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題名:巨災保險連結證券財務評價模式之探討
書刊名:保險專刊
作者:李君屏 引用關係
作者(外文):Lee, Jin-ping
出版日期:2002
卷期:18:1
頁次:頁61-74
主題關鍵詞:巨災保險相關證券保險期貨契約保險期貨選擇權PCS巨災保險選擇權巨災債券道德風險基差風險Catastrophe-linked securitiesCAT futuresCAT optionsPCS insurance optionsCAT bondsMoral hazardBasis risk
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(1) 博士論文(1) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:0
  • 點閱點閱:4
期刊論文
1.Chang, C. W.、Chang, J. S. K.、Yu, M. T.(1996)。Pricing catastrophe insurance futures call spreads: a randomized operational time approach。Journal of Risk and Insurance,63(4),599-617。  new window
2.Cox, S. H.、Pederson, H. W.(2000)。Catastrophe risk bonds。North American Actuarial Journal,4(4),56-82。  new window
3.Lee, J.-P.、Yu, M.-T.(2002)。Pricing Default-Risky CAT Bonds with Moral Hazard and Basis Risk。Journal of Risk and Insurance,69(1),25-44。  new window
4.Shimko, D. C.(1992)。The Valuation of Multiple Claim Insurance Contracts。Journal of Financial and Quantitative Analysis,27(2),229-246。  new window
5.陳森松(19980900)。論產物保險業新避險工具--保險衍生商品。保險專刊,53,112-125。new window  延伸查詢new window
6.Bouzouita, R.、Young, A. J.(1998)。Catastrophe Insurance Options: Insurance Company Management's Perceptions。Journal of Insurance Regulation,16(3),313-326。  new window
7.Cox, S. H.、Schwebach, R. G.(1992)。Insurance Futures and Hedging Insurance Price Risk。The Journal of Risk and Insurance,59(4),628-644。  new window
8.Canter, M. S.、Cole, J. B.、Sandor, R. I.(1997)。Insurance Derivatives: A New Asset Class for the Capital Markets and a New Hedging Tool for Insurance Industry。Journal of Applied Corporate finance,10,69-83。  new window
9.Cummins, J. D.、Geman, H.(1995)。Pricing Catastrophe Futures and Call Spreads: An Arbitrage Approach。Journal of Fixed Income,4,46-57。  new window
10.Davidson, R. J.(1998)。Working Toward a Comprehensive National Strategy for Funding Catastrophe Exposures。Journal of Insurance Regulation,17(2),134-170。  new window
11.Doherty, N. A.(1997)。Financial Innovation in Management of Catastrophe Risk。Journal of Applied Corporate Finance,10,84-95。  new window
12.Geman, H.、Yor, M.(1993)。Bessel Process, Asian Options, and Perpetuities。Mathematical Finance,3(4),349-375。  new window
13.Laurenzano, V. L.(1998)。Securitization of Insurance Risk: A Perspective for Regulator。Journal of Insurance Regulation,17(2),179-185。  new window
14.Hoyt, R. E.、McCullough, K. A.(1999)。Catastrophe Insurance Options: Are They Zero-Beta Assets?。Journal of Insurance Issues,22(2),147-163。  new window
15.Jarrow, R.、Rudd, A.(1982)。Approximate Option Valuation for Arbitrary Stochastic Process。Journal of Financial Economics,10,347-369。  new window
16.Kalotay, A. J.、Williams, G. O.、Fabozzi, F. J.(1993)。A Model for the Valuation of Bonds and Embedded Options。Financial Analysts Journal,49(3),35-46。  new window
17.O'Brein, T.(1997)。Hedging Strategies Using Catastrophe Insurance Options。Insurance: Mathematics and Economics,21,153-162。  new window
18.Nielson, J.、Sandmann, K.(1996)。The Pricing of Asian Options under Stochastic Interest Rate。Applied Mathematical Finance,3,209-236。  new window
19.Loubergé, H.、Kellezi, E.、Gilli, M.(1999)。Using Catastrophe-Linked Securities to Diversify Insurance Risk: A Financial Analysis of CAT Bonds。Journal of Insurance Issues,22(2),125-146。  new window
20.Litzenberger, R. H.、Beaglehole, D. R.、Reynolds, C. E.(1996)。Assessing Catastrophe Reinsurance-Linked Securities as a New Asset Class。Journal of Portfolio Management,23(5),76-86。  new window
21.Turnbull, Stuart M.、Wakeman, Lee MacDonald(1991)。A quick algorithm for pricing European average options。The Journal of Financial and Quantitative Analysis,26(3),377-389。  new window
22.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
23.Cox, John C.、Ingersoll, Jonathan E. Jr.、Ross, Stephen A.(1985)。A Theory of the Term Structure of Interest Rates。Econometrica,53(2),385-407。  new window
會議論文
1.Zajdenweber, D.(1998)。The Valuation of Catastrophe-Reinsurance-Linked Securities。American Risk and Insurance Association Meeting。  new window
研究報告
1.Froot, A. K.(1997)。The Limited Financing of Catastrophe Risk: An Overview。  new window
圖書
1.Briys, E.、Bellalah, M.、Mai, H. M.、De Varenne, F.(1998)。Options, Futures, and Exotic Derivatives: Theory, Application and Practice。John Wiley & Sons。  new window
2.陳繼堯(2000)。金融自由化下新興風險移轉方法之運用現況與發展。臺北:財團法人保險事業發展中心。  延伸查詢new window
 
 
 
 
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