巨灾债券定价及产品设计

发布时间：2018-01-12 20:19

本文关键词：巨灾债券定价及产品设计　出处：《吉林大学》2013年硕士论文　论文类型：学位论文

【摘要】：世界范围内每年发生巨灾的次数在不断增长。仅2011年，各国因巨灾造成的直接经济损失达到4350亿美元，保险机构理赔额超过1000亿美元。由于保险机构自身资金有限，随着巨灾事件的增多，研究人员开始考虑将巨灾风险从保险业转移，由此产生了巨灾风险证券化。巨灾风险证券化产品有很多，例如：巨灾期权、巨灾互换、巨灾期货、巨灾债券等。巨灾债券在其中表现最为良好。因此，，考虑能否在我国成功推行巨灾债券。本文首先从巨灾债券的相关概念出发，图文结合地介绍了巨灾债券的发行以及运作流程。将巨灾债券的定价模型分为从金融理论出发和风险理论出发两大类进行分析与比较。然后，尝试设计出符合我国国情的四年期台风债券。本文选取1989年—2011年间造成我国直接经济损失在1亿元以上的台风数据做为样本。利用MATLAB软件中的数学方法进行分析，通过数据拟合得到我国台风损失符合对数正态分布。在损失分布模型拟合成功的基础上，本文运用现金流分析对巨灾债券进行定价研究，为了达到更好的定价效果，本文进一步加进了风险附加值和道德风险的考虑，在现金流定价的基础上加进了Wang两因素模型转换和道德因子，从而形成了新的巨灾债券定价体系。最后，针对我国的具体情况，探究巨灾债券在我国推行的必要性和可行性。并对具体实践过程中可能出现的问题提出了相应的解决办法。
[Abstract]:In 2011 alone, the direct economic losses caused by catastrophes in various countries reached 435 billion US dollars. Insurance institutions have more than $100 billion in claims. With insurance institutions' own funds limited, researchers are considering shifting catastrophe risk away from the insurance industry as the number of catastrophe events increases. This has produced catastrophe risk securitization. Catastrophe risk securitization products have many, such as: catastrophe options, catastrophe swaps, catastrophe futures, catastrophe bonds and so on. Catastrophe bonds in which the best performance. Consider the possibility of successful implementation of catastrophe bonds in our country. This paper begins with the concept of catastrophe bond. The paper introduces the issuance and operation process of catastrophe bond, and divides the pricing model of catastrophe bond into two categories: financial theory and risk theory. And... This paper attempts to design a four-year typhoon bond which is suitable for China's national conditions. This paper selects typhoon data which caused direct economic losses of more than 100 million yuan in China from 1989 to 2011 as a sample. MATLAB is used as a sample. The mathematical methods in the software are analyzed. Through the data fitting, the typhoon losses in China accord with the logarithmic normal distribution. On the basis of the successful fitting of the loss distribution model, this paper uses cash flow analysis to study the pricing of catastrophe bonds. In order to achieve a better pricing effect, this paper further added the risk added value and moral hazard consideration, on the basis of cash flow pricing, we added Wang two-factor model transformation and moral factor. Thus formed a new catastrophe bond pricing system. Finally, according to the concrete situation of our country, the necessity and feasibility of carrying out catastrophe bond in our country are explored, and the corresponding solutions to the problems that may appear in the concrete practice process are put forward.
【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F842.64;F832.51

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