保險業及再保險業以往對於巨災危險的風險管理方式大部份都佼給全世界的再保險承保能量去承擔。然而從1995年開始，美國芝加哥交易所(CBOT)與產物損失部門(PCS)共同推出巨災保險選擇權，提供保險人以及再保險人利用國際金融市場移轉核保業務上所承擔之巨災危險的管道。此種業務上的巨災危險提供保險業處理巨災損失的新管道，例如產險業因為天然災害或是人為疏失所導致的鉅額核保損失以及壽險業的團體保險和健康保險的鉅額損失。巨災保險選擇權是一種新的衍生性金融商品，其交易標的物是專門針對保險業所承保的業務（尤其是巨災），因此如果運用得當，除了能有效的分散核保風險之外，更可以避免傳統的再保險契約所衍生的問題。

本研究在第一章首先說明台灣地區是地震、颱風以及水患等天然災害頗為集中的地區，因為傳統再保險的分散風險方式有其成本較高以及資訊不對稱的問題，所以保業以及再保險業應該考慮其他類型的危險管理策略。第二章以巨災保險選擇權評價的相關基礎理論為主要的架構，並且探討美國PCS所開發的巨災保險選擇權，並說明如何利用此種金融工具移轉保險與再保險人因地理上的核保因素所產生的風險。

第三章以及第四章討論模擬方法與分析模擬所得的結果，我們並利用情境分析的方式，探討在單位時間內，平均跳躍次數對於每一個模型中假設，交易標的物為損失指數時的影響，以及依此損失指數所得對於巨災保險選擇權價格之變化幅度。第五章則是歸納本研究所得的結果並且提出後續研究的建議。

The insurance and reinsurance industries traditionally transfer their insurance risk of catastrophe disasters through the international reinsurance market. Since the capacity of the international reinsurance market is not always available to cover the entire risks. In 1995, CBOT (Chicago Board of Trade) and PCS (Property Claims Service) have begun trading the PCS catastrophe options Through the catastrophe options, the insures and reinsures could hedging their operating risks in the international financial market.

These risks consist of large amount of underwriting losses from the natural disasters, personal default in property insurance, inflation of claims amount and the large claims in group insurance and health insurance. The loss ratios of the insured business are trading through the catastrophe options. Hedging the operating risks of the insures and reinsures in the financial market could effectively reduce the costs and avoid the complexity from the reinsurance contracts.

In this study, we have reviewed the development of the catastrophe option. Asian style call options are illustrated to monitor the process of option pricing. The trading loss ratios are modeled through lognormal distribution based on the claim experience collected from 1970-1996. The methodology of pricing the modified options based on pure jump model proposed by Cox, et al (1976) and the jump diffusion model proposed by Merton (1976) are discussed. Computer simulations and scenario analysis are

performed to investigate the pricing of Asian style catastrophe option under various proposed models. Sensitivity analysis is also completed at various parameters in the jump process. Finally, comments on future works and the limitation of the proposed risk-transfer mechanism using catastrophe options are discussed.

一、中文參考書目:
一、再保險資訊，第108 期，第108 至112 頁。
二、凌氤寶，「巨大損失保險期貨」，保險專刊第35 輯，八十三年三月，第93 頁。
三、張士傑，「利用蒙地卡羅馬可夫鏈方法分析不同危險的損失分佈」，壽險季刊第104 期，民國八十六年，第40 至51 頁。
四、張經理，「保險期貨與期貨選擇權之研究」，國立政治大學未出版碩士論文，民國八十五年六月。
五、袁宗蔚，保險學〈增訂三十二版) ，三民書局，民國八十一年，第312 頁。
六、陳松男，「選擇權與期貨:衍生性商品理論與實務」，華泰書局，民國八十五年五月，頁194 至198。
七、陳繼堯，「再保險論」，三民書局，民國八十二年， p.1-3, 154 。
八、陳繼堯，「再保險學━理論與實務」，三民書局，民國八十五年八月，第1及284 頁。
九、國立民，「地震保險之研究」，逢甲大學保險研究所未出版碩士論文，民國七十七年元月，頁10 至12 、20。

二、英文參考書目:
1. Black, F. & Scholes, M., "The Pricing of Options and Corporate Liabilities ", Journal of Political Economy, 1973, pp.637-654.
2. Cox, J.C. & Ross, S.A., "The Valuation of Options for Alternative Stochastic Processes ", Journal of Financial Economics 3, 1976,
pp.145-166.
3. Cox, J.C. & Ross, S.A. & Rubinstein, M., "Options Pricing : A Simplified Approach", Journal of Financial Economics 7, 1979,
pp.229-263.
4. Dubofsky, D.A., "Options and Financial Futures : Valuation and Uses ", MCGraw-Hill inc., pp.81, 178,.
5. Herbert, M.B. "Investments", The Dryden Press, 1994, pp.233.
6. Ito, K., "On Stochastic Differential Equations ", Memoris, American Mathematical Society, no. 4, 1951, pp.1-51.
7. Jafee, D.M., "Thomas Russell, Catastrophe Insurance, Capital Markets, and Uninsurable Risks", The Journal of Risk and Insurance, 1997, Vol. 64, No. 2, pp.205-230.
8. Mcleod, D., "Jury is still out on Catastrophe Options, Business Insurance", 1995, pp.69.
9. Merton, R.C., "Continuous-Time Finance ", Blackwell Publishers, 1992, pp.87, 309-354.
10. Merton, R.C., "Option Pricing When Underlying Stock Returns are Discontinuous", Journal of Financial Economics 3,1976, pp.125-144.
11. Samuelson, P.A., "Proof that properly anticipated prices fluctuate randomly", Industrial Management Review 6, 1973, pp.41-49.
12. Silverman, B.W., "Density Estimation for Statistics and Data Analysis", London: Chapman and Hall, 1986.
13. Spector, P., "An Introduction to Sand S-Plus", Duxbury Press, 1994.
14. Swiss Re., "Tables for the Most Costly and the worst Catastrophes 1970-1996", Sigma, No.3, 1997, pp.37
15. Venables, W.N. & Ripley, B.D., "Modern Applied Statistics with SPlus", Springer-Verlag, 1994.
16. Wilmott, P. & Howison, S. & Dewynne,J., "The Mathematics of Financial Derivatives-A Student Introduction ", Cambridge, 1995, pp.19-30.

三、電腦軟體:
1. "S-PLUS", Version4.0, MathSoft, 1997.