求償頻率與幅度風險下產物保險契約之評價__臺灣人文及社會科學引文索引資料庫

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題名：	求償頻率與幅度風險下產物保險契約之評價
書刊名：	中國財務學刊
作者：	丘駿飛／劉維琪／吳欽杉
作者(外文)：	Chiou, Jiun-fei／Liu, Victor W.／Wu, Chin-shun
出版日期：	1996
卷期：	4:1
頁次：	頁49-82
主題關鍵詞：	產物保險契約；應變求償權；求償頻率與幅度風險；隨機過程；跳動；Proper-liability insurance contract；Contingent claim；Frequency and severity risk；Stochastic process；Jump
原始連結：	連回原系統網址
相關次數：	被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0) 排除自我引用:0 共同引用:0 點閱:33

期刊論文
1.	Biger, Nihum、Kahane, Yehuda(1978)。Risk Considerations in Insurance Ratemaking。Journal of Risk and Insurance，45(1)，121-132。
2.	Doherty, N. A.、Garven, J. R.(1986)。Price Regulation in Property-Liability Insurance: A Contingent-Claims Approach。Journal of Finance，41(5)，1031-1050。
3.	Kraus, A.、Ross, S.(1982)。The Determination of Fair Profits for the Property-Liability Insurance Firm。Journal of Finance，33，1015-1028。
4.	Harrison, J. M.、Kreps, D. M.(1979)。Martingales and Arbitrage in Multiperiod Securities Markets。Journal of Economic Theory，20，381-408。
5.	Brennan, M. J.、Schwartz, E. S.(1985)。Evaluating Natural Resource Investment。Journal of Business，58(2)，135-157。
6.	Bailey, R. A.(1967)。Underwriting Profit from Investments。Proceedings of the Casualty Actuarial Society，59，1-8。
7.	Buhlmann, Hans(1980)。An Economic Premium Principle。Astin Bulletin，11，52-60。
8.	Buhlmann, Hans(1984)。The General Economic Premium Principle。Astin Bulletin，14，13-21。
9.	Cox, J. C.、Ingersoll, J. E.、Ross, S. A.(1985)。An Intertemporal General Equilibrium Model of Asset Prices。Economeirica，53(2)，363-385。
10.	Cox, J. C.、Ross, S. A.(1976)。The Valuations of Options for Alternative Stochastic Processes。Journal of Financial Economics，3，145-166。
11.	Cummins, D.(1988)。Risk-Based Premium for Insurance Guarantee Funds。Journal of Finance，43，823-840。
12.	Cummins, J. David(1990)。Multi-Period Discounted Cash Flow Rate Making Models in Property-Liability Insurance。Journal of Risk and Insurance，57，79-109。
13.	Duffie, D.、Huang, C.(1985)。Implementing Arrow-Debreu Equilibria by Continuous Trading of a Few Long-Lived Securities。Econometrica，53，1337-1356。
14.	Fairley, W.(1979)。Investment Income and Profit Margins in Property-Liability Insurance: Theory and Empirical Tests。Bell Journal，10，192-210。
15.	Ferrari, J. R.(1967)。A Theoretical Portfolio Selection Approach for Insuring Property and Liability Lines。Proceedings of the Casualty Actuarial Society，54，33-54。
16.	Ferrari, J. R.(1968)。The Relationship of Underwriting, Investments, Leverage, and Exposure to Total Return on Owners' Equity。Proceedings of the Casualty Acturial Society，55，295-302。
17.	Harrison, J.、Pliska, S.(1981)。Martingales and Stochastic Integerals in the Theory of Continuous Trading。Stochastic Processes and Their Applications，11，215-260。
18.	McDonald, R. L.、Siegel, D. R.(1985)。Investment and the Valuation of Firms When There Is an Option to Shut Down。International Economic Review，26，331-349。
19.	Merton, R.(1976)。Option Pricing When Underlying Stock Returns Are Discontinuous。Journal of Financial Economics，3，125-144。
20.	Quirin, G. D.、Waters, W. R.(1975)。Market Efficiency and the Cost of Capital: The Strange Case of Fire and Casualty Insurance Companies。Journal of Finance，30，427-445。
21.	Shimko, D. C.(1992)。The Valuation of Multiple Claim Insurance Contracts。Journal of Financial and Quantitative Analysis，27(2)，229-246。
22.	Smith, C. W. Jr.(1986)。On the Convergence of Insurance and Finance Research。Journal of Risk and Insurance，53，693-717。
23.	Urrutia, J. L.(1987)。A Financial Model for Pricing Insurance。CPCU Journal，40，153-157。
24.	Merton, Robert C.(1973)。Theory of Rational Option Pricing。Bell Journal of Economics and Management Science，4(1)，141-183。
25.	Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy，81(3)，637-654。
26.	Merton, Robert C.(1973)。An Intertemporal Capital Asset Pricing Model。Econometrica，41(5)，867-887。

研究報告
1.	Huang, C.(1991)。An Overview of Modern Financial Economics。Boston, MA：Massachusetts Institute of Technology。

學位論文
1.	Triantis, A. J.(1988)。Contingent Claim Valuation of Flexible Production Systems(博士論文)。Stanford University。

圖書
1.	Borch, K.(1974)。The Mathematical Theory of Insurance。Lexington, MA：Lixington Books。
2.	Cooper, R. W.(1974)。Investment Return and Property-Liability Insurance Ratemaking。Philadelphia：S. S. Huebner Foundation：UPEN。
3.	Buhlmann, Hans(1970)。Mathematical Methods in Risk Theory。Ner York：Springer-Verlag。
4.	Chung, K. L.、Williams, R. J.(1990)。Introduction to Stochastic Integration。Birkhauser Boston。
5.	Cummins, J. David、Derrig, Richard A.(1988)。Classical Models of Insurance Solvency。Boston：Kluwer Academic Publishers。
6.	Cummins, J. David、Derrig, Richard A.(1989)。Financial Models of Insurance Solvency。Boston：Kluwer Academic Publishers。
7.	Duffie, D.(1988)。Security Market: Stochastic Models。San Diego, CA：Academic Press, Inc。
8.	Duffie, D.(1992)。Dynamic Asset Pricing Theory。Princeton, New Jersey：Princeton University Press。
9.	Gihman, I. I.、Skorohod, A. V.(1972)。Stochastic Differential Equations。Berlin：Springer Verlag。
10.	Hogg, R. V.、Klugman, S. A.(1984)。Loss Distributions。New York：John Wiley & Sons, Inc.。
11.	Ingersoll, J. E.(1987)。Theory of Financial Decision Making。Totowa, NJ：Rowman and Litlefield。
12.	Lemaire, Jean(1985)。Automobile Insurance: Actuarial Models。Kluwer-Njhoff Publishing。
13.	Munch, P.、Smallwood, D.(1978)。Solvency Regulation in the Property-Casualty Insurance Industry。Santa Monica：Rand Corporation。
14.	Spiegel, Murray R.(1968)。Mathematical Handbook。New York：McGraw-Hill Inc。
15.	Tapiero, Charles S.(1988)。Applied Stochastic Models and Control in Management。Amsterdam, BV：Elsevier Science Publishers。

圖書論文
1.	Cummins, D.(1992)。Financial Pricing of Property and Liability Insurance。Contributions to Insurance Economics。Boston：Kluwer Academic Publishers。

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