在普通双触发巨灾看跌期权支付结构中融入基于在险价值(value at risk,VaR)的风险比率,以体现保险公司累积巨灾赔付损失对巨灾期权行权收益的影响和保险公司的风险承受水平。首先,在金融与巨灾乘积概率空间下推导出融合风险比率巨灾看...在普通双触发巨灾看跌期权支付结构中融入基于在险价值(value at risk,VaR)的风险比率,以体现保险公司累积巨灾赔付损失对巨灾期权行权收益的影响和保险公司的风险承受水平。首先,在金融与巨灾乘积概率空间下推导出融合风险比率巨灾看跌期权的定价公式;其次,基于超阈值模型(peak over threshold,POT)模型拟合我国台风的巨灾损失分布以体现巨灾损失的厚尾性特征;最后,利用蒙特卡罗模拟方法对影响巨灾看跌期权的相关因素进行敏感性分析,并与普通巨灾期权进行比较。展开更多
The interests of vulnerable groups can’t be guaranteed due to their weaker capacity and the limited interests demand channels during the water pollution conflicts. The interest protection for the vulnerable people in...The interests of vulnerable groups can’t be guaranteed due to their weaker capacity and the limited interests demand channels during the water pollution conflicts. The interest protection for the vulnerable people in the water pollution conflicts has attracted attentions of the international scholars. The paper tries to construct the market mechanism which can make the vulnerable people to involve in the emission trading. The vulnerable people can buy American put option in the emission trading market. When the price of the emission runs below the contract price, the vulnerable people can get the benefit through executing the option. When the price of the emission runs above the contract price, the vulnerable people can give up the right. The binomial tree option pricing model can help the vulnerable people to make a decision through the analysis of the worth of the American put option.展开更多
文摘在普通双触发巨灾看跌期权支付结构中融入基于在险价值(value at risk,VaR)的风险比率,以体现保险公司累积巨灾赔付损失对巨灾期权行权收益的影响和保险公司的风险承受水平。首先,在金融与巨灾乘积概率空间下推导出融合风险比率巨灾看跌期权的定价公式;其次,基于超阈值模型(peak over threshold,POT)模型拟合我国台风的巨灾损失分布以体现巨灾损失的厚尾性特征;最后,利用蒙特卡罗模拟方法对影响巨灾看跌期权的相关因素进行敏感性分析,并与普通巨灾期权进行比较。
文摘The interests of vulnerable groups can’t be guaranteed due to their weaker capacity and the limited interests demand channels during the water pollution conflicts. The interest protection for the vulnerable people in the water pollution conflicts has attracted attentions of the international scholars. The paper tries to construct the market mechanism which can make the vulnerable people to involve in the emission trading. The vulnerable people can buy American put option in the emission trading market. When the price of the emission runs below the contract price, the vulnerable people can get the benefit through executing the option. When the price of the emission runs above the contract price, the vulnerable people can give up the right. The binomial tree option pricing model can help the vulnerable people to make a decision through the analysis of the worth of the American put option.
