s*********k
发帖数: 1989 | 1 最新的分析估计美国西北（pacific rim, around BC, Seattle, Oregon and N. CA)在
将来的５０年中有８０％的可能性发生大地震。
Ｓｏｕｒｃｅ：
http://news.yahoo.com/s/ap/20100302/ap_on_sc/us_sci_chile_earthquake_us_danger
假设这预计是真确的。 如果发生，那么Ｓｅａｔｔｌｅ的房子有３０％会彻底毁灭（
ｖａｌｕｅ＝０）。而且那些３０％房子现在的市价是５００Ｋ（half a million,
average).
问Earthquake insurance的premium每年应该是多少（to break even. Assume the
premium had 10%/yr guaranteed return and no anyother costs such as
processing/adimistrative costs). | Q***5
发帖数: 994 | 2 I guess you can compare this to CDS: default intensity lambda, where e^{-
lambda * 50} = 1-0.8 (so lambda = 0.032)
recovery: 1-0.3 = 0.7
then the premium to break even (assuming continuous compounding): 0.3*lambda
= 0.0096
Not sure what do you mean: premium had 10%/yr guaranteed return....
【在 s*********k 的大作中提到】
: 最新的分析估计美国西北（pacific rim, around BC, Seattle, Oregon and N. CA)在
: 将来的５０年中有８０％的可能性发生大地震。
: Ｓｏｕｒｃｅ：
: http://news.yahoo.com/s/ap/20100302/ap_on_sc/us_sci_chile_earthquake_us_danger
: 假设这预计是真确的。 如果发生，那么Ｓｅａｔｔｌｅ的房子有３０％会彻底毁灭（
: ｖａｌｕｅ＝０）。而且那些３０％房子现在的市价是５００Ｋ（half a million,
: average).
: 问Earthquake insurance的premium每年应该是多少（to break even. Assume the
: premium had 10%/yr guaranteed return and no anyother costs such as
: processing/adimistrative costs).
| s*********k
发帖数: 1989 | 3 zan.
"Not sure what do you mean: premium had 10%/yr guaranteed return"
-> The insurance uses the money to invest and it has 10% return guaranteed
each
year(vol=0).
lambda
【在 Q***5 的大作中提到】
: I guess you can compare this to CDS: default intensity lambda, where e^{-
: lambda * 50} = 1-0.8 (so lambda = 0.032)
: recovery: 1-0.3 = 0.7
: then the premium to break even (assuming continuous compounding): 0.3*lambda
: = 0.0096
: Not sure what do you mean: premium had 10%/yr guaranteed return....
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