Contingent Claim Pricing with Applications to Financial Risk Management

摘要: CONTINGENT CLAIM PRICING WITH APPLICATIONS TO FINANCIAL RISK MANAGEMENT BY Hua Chen 2008 Committee Chair: Samuel H. Cox and Shaun Wang Major Academic Unit: Department of Risk Management Insurance This is a multi-essay dissertation designed to explore the contingent claim pricing theory with non-tradable underlying assets, emphasis on its applications insurance risk management. In first essay, I apply real option dynamic programming methods address problems in area operational Particularly, develop two-stage model help firms determine optimal switching triggers event an influenza epidemic. second examine mortality securitization incomplete market framework. build jump-diffusion process into original Lee-Carter alternative transitory versus permanent jump effects. discuss difficulties Swiss Re bond (2003) use transform account for correlations index over time. third study valuation non-recourse provision reverse mortgages. various risks embedded HECM program conditional Esscher price provision. further premium structure loans investigate whether premiums are adequate cover expected claims.