氣候衍生性金融商品---研究臺灣雨量選擇權

Abstract

中文摘要

本篇論文「氣候衍生性金融商品 - 臺灣雨量選擇權」，研究臺灣地區特殊的降雨特性，每年7月至9月期間是颱風來襲的季節，累積降雨量往往造成農業、觀光業、服務業之直接或間接損失；本研究利用紐曼-史考特矩型降雨量模型(Neyman-Scott Rectangular Pulse Model)來預測臺灣7月、8月、9月之降雨量分佈，用以評價可發行之天氣型避險工具-雨量選擇權，並作模型參數之敏感度分析。

Thesis Abstract

This thesis “Weather Derivative-Rainfall Options in Taiwan” studies the characteristic of rainfall in Taiwan. The Typhoon season starts from July to September every year and the accumulated rainfall causes direct or indirect losses on agriculture, tourism and service industries. This study uses Neyman-Scott Rectangular Pulse Model to predict the rainfall in Taiwan on July, August and September. Further, it evaluates the weather hedge tool-rainfall options, which can be issued in the future, and does sensitivity analysis of model parameters.