کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5076261 1477204 2016 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Catastrophe equity put options with target variance
ترجمه فارسی عنوان
سرمایه گذاری فاجعه ای را با واریس هدف قرار می دهد
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
چکیده انگلیسی

In this study, we consider a new class of catastrophe equity put options, whose payoff depends on the ratio of the realized variance of the stock over the life of the option and the target variance, which represents the insurance company's expectation of the future realized variance. This kind of options could help insurance companies raise more equity capital when a large number of catastrophic events occur during the life of the option. We employ a compound doubly stochastic Poisson process with lognormal intensity to describe accumulated catastrophe losses and assume the volatility varies stochastically. Finally, numerical results are presented to investigate the values of this class of options.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 71, November 2016, Pages 79-86
نویسندگان
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