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John A. Major 《Risk Management & Insurance Review》2019,22(1):39-56
The problem of specifying and fitting a statistical model of the pricing of property catastrophe risk is addressed from a methodological perspective. Notable 21st century published efforts to do this are reviewed. The problem is framed in a business context and various strategic and tactical issues are investigated. A naïve application of ordinary least squares regression is seen to have undesirable consequences. Alternative approaches are offered, including weighted least squares with weights inversely proportional to capital requirements, and alternative functional forms. Recommendations are offered. 相似文献
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Bjoern Hagendorff Jens Hagendorff Kevin Keasey 《Journal of Financial Services Research》2013,44(3):281-301
Insurance securitization has long been hailed as an important tool to increase the underwriting capacity for companies exposed to catastrophe-related risks. However, global volumes of insurance securitization have remained surprisingly low to date which raises questions over its benefits. In this paper, we examine changes in the market value of insurance and reinsurance firms which announce their engagement in insurance securitization by issuing catastrophe (Cat) bonds. Consistent with the hitherto underwhelming contribution of Cat bonds to global catastrophe coverage, we do not find evidence that Cat bonds lead to strong wealth gains for shareholders in the issuing firm. More importantly, we report large variations in the distribution of wealth effects in response to the issue announcement. We show that the wealth effects for shareholders in firms which issue Cat bonds appear to be driven by explanations according to which Cat bonds offer cost savings relative to other forms of catastrophe risk management (and less by the potential of Cat bonds to hedge catastrophe risk). Thus, abnormal returns are particularly large for issues by firms which face low levels of loss uncertainty (which reduces the information acquisition costs in financial markets) as well as for issues during periods when prices for catastrophe coverage (including Cat bonds) are low. 相似文献
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We study the optimal bond portfolio for an investor with long time horizonusing Japanese interest rate data. A simple one-factor term structure modelis used for our numerical example. The optimal portfolio is computed using thetechnique of stochastic flows and Monte Carlo simulation. The hedgingportfolio is not negligible and the mean variance portfolio is very sensitiveto parameter values. The optimal portfolio is highly leveraged for a typicalparameter value. The investor holds a zero-coupon bond because of the lowerbound restriction on investor's wealth. The lower bound constraint may makethe optimal portfolio more realistic. 相似文献
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Sudipto Sarkar 《Journal of Business Finance & Accounting》1997,24(5):685-704
Although there is substantial research on optimal bond refunding, an important real-life feature is missing from the existing literature: imperfect adjustment or 'stickiness' of bond yields to short term interest rate changes. Our model takes this behavior into account, and also has the ability to handle mean reverting interest rates. The results indicate that the former has a significant effect on the optimal refunding policy (especially for longer maturities), but the latter does not. By incorporating these features, our model will hopefully offer a fairly complete and easily implementable guide to managers with regard to the bond refunding decision. 相似文献
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巨灾债券与巨灾保险风险分散 总被引:4,自引:0,他引:4
马莉 《广东金融学院学报》2008,23(1):89-94
巨灾债券,作为一种债权合同,相对于巨灾再保险而言,虽然是一个两极端产品,但在分散风险方面具有其不可比拟的优势。在大额损失时,巨灾债券是巨灾再保险的一种很好的替代产品。另外,巨灾风险债券的发行对巨灾再保险免赔额具有积极影响。 相似文献
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This paper proposes a new method to a bond portfolio problem in a multi-period setting. In particular, we apply a factor allocation
approach to constructing the optimal bond portfolio in a class of multi-factor Gaussian yield curve models. In other words,
