In this paper, we study the price of catastrophe Options with counterparty credit risk in a reduced form model. We assume that the loss process is generated by a doubly stochastic Poisson process, the share price proc...In this paper, we study the price of catastrophe Options with counterparty credit risk in a reduced form model. We assume that the loss process is generated by a doubly stochastic Poisson process, the share price process is modeled through a jump-diffusion process which is correlated to the loss process, the interest rate process and the default intensity process are modeled through the Vasicek model： We derive the closed form formulae for pricing catastrophe options in a reduced form model. Furthermore, we make some numerical analysis on the explicit formulae.展开更多
[Objective] The aim of this paper was to analyze the risks in the typhoon hazard factors in Hainan Island. [Method] Taking the theory and method of natural disasters evaluation as starting point and supporting point, ...[Objective] The aim of this paper was to analyze the risks in the typhoon hazard factors in Hainan Island. [Method] Taking the theory and method of natural disasters evaluation as starting point and supporting point, and selecting Hainan province as the research target, where the typhoon disaster occurred relatively serious, based on the typhoon data during 1958-2008, with happening frequency of typhoon hazard-formative factors, maximum rainfall, potentially devastating effects of typhoon winds as evaluation indexes, the typhoon disaster risk evaluation index system and evaluation model were established. And by dint of GIS technique, Hainan island typhoon disaster risk zoning of hazard-formative factors and grading were prepared. [Result] Typhoon occurred frequently in Hainan and there were no certain rules of its annual changes. The monthly changes mainly happed during July to October. The highly dangerous area of typhoon mainly distributed in east coast area. The annual daily precipitation decreased from central mountainous area to the surroundings; typhoon hided in the destructive highly risked area in east, south and west area; low disastrous area occurred in the middle area; the risks of disastrous factors weakened from east area to west area. The distribution area of each level was that low dangerous area>mild dangerous area>highly dangerous area>secondary low dangerous area>highly dangerous area. [Conclusion] The study supplied scientific reference for the government in the united organization and direction of disaster relief work.展开更多
The pollution characteristics of Cd,Cr,Cu,Zn,Ni and Hg in agricultural soil around coal mining area were studied. After longterm mining activity,the soil around mining area was polluted by 6 elements to different degr...The pollution characteristics of Cd,Cr,Cu,Zn,Ni and Hg in agricultural soil around coal mining area were studied. After longterm mining activity,the soil around mining area was polluted by 6 elements to different degrees. Especially for Cd,its concentration was 3. 2times that of the National Soil Environmental Quality Standard Ⅱ. The values suggest that the contamination degree from strong to weak in soil is in the order of Hg > Cu > Cr > Zn > Ni > Cd. BCR sequential extraction results show that the order of average percentage about weak acid soluble fraction( F1) is that Cd > Ni > Zn > Cu > Hg > Cr,the order of 6 heavy metals available fraction( F1 + F2 + F3) is that Cu( 56. 89) > Cd( 50. 95) > Ni( 41. 52) > Zn( 35. 06) > Hg( 23. 04) > Cr( 4. 88). The RAC results indicate that soils were in a moderate potential ecological risk by pollution of Cd,and at the same time,Cu,Zn,Ni,Hg should be noted.展开更多
基金supported by the National Natural Science Foundation of China(11371274)
文摘In this paper, we study the price of catastrophe Options with counterparty credit risk in a reduced form model. We assume that the loss process is generated by a doubly stochastic Poisson process, the share price process is modeled through a jump-diffusion process which is correlated to the loss process, the interest rate process and the default intensity process are modeled through the Vasicek model： We derive the closed form formulae for pricing catastrophe options in a reduced form model. Furthermore, we make some numerical analysis on the explicit formulae.
基金Supported by Hainan Natural Fund Program (809058)Key Operation Suggestion Program of China Meteorological Bureau " Typhoon Disaster Risk Evaluation and Division"
文摘[Objective] The aim of this paper was to analyze the risks in the typhoon hazard factors in Hainan Island. [Method] Taking the theory and method of natural disasters evaluation as starting point and supporting point, and selecting Hainan province as the research target, where the typhoon disaster occurred relatively serious, based on the typhoon data during 1958-2008, with happening frequency of typhoon hazard-formative factors, maximum rainfall, potentially devastating effects of typhoon winds as evaluation indexes, the typhoon disaster risk evaluation index system and evaluation model were established. And by dint of GIS technique, Hainan island typhoon disaster risk zoning of hazard-formative factors and grading were prepared. [Result] Typhoon occurred frequently in Hainan and there were no certain rules of its annual changes. The monthly changes mainly happed during July to October. The highly dangerous area of typhoon mainly distributed in east coast area. The annual daily precipitation decreased from central mountainous area to the surroundings; typhoon hided in the destructive highly risked area in east, south and west area; low disastrous area occurred in the middle area; the risks of disastrous factors weakened from east area to west area. The distribution area of each level was that low dangerous area>mild dangerous area>highly dangerous area>secondary low dangerous area>highly dangerous area. [Conclusion] The study supplied scientific reference for the government in the united organization and direction of disaster relief work.
基金Supported by Project for Social Development of Guizhou Province(SY20103013)
文摘The pollution characteristics of Cd,Cr,Cu,Zn,Ni and Hg in agricultural soil around coal mining area were studied. After longterm mining activity,the soil around mining area was polluted by 6 elements to different degrees. Especially for Cd,its concentration was 3. 2times that of the National Soil Environmental Quality Standard Ⅱ. The values suggest that the contamination degree from strong to weak in soil is in the order of Hg > Cu > Cr > Zn > Ni > Cd. BCR sequential extraction results show that the order of average percentage about weak acid soluble fraction( F1) is that Cd > Ni > Zn > Cu > Hg > Cr,the order of 6 heavy metals available fraction( F1 + F2 + F3) is that Cu( 56. 89) > Cd( 50. 95) > Ni( 41. 52) > Zn( 35. 06) > Hg( 23. 04) > Cr( 4. 88). The RAC results indicate that soils were in a moderate potential ecological risk by pollution of Cd,and at the same time,Cu,Zn,Ni,Hg should be noted.
