所需的交換數額，最後，針對三種不同的巨災風險處理來進行數值分析，藉由比較其「淨現金流量」和「期望效用」來驗證該巨災交換契約模型的可行性與有利性。There is a growing evidence that the coming years will see a rise in both the frequency and severity of natural disasters. The increased frequency of natural disasters coincides with the increasing concentration of population and assets in disaster prone areas which leads to growing economic losses. Though various kinds of financing instruments have been developed against catastrophe risks, because of the previous reasons plus the shrink of reinsurance market in the world, we still can not help but find out new methods to fight against this unavoidable trend. This study develops a whole new aspect of contingent-claim model for hedging the catastrophe risk. We describe the framework of the new hedging strategy - catastrophe swap - as detail as possible and compute the exchange amount of CAT swap contract by Monte Carlo Simulation. Last but not least, this article reveals the most powerful back-up, net cash flow and utility comparison between different strategies, to prove the practicability and favorableness of our catastrophe swap model.口試委員審定書 i辭 ii要 iiibstract iv. Introduction 1. Motive and Purpose 1. Structure 3I. Related literature 6. Catastrophe insurance and reinsurance 6. Catastrophe derivatives 8. Valuation models 11II. Methodology 12. A model for CAT swap 12. The interest rate dynamics 12i. The asset and liability dynamics 13ii. The CAT loss dynamics 15v. The CAT swap valuation 16. Numerical analysis 25. Parameters and base values setting 25i. Simulation result - swap amount 28V. Model effect discussion 30. Net cash flow comparison 30. Utility comparison 34. Conclusion and comments 39I. Reference 41application/pdf489141 bytesapplication/pdfen-US巨災風險巨災交換契約巨災保險Catastrophe riskCatastrophe swap contractCatastrophe insurancethesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/182718/1/ntu-98-R95723032-1.pdf