全球智库信息集成服务系统(G2TT): Evaluation of portfolio of financial and insurance instruments: Simulation of uncertainty.

G2TT

来源类型	Book Section
DOI	10.1007/978-3-642-22884-1_17
	Evaluation of portfolio of financial and insurance instruments: Simulation of uncertainty.
	Nowak P; Romaniuk M; Ermolieva T; Ermoliev, Y; Makowski, M; Marti, K
发表日期	2012
出处	Managing Safety of Heterogeneous Systems. Eds. Ermoliev, Y , Makowski, M & Marti, K , Heidelberg: Springer. DOI: 10.1007/978-3-642-22884-1_17 .
出版年	2012
语种	英语
摘要	The increasing number of natural catastrophes leads to severe losses for production, in infrastructure and individual property. Classical insurance mechanisms may not be sufficient in dealing with such losses because of dependencies among sources of losses, huge values of damages, problems with adverse selection and moral hazard. To cope with dramatic consequences of such extreme events integrated policy is required. In this paper we discuss the model of portfolio which consists of a few layers of insurance and financial instruments, like catastrophe fund, catastrophe bonds, governmental help, etc. We use approach based on neutral martingale method and simulations. We price the catastrophe bond applying Vasicek model used for zero-coupon bond under assumption of independence between catastrophe occurrence and behavior of financial market. We discuss the effects of uncertainties which arise from estimation of rare events with serious, catastrophic consequences like natural catastrophes.
主题	Ecosystems Services and Management (ESM)
URL	http://pure.iiasa.ac.at/id/eprint/10081/
来源智库	International Institute for Applied Systems Analysis (Austria)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/134219
推荐引用方式 GB/T 7714	Nowak P,Romaniuk M,Ermolieva T,et al. Evaluation of portfolio of financial and insurance instruments: Simulation of uncertainty.. 2012.