巨灾保险风险证券化研究

发布时间：2018-03-16 17:45

本文选题：巨灾保险　切入点：资产证券化　出处：《华南理工大学》2013年硕士论文　论文类型：学位论文

【摘要】：我国是世界上遭受自然灾害损失最为严重的国家之一，每年因自然灾害而造成的损失动辄几十亿甚至上万亿，仅仅依靠传统的保险业，无法承担如此巨大的损失。而在国外，已经开展了巨灾保险风险证券化，将巨灾风险转移到资本更为雄厚的资本市场上去，这措施取得了极大的成功。因此我国发展巨灾保险风险证券化势在必行。本文试图以巨灾债券定价为研究的切入点，对巨灾保险风险证券化进行更深入的定量研究。第一章分析了本文选择巨灾保险风险证券化作为论文主题的意义，然后概括了国外以及国内在这一课题上的研究现状，最后用图表的方式阐述了本文的研究思路。第二章对巨灾保险风险证券化的基本内容作了大概介绍。本章对巨灾保险风险证券化的概念、交易结构、巨灾保险风险证券的产品做了详细的阐述，并且在此基础上，分析了我国发展巨灾保险风险证券化的意义，以及在众多的巨灾保险风险产品中，发展巨灾债券的原因，也就是本文选择巨灾债券来做实证模拟分析的原因。第三章首先阐述了巨灾保险风险证券化产品定价的常用两种模型，金融工具定价法和保险精算定价方法。紧接着分析了金融工具定价方法和保险精算定价方法在地震巨灾债券实证模拟应用中的局限性，，因此在此基础上提出了适合我国国情的巨灾债券定价模型。第四章运用真实数据，对我国巨灾债券的定价进行实证模拟分析。首先建立巨灾损失的分布模型与巨灾发生次数的分布模型，根据这两个模型得出我国巨灾损失总的分布模型。其次运用利率二项模型，得出利率二项分布。最后根据巨灾损失总的分布模型和利率二项模型得出所构造的安全债券和风险债券的发行价格。
[Abstract]:China is one of the countries that suffer the most losses from natural disasters in the world. The losses caused by natural disasters are often billions or even trillions each year. Relying solely on the traditional insurance industry, China cannot afford such huge losses. Catastrophe insurance risk securitization has been carried out to transfer catastrophe risk to a more capital-rich capital market. Therefore, it is imperative to develop catastrophe insurance risk securitization in China. This paper attempts to make a more in-depth quantitative study on catastrophe insurance risk securitization from the perspective of catastrophe bond pricing. The first chapter analyzes the significance of choosing catastrophe insurance risk securitization as the theme of this paper, then summarizes the current research situation of this topic both at home and abroad, and finally expounds the research ideas of this paper by means of charts. The second chapter introduces the basic content of catastrophe insurance risk securitization. This chapter describes the concept of catastrophe insurance risk securitization, transaction structure, catastrophe insurance risk securities products, and on this basis, This paper analyzes the significance of developing catastrophe insurance risk securitization in China, and the reasons of developing catastrophe bond in many catastrophe insurance risk products, which is the reason why this paper chooses catastrophe bond to do empirical simulation analysis. In the third chapter, two models of pricing of catastrophe insurance risk securitization products are introduced. Financial instrument pricing method and actuarial pricing method. Then, the limitations of financial instrument pricing method and actuarial pricing method in the empirical simulation of earthquake catastrophe bond are analyzed. On this basis, a catastrophe bond pricing model suitable for China's national conditions is proposed. Chapter 4th uses real data to analyze the pricing of catastrophe bonds in China. Firstly, the distribution model of catastrophe loss and the distribution model of catastrophe occurrence times are established. According to these two models, the total distribution model of catastrophe loss in China is obtained. Secondly, the binomial model of interest rate is used. Finally, according to the total distribution model of catastrophe loss and the binomial model of interest rate, the issuing price of the security bond and the risk bond is obtained.
【学位授予单位】：华南理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F842.64

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