我国洪灾保险债券定价的蒙特卡洛仿真研究

发布时间：2018-03-05 20:47

本文选题：巨灾风险　切入点：风险证券化　出处：《湖南大学》2012年硕士论文　论文类型：学位论文

【摘要】：我国洪水灾害每年造成的损失数额巨大,对我国经济的发展造成了严重的负面影响,有些年份的洪灾损失甚至占到了国民生产总值的1%。在我国引入洪灾保险债券,可以将洪灾风险转移到实力雄厚的资本市场,提高我国保险行业的承保能力,扩大经营业务；还可以缓解政府财政压力,丰富资本市场投资结构,促进资本市场多元化发展。从这些角度来看,把洪水保险债券引入我国是十分必要的。本文借鉴国外巨灾风险债券化方法与运作模式,把洪灾保险债券发行的各个要素作为研究对象。首先从保险市场、资本市场和国家财政等角度分析了我国引入洪灾保险债券的必要性和可行性。然后探讨了洪灾保险债券的运作模式。最后结合当下现状从技术层面、制度层面和市场环境层面分析了我国发行洪灾保险债券的制约因素本文选取了1985—2011年我国洪水灾害直接经济损失在1亿元人民币以上的洪水损失数据做为随机变量的样本数据,并对洪水损失金额和次数进行拟合,建立我国洪水灾害损失分布函数以及发生次数分布函数,并采用蒙特卡洛方法来模拟出不同触发点所对应概率的仿真数据,选取(600,0.1805),(900,0.0888)(2700,0.0101)三个点分别作为本金保证型洪灾保险债券、本金50%保证型洪灾保险债券和本金没收型洪灾保险债券的触发点。最后根据巨灾债券定价原理利用资本资产定价模型计算得出不同类型的洪灾保险债券的收益率及其价格,希望可以为以后洪灾保险债券的发行和运作提供一定的帮助。
[Abstract]:The losses caused by flood disasters in China are huge every year, which have caused a serious negative impact on the economic development of our country. In some years, flood disaster losses even accounted for 1% of the gross national product (GNP). Flood insurance bonds were introduced in our country. Flood risk can be transferred to a strong capital market, the insurance industry of our country can be increased in its underwriting capacity, and its business can be expanded. It can also alleviate the pressure on the government finances and enrich the investment structure of the capital market. From these points of view, it is necessary to introduce flood insurance bonds into China. This article draws lessons from the foreign catastrophe risk debenture method and the operation pattern, takes the flood insurance bond issue each essential factor as the research object. First, from the insurance market, This paper analyzes the necessity and feasibility of introducing flood insurance bonds in China from the perspectives of capital market and national finance, and then discusses the operation mode of flood insurance bonds. This paper analyzes the restrictive factors of issuing flood insurance bonds in China at the level of institution and market environment. In this paper, the flood loss data with direct economic loss of RMB 100 million yuan from 1985 to 2011 are selected as the sample data of random variables, and the amount and times of flood losses are fitted. The loss distribution function and the frequency distribution function of flood disaster in China are established. The Monte Carlo method is used to simulate the simulation data of the corresponding probability of different trigger points, and three points are selected as principal guaranteed flood insurance bonds. The trigger point of 50% principal guaranteed flood insurance bond and principal forfeited flood insurance bond. Finally, according to the pricing principle of catastrophe bond, the yield and price of different types of flood insurance bond are calculated by using capital asset pricing model. I hope to provide some help for the future issue and operation of flood insurance bonds.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F842.6;F224

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