کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5091049 | 1375658 | 2010 | 9 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Pricing catastrophe options with stochastic claim arrival intensity in claim time
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
We model claim arrival and loss uncertainties jointly in a doubly-binomial framework to price an Asian-style catastrophe (CAT) option with a non-traded underlying loss index using the no-arbitrage martingale pricing methodology. We span these uncertainties by benchmarking to the shadow price of a one-claim bond and the premium of a reinsurance contract. We implement a stochastic time change from calendar time to claim time to more efficiently price the CAT option as a random sum - a binomial sum of claim time binomial Asian option prices. This choice of the operational time dimension allows us to incorporate different patterns of catastrophe arrivals by adjusting the claim arrival probability. We demonstrate this versatility by incorporating a mean-reverting Ornstein-Uhlenbeck intensity arrival process. Simulation results verify our model predictions and demonstrate how the claim arrival probability varies with the expected claim arrival intensity.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 34, Issue 1, January 2010, Pages 24-32
Journal: Journal of Banking & Finance - Volume 34, Issue 1, January 2010, Pages 24-32
نویسندگان
Carolyn W. Chang, Jack S.K. Chang, WeLi Lu,