天气指数保险费率厘定与修正方法研究

发布时间：2018-06-05 21:02

本文选题：天气指数保险费率厘定 + 无差异模型　；参考：《西南财经大学》2013年硕士论文

【摘要】：天气指数保险是近些年来一种新兴的农作风险管理工具,在发展中国家得到了广泛的试点运用。相比较于传统农业保险,天气指数保险指数化的合同结构,能够一定程度上降低逆向选择和道德风险,利用天气指数代替传统实地勘察核赔能够大幅度降低经营成本,这也是天气指数保险取得阶段性成功的客观原因。但是天气指数保险发展同样面临困境,如基差风险、开办成本、政策监管等。我国在引入天气指数保险之后,相应研究也开始逐渐增多,但是在保费厘定的研究上尚是一片空白,在国外的相应研究也不多。目前各试点地区由于产品内容、形式的区别所用保费厘定方法也有所区别。因此,本文从天气指数保险的基本概念出发,理清天气指数保险发展脉络,并与其他天气风险管理工具进行比较。对现行市场中的产品做出分析对比,得出相应特点、经验教训与保险费率的构成。再从基本定价方法入手,比较定价方法的优劣与实用性,选择合适的纯保费厘定方法,最后讨论相应的纯保费的修正方法。本文的主要内容如下：第一章主要介绍了本文研究内容的选题背景以及国内外学者该问题的研究现状,随后提出天气指数保险费率厘定及修正方法的研究内容。第二章,主客观角度论述天气指数保险产生的原因和背景,发展阶段；结合相关文献给出天气指数保险的具体定义,研究天气指数保险在农业风险管理中的作用,最后比较天气衍生品和天气指数保险的关系。第三章,对市场现有产品进行概括性描述,选择印度、马拉维、墨西哥作为国外产品案例分析,我国则选择浙江柑橘、安徽长丰两地的天气指数保险作为案例分析的重点,比较这些地区产品合同的基本内容、运作模式、定价方法、费率的基本构成等,总结产品的基本特点、成功经验与教训,为产品价格厘定作好铺垫。第四章,分析比较精算定价法和金融衍生品定价法两类主要的天气指数保险定价方法,最后提出和构建无差异模型。并计算出无差异价格。无差异价格是由期望赔付和风险溢价所构成,该价格能够解释保险人、投保人在不同价格环境下保险潜在需求。第五章,以理赔额确定方法将天气指数保险分为第Ⅰ类和第Ⅱ类天气指数,并分别对两类指数保险进行纯保费厘定研究。在本章结尾处运用长丰县1979年至2008年三十年的日降雨、日最高温度数据对长丰县水稻种植干旱高温指数保险进行燃烧分析纯保费厘定,并与国元农业保险的实际保险价格进行对比。第六章为纯保费的风险修正方法,主要包括风险价值法和夏普比率法,结合世界银行商品风险管理组织在马拉维等国的实际运用和第五章的燃烧分析结果进行了一个粗略的风险修正实例。本文的主要创新之处在于：(1)本文选题角度,虽然我国已经成功引入天气指数保险,但是天气指数保险费率厘定方法的研究却寥寥可数；另一方面天气指数保险有着巨大的潜在需求,而市场供给却是不足的,定价和费用厘定难题是供给不足的原因之一。(3)运用期望效用理论构建无差异模型,并由此得出天气指数保险的无差异价格、各种价格水平下潜在需求与供给以及保险交易达成的价格条件。(3)构建了较为完整的天气指数保险保费厘定体系,从保费的构成,到价格的接受能力,到纯保费厘定,再到风险溢价的确定。
[Abstract]:Weather index insurance is a new farming risk management tool in recent years, which has been widely used in developing countries. Compared to traditional agricultural insurance, the contract structure of weather index insurance index can reduce adverse selection and moral hazard to a certain extent, and use weather index to replace traditional field investigation. It is also the objective reason for the successful success of the weather index insurance. However, the development of weather index insurance also faces difficulties, such as the base difference risk, the start-up cost, the policy supervision and so on. It is still a blank, and there are not many relevant studies abroad. At present, the method of premium determination is also different from the difference of product content and form in various pilot areas. Therefore, this paper, starting from the basic concept of weather index insurance, clarifies the development context of weather index insurance and compares it with other weather risk management tools. The products in the market are analyzed and compared, the corresponding characteristics, the experience and the composition of the insurance premium are obtained. From the basic pricing method, the advantages and disadvantages of the pricing methods are compared and the proper method of the premium is selected. Finally, the revised method of the corresponding pure premium is discussed.
The main contents of this paper are as follows:
The first chapter mainly introduces the background of the topic and the research status of the scholars at home and abroad, and then puts forward the research content of the method of determining the rate of weather index insurance and revising.
The second chapter discusses the reasons and background of weather index insurance, the development stage, the specific definition of weather index insurance, the role of weather index insurance in agricultural risk management, and the final comparison of the relationship between weather derivatives and weather index insurance.
The third chapter gives a general description of the existing market products, chooses India, Malawi and Mexico as a foreign product case analysis. China chooses the Zhejiang citrus and the weather index insurance of Changfeng, Anhui as the key point of the case analysis, and compares the basic contents, operating mode, pricing methods and the basic rate of the product contracts in these areas. It summarizes the basic characteristics, successful experiences and lessons of the product, laying the groundwork for product pricing.
The fourth chapter analyzes and compares the two main weather index insurance pricing methods of the actuarial pricing method and the financial derivative pricing method. Finally, the non difference model is proposed and constructed, and the non difference price is calculated. The non difference price is composed of the expected payment and the risk premium, which can explain the insurer and the insured under the different price environment. Insurance potential demand.
In the fifth chapter, the weather index insurance is divided into class I and class II weather index by the method of determining the amount of claim, and the pure premium is determined for the two category index insurance. The daily rainfall of thirty years from 1979 to 2008 in Changfeng county is used at the end of this chapter. The combustion analysis premium is determined and compared with the actual insurance price of the national yuan agricultural insurance.
The sixth chapter is the risk correction method of pure premium, including the risk value method and the SHARP ratio method, and a rough example of the risk correction is carried out in combination with the actual application of the world bank's commodity risk management organization in Malawi and the fifth chapters of the combustion analysis.
The main innovations of this paper are as follows: (1) in this paper, although China has successfully introduced the weather index insurance, there are few studies on the method of determining the rate of the weather index insurance rate; on the other hand, the weather index insurance has a huge potential demand, but the market supply is insufficient, the pricing and cost determination is the problem. One of the reasons for the shortage. (3) using the theory of expected utility to build an indifference model, and thus the indifference price of the weather index insurance, the demand and supply of various price levels and the price conditions reached by the insurance transaction. (3) a more complete system of insurance premium of weather index is constructed, from the composition of premiums to price. The acceptance ability of the grid is determined to the pure premium and then to the determination of the risk premium.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F840.4;F840.66

【参考文献】