基于极值理论的巨灾风险管理研究

发布时间：2018-03-13 12:08

本文选题：极值理论　切入点：巨灾风险管理　出处：《西南财经大学》2014年硕士论文　论文类型：学位论文

【摘要】：20世纪90年代以来,全球的巨灾事件无论是人为灾难或者自然灾害的发生变得更加频繁,且损失也越来越严重。在此背景下,灾害损失给国际保险业带来了极大的考验。资本市场极其强大,投资者也需要更多的金融产品来更好的分散投资组合风险,并且灾难性事件的发生与资本市场是不相关的,对于保险业而言,那么通过资本市场来分散巨灾风险是一种有效的方法。本文基于巨灾风险的特点,从极值理论角度出发,在全面整理了国内外关于巨灾风险管理以及巨灾风险产品定价方面的理论研究基础之上,对我国地震巨灾风险管理进行研究以及对我国地震巨灾风险定价进行探讨,然后基于极值理论模型拟合我国地震损失分布。与此同时,在此基础上,根据巨灾债券定价的一般原则,然后构造了一种适用于我国国情的地震巨灾债券产品的定价模型。由于我国没有充分的巨灾风险损失的数据,那么我们要用巨灾风险损失的数据得到相应的经验分布进而为其定价,这种方法到目前为止对于我国而言是不可行的。于是本文就利用极值理论的方法避开了需要大量、完整的数据得到相应的经验分布函数的问题,从而弥补了我国地震巨灾风险损失数据的不足。本文第三章主要内容是利用极值理论方法对巨灾风险进行管理以及利用极值理论对巨灾风险产品进行定价研究,包括巨灾再保险产品的定价和巨灾风险衍生品的定价。本文第四章从实证方面出发,应用极值理论方法中的POT模型来对我国从1969～2012年的地震损失超过亿元人民币的数据进行分析,得到了地震灾害概率分布,进而得到了地震巨灾损失分布的分位数,在此基础上利用二项式金融建模理论构造了一个两期地震巨灾债券。
[Abstract]:Since 1990s, catastrophes, whether man-made disasters or natural disasters, have become more frequent and their losses have become more and more serious. Disaster losses are a great test for the international insurance industry. Capital markets are extremely strong, investors need more financial products to better diversify portfolio risk, and the occurrence of catastrophic events is not related to capital markets. For insurance industry, it is an effective method to disperse catastrophe risk through capital market. Based on the characteristics of catastrophe risk, from the perspective of extreme value theory, this paper comprehensively arranges the theoretical research on catastrophe risk management and pricing of catastrophe risk products at home and abroad. This paper studies the risk management of earthquake catastrophe in China and probes into the pricing of earthquake catastrophe risk in China, and then fits the distribution of earthquake loss based on the extreme value theory model. At the same time, on this basis, According to the general principles of catastrophe bond pricing, a pricing model of earthquake catastrophe bond product is constructed, which is suitable for China's national conditions. Since our country does not have sufficient data on catastrophe risk loss, we should use the catastrophe risk loss data to obtain the corresponding empirical distribution and price it. This method is not feasible for our country so far. Therefore, the method of extreme value theory is used to avoid the problem of obtaining the corresponding empirical distribution function with a large number of complete data. In the third chapter, the main content of this paper is to use extreme value theory to manage catastrophe risk, and to use extreme value theory to study the pricing of catastrophe risk products. In chapter 4th, from the empirical point of view, the POT model of extreme value theory is used to analyze the data of the earthquake loss of more than RMB 1 billion from 1969 to 2012 in China, including the pricing of catastrophe reinsurance products and the pricing of catastrophe risk derivatives. The probability distribution of earthquake disaster is obtained and the quantile of the distribution of earthquake catastrophe loss is obtained. On the basis of this the binomial financial modeling theory is used to construct a two-period earthquake catastrophe bond.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：O211.4;F842.64

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