地震対策の普及促進を目的とする金融技術 : 地震が起きなければ対策費用を返還するデリバティブの提案

概要

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I propose the derivatives that refund the preparation cost to a building owner unless a specified earthquake occurs. By purchasing the derivatives, the building owner should pay for the earthquake preparedness only when the specified earthquake occurs. Otherwise the additional preparation cost will be repaid. The proposed derivatives are expected to result in the efficient promotion of earthquake preparedness in seismic regions. This paper presents two types of the derivatives: swap and option. In the swap, the building owner is repaid from the option premiums of earthquake derivatives that are accumulated while the specified earthquake does not occur. In the option, by paying an option premium, a building owner will be able to receive the refund when the earthquake does not occur. The option would be effective in the case that the specified earthquake is expected to occur in a high probability. This paper also demonstrates pricing examples of the proposed derivatives utilizing the fundamental knowledge in the field of financial engineering.
2006-04-30