Pricing Hurricane Bonds Using a Physically Based Option Pricing Approach
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| Tag | 1 | 2 | Value |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20220008501 | ||
| 003 | MAP | ||
| 005 | 20220315114620.0 | ||
| 008 | 220315e20220307esp|||p |0|||b|spa d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | 1 | $0MAPA20120018082$aChang, Carolyn W. | |
| 245 | 1 | 0 | $aPricing Hurricane Bonds Using a Physically Based Option Pricing Approach$cCarolyn W. Chang, Jack S. K. Chang, Min-Teh Yu |
| 520 | $aHurricane bonds are unique in that they are structured with a dual exercise condition: a physically based condition that the underlying hurricane makes landfall at a prespecified location, and a standard moneyness condition that they end in the money. As the time of landfall is uncertain, their maturities are also uniquely random. This research thus proposes a modeling methodology to solve this option-pricing problemthat is, to price hurricane bonds at the nexus of atmospheric science and finance by integrating hurricane risk modeling and option pricing modeling. We resolve this dual exercise/random maturity issue by implementing a coupled hurricane generator to simulate hurricane synthetic tracks, intensity, radius, two-dimensional wind fields, and hurricane-index value evolution along the tracks. We price the increasingly popular parametric and parametric-index hurricane bonds by Monte Carlo simulations, as the underlying hurricane indices are untraded and thus replication pricing is not viable. | ||
| 650 | 4 | $0MAPA20080551254$aHuracanes | |
| 650 | 4 | $0MAPA20210022784$aFijación | |
| 650 | 4 | $0MAPA20080545062$aPrecios | |
| 650 | 4 | $0MAPA20080579258$aCálculo actuarial | |
| 700 | 1 | $0MAPA20220002714$aChang, Jack S. K. | |
| 700 | 1 | $0MAPA20180012969$aYu, Min-Teh | |
| 773 | 0 | $wMAP20077000239$g07/03/2022 Tomo 26 Número 1 - 2022 , p. 27-42$x1092-0277$tNorth American actuarial journal$dSchaumburg : Society of Actuaries, 1997- |