搜索
6767Bancassurance26.15123actofGod456.26H.(SamuelH.Cox)6.2.11.22.hedge6.2.280908090901.908962.80123.906-16-1•J.P.Marsh&MclennanTridentPartnership•Marsh&MclennanGuyCarpenter•290•Atrium335000000(Aetna)•NationwideMutualInsuranceFarmersInsurance54•Alexander&Alexander•J.P.SalomonNationwideMutualInsuranceNationwideMutualInsurance•7500151056.36.3.11.TT916SttTFtTSTTFtTSTFtTTFtTF(t,T)S(T)S(T)F(t,T)S(T)F(t,T)F(t,T)S(T)F(t,T)S(T)F(t,T)S(T)TF(t,T)tTutuTF(u,T)F(t,T)F(t,T)F(u,T)F(u,T)S(T)S(T)F(t,T)F(u,T)F(t,T)TutuT100000090F(t,T)990000tT90990000tuTF(u,T)992000T2000292u20002000T992000990000200020002000ST991000991000992000u1000t10002000-1000100020001000tuTF(s,T)990000992000991000001000100002000100010002.tTVuuS&P500500Suu500500tuutFtT=700FuT=710tu5000(710700500)5000V500SβVtVVt(936Hull1996βS)F(t,T)SNNt500F(t,T)=72550001.1515810%650445059250001585007256505042544559.25t50008005575592.5158500(725800)498.25(498.25)(557.559.25)50006.3.21.70tT70F(t,T)XS(T)F(t,T)=S(T)70S(T)70702946-170800106-170706-15SXSSSXTS(T)XS(T)XS(T)XSX+TuT(S(u)X)+tuuTTXS(u)T(S(u)X)+2.956(CallOption)(PutOption)SXXSXSmaxXS0=XS+3.1973Merton1973tTR(t,T)Rµ2µµ-GerberandShiu(1994)1)2)r3)4)5)4.296ABAtBttTATBTTABtBTAT12100010001%1.2%101210102BTATAAtTATBtAtABAtBtTBBTATAtBt0BTAT=0BTAT1BtAt(EltonGruber1995-(EmbrechtsMeister,1996)(Lane,1996)6.49766.4.11.(1)1990CBOT1995CBOTPCSxtTabaabxabbafxf6-2a2000b25002000500236-2xabCBOT298GoshayandSandor(1973)CBOTCBOTCBOT(Lane,1996)(2)CBOTCBOTPCSPCSPCS1PCSPCS612PCS1/102001/10205.21040PCS612618:00/PCSPCSPCSPCSPCS1996329200/2501.83601.820020020012502501199679920025099610000(250-200)200I200250I200200400200120.1%200/250200025002000500015000500500200250200)18500360500PCS19963280019961068005000024000(GerberShiu,1994)6-3200/2502002006-26-32002006-32100CBOT360100002.1995Tilley1995Frootetal1996LLLqcatPrPqcatLCR=LCc=R/CqBcc11+ccCqB1016D'ArcyFrance(1992)CumminsGeman(1995)PPBCPLR=LCPBPqcat80Tilley199590Tilley1995•••Tilley1995N6.4.221021.15~30ARMsARMS80MBSs1)1/10MBSsMBSs2)900006%600450900000.0612103615060045090000MBSs2.70801987SPCSPCGICSPCAAA54GIC21046.52070CME6.5.1199682017.465010.086540.6459910.645997.46500.08654=0.646020.00003Sa,bbaSa,bSb,c=Sa,cdfSttfdStrdrftTdfT100100F(t,T)tfX100f100F(t,T)100YXY=XStYT100F(t,T)Ytt10566.5.290001111.351F(t,T)=1.351.35Sr=1.301.3011.3011.355001.351.4011.401.355006.5.3PEPE(StollandWhalley,1993)119968211.351PECME199612TXtprdrf=T-tXSS=St2106N(u)R(t,T)tT19968214.85%4.25%11.3734=1tiSiRiLotus1-2-3Excel=0.25rd=4.85%rf=4.25%=1X=1.35S=1.3734=0.250.067167070019978211.3511.351.351.357006.5.41076MarshallandKapner(1990)109%11%12%10%1009%10011%9%15510010%1551010015511%10%12%6.621081096