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題名：巨災風險下產險公司之盈餘價值
書刊名：風險管理學報
作者：林文昌 引用關係／黃鴻明
作者(外文)：Lin, Wen-chang／Huang, Hong-min
出版日期：2002
卷期：4:1
頁次：頁1-18
主題關鍵詞：盈餘；清償不足；巨災；擴散過程；Surplus；Insolvency；Catastrophe；Diffusion process
原始連結：連回原系統網址new window
相關次數：
  • 被引用次數被引用次數:期刊(2) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:2
  • 共同引用共同引用:0
  • 點閱點閱:25
期刊論文
1.Chang, C.(1995)。A No-Arbitrage Martingale Analysis for Jump-Diffusion Valuation。The Journal of Financial Research，17，352-382。  new window
2.Cummins, D.(1988)。Risk-Based Premium for Insurance Guaranty Funds。Journal of Finance，43，823-839。  new window
3.Doherty, N.、Garven, J.(1986)。Price Regulation in Property-Liability Insurance: A Contingent Claims Approach。Journal of Risk and Insurance，41，1031-1050。  new window
4.Højgaard, B.、Taksar, M.(1997)。Optimal Proportional Reinsurance Policies for Diffusion Models。Scandinavian Actuarial Journal，2，166-180。  new window
5.Højgaard, B.(1998)。Optimal Proportional Reinsurance Policies for Diffusion Model with Transaction Cost。Insurance: Mathematics and Economics，22，41-50。  new window
6.Merton, R.(1976)。Option Pricing When Underlying Stock Return are Discontinuous。Journal of Financial Economics，3，125-144。  new window
7.Naik, V.、Lee, M.(1990)。General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns。Review of Financial Studies，3，493-521。  new window
8.Rich, D.(1994)。Mathematical Foundation of Barrier Option-Pricing Theory。Advances in option and future research，7，267-311。  new window
9.Warner, J.(1977)。Bankruptcy Costs: Some Evidences。Journal of Finance，32，337-347。  new window
10.Samuelson, P. A.(1965)。Rational Theory of Warrant Pricing。Industrial Management Review，6(2)，13-32。  new window
11.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy，81(3)，637-654。  new window
研究報告
1.Chang, C.(199703)。A Jump-Diffusion Approach to Modeling Credit Risk and Valuing Defaultable Securities。Washington, DC：Federal Reserve Board。  new window
2.Zhou, C.(1997)。Path-Dependent Option Valuation when the Underlying Path is Discontinuous。Federal Reserve Board。  new window
圖書
1.Baxter, M.、Rennie, A.(1996)。Financial Calculus。Cambridge：Cambridge University Press。  new window
2.Hull, J. C.(2000)。Options, Futures, and Other Derivatives。Prentice-Hall International Inc。  new window
3.Kushner, H.、Dupuis, P.(1992)。Numerical Methods for Stochastic control Problems in Continuous Time。New York：Springer Verlag Press。  new window
4.Merton, R.(1990)。Continuous Time Finance。Blackwell Publisher。  new window
5.Rejda, G.(1995)。Principles of Risk Management and Insurance。Reading：Addison-Wesley。  new window
6.Wilmott, P.、Howison, S.、Dewynne, J.(1995)。The mathematics of Financial Derivatives--A Student Introduction。London：Cambridge University Press。  new window
圖書論文
1.Cummins, D.(1991)。Financial Pricing of Property and Liability Insurance。Contributions to Insurance Economics。Boston：Kluwer Academic Publisher。  new window
2.Cummins, D.、Harrington, S.、Niehaus, G.(1995)。Risk-Based Capital Requirements for Property-Liability Insurers: A Financial Analysis。The Financial Dynamics of the Insurance Industry。New York：IRWIN。  new window
3.Cummins, D.(2000)。Applications of Financial Pricing Models in Property Liability Insurance。Hand Book of Insurance。Norwell：Kluwer Academic Publishers。  new window
4.Rootzen, H.、Tajvidi, N.(2000)。Extreme Value Statistics and Wind Storm Losses : A Case Study。Extremes and Integrated Risk Management。London：Risk Books。  new window
 
 
 
 
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