Weather Derivatives：A Study on Rainfall Insurance Product in Taiwan
碩士 === 國立臺北商業大學 === 財務金融研究所 === 103 === The frequency and intensity of extreme climate events have increased, and subsequent catastrophes cause huge disaster losses in Taiwan in recent years. We attempt to investigate and develop the weather derivatives which can be used by individuals and/or en...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2015
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| Online Access: | http://ndltd.ncl.edu.tw/handle/69383557176597263432 |
| Summary: | 碩士 === 國立臺北商業大學 === 財務金融研究所 === 103 === The frequency and intensity of extreme climate events have increased, and subsequent catastrophes cause huge disaster losses in Taiwan in recent years. We attempt to investigate and develop the weather derivatives which can be used by individuals and/or enterprises to hedge the rainfall and typhoon risks.
Based on historical precipitation data and historical maximum wind data from Central Weather Bureau, we employ Monte Carlo simulattion metod to estimate the monthly rainfall by the Neyman-Scott Rectangular Pulses Model and the typhoon’s maximum wind by the Batts Wind Field Model. Finally, we use the CHI index, the rainfall and the typhoon’s maximum wind to forecast losses caused by typhoon.
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