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Managing new type of risks - Electricity, weather, and insurance risks and their derivatives-

管理新型风险——电力、天气和保险风险及其衍生品——

基本信息

批准号：
13430024
负责人：
MIURA Ryozo
金额：
$ 9.02万
依托单位：
Hitotsubashi University
依托单位国家：
日本
项目类别：
Grant-in-Aid for Scientific Research (B)
财政年份：
2001
资助国家：
日本
起止时间：
2001 至 2002
项目状态：
已结题

来源：
https://kaken.nii.ac.jp/en/grant/KAKENHI-PROJECT-13430024/
关键词：
Weather Derivatives Electricity Insurance Edokko Options Jump Process Incomplete Markets Risk Management Asymmetric Information Edokko option Good deal bounds リアルオプションジャンプ MBS α-percentile barrier option jump-diffusion process

项目摘要

In this research project, we developed basic theories for managing new types of risks such as electricity, weather, and insurance. The main results that we obtained so far are as follows.The first is the derivation of pricing formula for "Edokko Options." The Edokko Option is a generalization of the alpha-percentile (or quintile) option. This formula gives us the price of an option whose payoff is determined by the frequency that the underlying asset price is less than a certain critical value in a certain period of time. We may apply this formula to price a weather derivatives whose payoff depends on the number of rainy days in a certain period of time e.g., between June 1 and July 31.The second is the analysis of optimal portfolio strategies in incomplete markets with price jump. Electricity prices sometimes jump, which is called price "spikes" and is an important characteristics of this market. Our second result provides a way to manage such discontinuous "jump" risks. This analysis enables us to calculate the premium of the insurance for such jump risks.The third is the analysis of liquidity of financial products to trade new (and not well known) risks. Taking CAT insurance futures and reinsurance markets as an example, we analyzed how the asymmetric information about the risks between the seller and the buyers affects the trade of the products. We obtain conditions under which new risks eventually can be traded as securities.

在本研究项目中，我们开发了管理电力，天气和保险等新型风险的基本理论。目前我们得到的主要结果如下：第一，推导了“江户期权”的定价公式。“Edokko选项是α百分位数（或五分位数）选项的推广。这个公式给出了期权的价格，期权的收益取决于标的资产价格在一定时间内低于某个临界值的频率。我们可以应用这个公式来定价天气衍生品，其收益取决于一定时间内的雨天数量，例如，第二部分是在价格跳跃的不完全市场中的最优投资组合策略分析。电力价格有时会跳升，这被称为价格“尖峰”，是这个市场的一个重要特征。我们的第二个结果提供了一种方法来管理这种不连续的“跳跃”风险。这一分析使我们能够计算这种跳跃风险的保险费。第三是分析金融产品交易新的（不为人所知的）风险的流动性。以巨灾保险期货和再保险市场为例，分析了买卖双方风险信息不对称对产品交易的影响。我们获得了新风险最终可以作为证券交易的条件。