The application of conditional expectation techniques to valuing CATS contracts.

详细信息   

• 作者：Buhr ; Kevin Andrew.
• 学历：Master
• 年：1994
• 导师：Carriere, Jacques
• 毕业院校：University of Manitoba
• 专业：Statistics.;Economics, Finance.
• ISBN：9780315923164
• CBH：MM92316
• Country：Canada
• 语种：English
• FileSize：1468423
• Pages：59

文摘

Futures contracts written on the loss ratios of preselected pools of catastrophe insurance contracts--aptly named catastrophe insurance futures and commonly known as CATS contracts--represent one of a number of new insurance-based financial instruments introduced, together with their respective put and call options, by the Chicago Board of Trade (CBOT) in December, 1992.;In this paper, we develop a model for the valuation of the CATS contract that places considerable emphasis on an examination of the information available to the investing public. We then use this model to develop an explicit valuation formula for the contract under realistic time period and information flow assumptions. In addition to the construction of this fairly unrestrictive valuation model, we illustrate the applicability of rigorous probabilistic techniques to the valuation of financial instruments where the flow of information is of paramount importance.