Average Rate Claims with Emphasis on Catastrophe Loss Options
研究基于马尔可夫过程平均水平的期权定价，提出一个封闭解模型，其中期权收益取决于累积巨灾损失，损失率是均值回复过程且无连续鞅成分，高损失到达率更低。
This article studies the valuation of options written on the average level of a Markov process. The general properties of such options are examined. We propose a closed-form characterization in which the option payoff is contingent on cumulative catastrophe losses. In our framework, the loss rate is a mean-reverting Markov process, with no continuous martingale component. The model supposes that high loss levels have lower arrival rates. We analytically derive the cumulative loss process and its characteristic function. The resulting option model is promising.