we consider a bond portfolio problem in terms of a factors’ allocation problem. Thus, we can obtain clear interpretation about
the relation between the change in the shape of a yield curve and dynamic optimal strategy, which is usually hard to be obtained
due to high correlations among individual bonds. We first present a closed form solution of the optimal bond portfolio in
a class of the multi-factor Gaussian term structure model. Then, we investigate the effects of various changes in the term
structure on the optimal portfolio strategy through series of comparative statics. 相似文献
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农业巨灾保险的需求意愿及其影响因素 总被引:1,自引:0,他引:1
本文基于六省市的调查数据,对农民的农业巨灾保险需求意愿进行了特征性描述。并采用Logistic回归模型分别对有无政府补贴情况下,农民对农业巨灾保险的需求意愿及其影响因素进行分析,同时还对农民购买农业巨灾保险意愿的稳定性及其影响因素进行检验。结果表明,政府补贴能有效释放农业巨灾保险的潜在需求。是否参加过农业专业或合作组织、农民文化程度、家庭总收入、农业巨灾风险发生频率以及家庭拥有土地规模等因素显著影响农民对农业巨灾保险需求意愿的稳定性,并能促成农民购买农业巨灾保险行为的发生。 相似文献
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伴随巨灾的频发,巨灾失踪人员的保险理赔问题已成为保险业亟待解决的课题。巨灾失踪人员的保险理赔面临哪些困境,保险业应作何反思,并该如何应对。本文结合相关法律规定及保险契约约定,对上述问题进行分析,并提出对策。 相似文献
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1997年下半年,在严酷漫长的金融危机面前,我们感到了前所未有的压力. 难道就这样半年复半年地继续搭桥下去 经历了1997年到1998年的亚洲金融危机之后,来自亚洲的借款人在一段时间内从国际资本市场上消失了,中国的多家机构也纷纷取消了融资计划.原因是多方面的,但其中最重要的一个原因就是:融资成本过高.以中国银行为例:在金融危机爆发之前的1997年上半年,中国银行成功地发行了2亿美元5年期亚洲美元债券,综合总成本仅为LIBOR+0.375%.而在随后的一年里,市场对于5年期中国债券的报价始终维持在LIBOR+1.5%左右的价位上,这一成本是中国借款人所无法承受的. 相似文献
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当今世界,巨灾事故频发,各国政府为应对巨灾风险相继建立了巨灾风险保障制度,但是这些制度在运营过程中出现了一些问题,使得政府的投入与预想的效果相差甚远.本文重点分析了政府在参与应对巨灾风险组建巨灾保障制度的过程中,常用手段的利弊及遭遇的问题,以此来探讨政府在对应巨灾风险中应确立的合适角色定位. 相似文献
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This study contrasts the development of the Republic of Korea'smarket for won-denominated foreign bonds (Arirang) with similarmarkets in the Asia-Pacific region. It discusses the problems,concerns, and key issues related to the development of thismarket within the broader context of domestic, regional, andglobal bond market development. Korea's experience providesvaluable lessons for other emerging market economies also seekingto build bond markets for local and foreign issuers. The sophisticationof the local bond market is not enough to make it appealingto foreign borrowers. Market development demands ensuring anenabling infrastructure and a background of macroeconomic stability,nurturing local and international demand, deregulating capitalflows, and minimizing exchange restrictions. JEL codes: F34, G18 相似文献
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在市场化的巨灾保险机制运行过程中,信息不对称所引发的风险识别问题容易导致巨灾保险合同偏离最优均衡状况进而诱发市场失灵,因此,合理有效的识别投保人的风险类型显得尤为重要。在以信息经济学中的逆向选择与信号传递理论为基础,利用不完全动态信息博弈模型对巨灾保险中的风险识别模式进行研究后的结果表明,后验风险识别模式同样可以有效甄别投保人的风险状况,风险分离均衡后的巨灾保单可以在多期的合同中达到精练贝叶斯均衡。 相似文献
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The Chicago Board of Trade Treasury Bond Futures Contract allows the short position several delivery options as to when and with which bond the contract will be settled. The timing option allows the short position to choose any business day in the delivery month to make delivery. In addition, the contract settlement price is locked in at 2:00 p .m . when the futures market closes, despite the facts that the short position need not declare an intent to settle the contract until 8:00 p .m . and that trading in Treasury bonds can occur all day in dealer markets. If bond prices change significantly between 2:00 and 8:00 p .m ., the short has the option of settling the contract at a favorable 2:00 p .m . price. This phenomenon, which recurs on every trading day of the delivery month, creates a sequence of 6-hour put options for the short position which has been dubbed the “wild card option.” This paper presents a valuation model for the wild card option and computes estimates of the value of that option, as well as rules for its optimal exercise. 相似文献
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中小企业集合债券融资机制的完善 总被引:1,自引:0,他引:1
中小企业集合债券是我国独有的一种新型融资方式,但其因发行主体复杂、集合企业筛选不规范、担保难等问题,暂时未能广泛推行。本文在对中小企业集合债券现状调研的基础上,通过分析当前集合债券融资机制存在的不足,提出加快制定相关政策法规、推动担保行业结构调整、降低准入门槛和优化发债企业的组合设计等措施,以完善中小企业集合债券的融资机制。 相似文献
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我国巨灾保险立法模式探讨 总被引:3,自引:0,他引:3
巨灾保险制度的建立必须以巨灾保险法律制度为基础,探讨适合我国巨灾保险立法模式是巨灾保险法律制度建设首先必须解决的问题之一。本文通过考察世界各国巨灾保险立法模式的类型,借鉴巨灾保险先行国家和地区的成功经验,依据我国现阶段的国情和法治状况,总结出我国巨灾保险立法模式比较可行的选择是采专项型立法模式,首先针对地震风险制定《地震保险法》,在此基础上逐步建立针对其他灾种的巨灾保险法律制度。 相似文献