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论文题目：灾难债券和其衍生物的定价
论文语种：中文
写作报酬：28000
您的研究方向：金融数学
是否有数据处理要求：是
您的国家：英国
您的学校背景：英前20学校
要求字数：1万
论文用途：硕士毕业论文 Master Degree
是否需要盲审（博士或硕士生有这个需要）：
补充要求和说明：尽快有大的提纲，再部分文章，8月中或低要全稿
研究保险的catastrophe risk bonds 和它的derivatives
要用各种数学模型来研究这些catastrophe risk bonds 和derivatives ,研究它们的定价
不需要很新很复杂的数学模型
要用国外论文格式写

by
****

A thesis submitted to the faculty of
******University
in partial fulfillment of the requirements for the degree of

Master of ******

Department of ******
******* University
****** 2009

ABSTRACT
AN EMPIRICAL STUDY OF PRICING CATASTROPHE BONDS AND INSURANCE DERIVATIVES BASED ON THE FRAMEWORK OF RISK PRICING

*********
Department of ************
Master of ******

This thesis discusses the approaches of evaluating insurance derivatives, such as catastrophe derivatives. These derivatives help mitigate telephoning of insurance risks on capital markets. For example, the futures and options are traded at the Chicago Board of Trade and other markets. We discuss the expression of those pricing processes of catastrophe derivatives. Taking the essential total catastrophe claims process as the compound Poisson process and applying recursive valuing method to calculate the compound Poisson distribution, this thesis improves the pricing model of catastrophe insurance derivatives, for example, the ISO catastrophe futures and the PCS catastrophe options. The pricing model discussed in this thesis predigests the process of probability predigest, particularly in the serious catastrophe claim occurrence. Certainly, the insurance firms can simply apply their probability evaluating techniques to find the prices of varied derivatives with different aims.

ACKNOWLEDGMENTS

TABLE OF CONTENTS

LIST OF TABLES ix
LIST OF FIGURES xi
1 Introduction 1
1.1 Background 1
1.2 Tools to Manage and Control Catastrophes Insurance Risks 3
2 Literature Review 6
2.1 Analysis in Theory and Applications of Financial Pricing Models 6
2.2 Literature Related to Catastroph.............erivatives 8
2.3 Literature Related to Pricing Models of Catastrophe Products 9
2.4 Some of the Other Existing .................13
3 Pricing and Hedging of Catastrophe Insurance Derivatives 15
3.1 Uncertainty in Catastrophe Loss...............vatives 16
3.1.1 Models Description 16
3.1.2 Parameters Calculation 17
3.2 Pricing Catastrophe Derivatives 19
3.2.1 Recursive Evaluation of Compound Poisson Distribution 19
3.2.2 Application of Compound Poisson P....................phe Derivatives 25
3.3 The Pricing of Catastrophe Reinsurance Contract Using the Cox Process 32
3.3.1 The Cox process and shot noise process 33
3.3.2 Pricing of an excess of loss reinsurance 35
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