随机利率下我国洪水巨灾债券定价研究
首发时间:2017-11-13
摘要:近年来,我国洪水灾害发生出现剧烈波动且导致经济损失严重,传统的保险/再保险方式已无法对这一风险进行有效的分散。巨灾债券作为目前衔接保险市场与资本市场最为有效的巨灾风险管理工具之一,对分散巨灾风险具有重要作用。本文选取1995~2015年我国洪水直接经济损失在1亿元以上的年份数据对我国洪灾损失分布进行拟合,用Monte Carlo模拟计算出不同损失额度下各触发点对应的概率,通过Vasicek随机利率模型对我国零息洪水巨灾债券进行定价研究,得到不同保证所得比例下的债券价格分布,并进行参数敏感性分析与债券价格变化的讨论。本研究对我国洪水巨灾债券的定价和发行提供了有益的参考,对于保险等金融机构创新金融工具筹集资金防范洪水等大型灾害,促进资本市场投资多元化具有重要意义。
关键词: 洪水巨灾债券 巨灾债券定价 Monte Carlo模拟 Vasicek模型 参数敏感性分析
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Princing of China\'s Flooding Catastrophe Bonds Under Stochastic Interest Rates Model
Abstract:In recent years, sharp volatility and huge economic losses arising from flood disaster in China have challenged the traditional insurance/reinsurance as an effective method to spread the risk. As one of the most effective catastrophe risk management tool linking insurance market and capital market, catastrophe bonds play an important role in dispersing catastrophe risk. In this study, the annual direct economic loss of flood above 100 million RMB from 1995 to 2015 in China are collected as the analysis data for distribution loss of blood, calculate the probability of the corresponding trigger point according to different loss amount with the aid of Monte Carlo, made a study on zero coupon flooding catastrophe bonds pricing of China based on the Vasicek stochastic interest rate model, obtain the distribution of bond prices of different guarantee income ratio, analyze the parameter sensitivity and discuss the bond prices change. This study provides useful reference to the development of flooding catastrophe bonds, and is of great significance to innovating financial instruments to raise money for financial institutions to prevent large disasters such as flood, and promoting capital market diversification as well.
Keywords: Flooding catastrophe bonds Catastrophe bonds pricing Monte Carlo simulation Vasicek model Parameter sensitivity analysis
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