巨災鏈結權益賣權契約與評價

Pricing Catastrophe-linked Equity Put

10.30003/JRM.200503.0002

林文昌(Wen-Chang Lin)；王祝三(Edward C. Wang)；李佩純(Pei-Chun Lee)

巨災 ； 或有資本 ； 權益賣權 ； Catastrophe ； Contingent Capital ； Equity Put

風險管理學報

7卷1期（2005 / 03 / 01）

29 - 51

繁體中文

在日益重要的巨災風險管理中，巨災連結權益選擇賣權屬於或有資本中的損失後之或有權益商品，且與屬於負債融資的巨災債券在許多特性上有所不同，其在過去文獻上甚少受到討論。本文除介紹或有資本商品中的巨災連結權益賣權之特徵外，由於我們注意到契約之標的（權益）價格，對巨災常存有高度相關的同時跳躍，再加上額外的盈餘限制，使該權益衍生物的結構相對地複雜。本研究藉助蒙地卡羅模擬對其作數值評價，所得結果並以不同設計條件下之契約作為比較，最後再檢視各風險因子對其之影響。結果發現，巨災連結權益賣權因為執行時間的提早而使價差的縮小，致使此雙執行條件契約的價格明顯低於傳統歐式單執行條件賣權；而多重理賠型態的契約則因整體執行時間的提早而有較高的價格；另一方面，道德危機對權益賣權的影響會大於或有負債。最後我們也發現，巨災與權益跳躍之大小相關程度，以及盈餘的限制均會對價格有明顯的影響。

Although most catastrophe-linked derivatives have been well documented in the literature of catastrophe risk management; however, surprisingly, catastrophe-linked equity put (CatEPut®), as one of the most important contingent capital products, receives very few attentions. In this paper, by recognizing the contemporaneous jump between equity price and catastrophe losses, the CatEPut, which can be viewed as an insurance-linked structured equity derivative with multiple triggers, is evaluated using financial pricing approach. Numerical Monte Carlo method is carried out to compute the fair price. The simulation results indicate that the price of double trigger equity put is lower than traditional single trigger option. We also find that the contract with moral hazard as well as the contract allowing multiple claims also significantly increases the price. Finally, several influential factors, e.g., the instantaneous correlation between catastrophe and equity price, the surplus protection etc., are also founded that may affect the price substantially.

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