基于Wang两因素模型对我国地震巨灾债券定价的分析

发布时间：2018-03-18 17:14

本文选题：巨灾债券　切入点：定价　出处：《华中师范大学》2017年硕士论文　论文类型：学位论文

【摘要】：我国是一个灾害频发的国家。地震灾害在很大程度上对我国人民的生命和财产造成了威胁,对人民的正常生活和国家的经济发展造成了不容忽视的影响。然而,我国政府目前应对地震灾害的手段仍然十分匮乏,对于巨灾风险管理尚未形成体系。一旦发生地震,国家财政将会承担巨额损失。因此,使用各种渠道来控制和对冲巨灾风险已然成为亟待解决的问题。把巨灾风险从保险市场转移到资本市场已成为金融创新的一个发展趋势。通过发行巨灾债券,保险公司和再保险公司可以利用资本市场上众多的投资者将巨灾风险分散,从而解决我国保险和再保险公司承保能力不足的问题。另一方面,巨灾债券与其他金融产品相关性很低这一特征使得它成为一种很好的分散风险的投资工具。巨灾债券的重要性日益凸显,对巨灾债券的准确定价成为近来年研究的重点。巨灾债券的定价主要包含两方面的内容:一是对巨灾损失分布的拟合,二是选取合适的定价模型。因此,本文从以下几个方面着手研究并得出结论:(1)通过比较我国地震灾害历年数据,阐述了我国发行巨灾债券的必要性,并分析了发行巨灾债券可能遇到的难题。然后详细介绍了巨灾债券的基本原理和巨灾债券基于风险定价框架下的三个经典模型,即LFC模型、Wang二因素模型和Christofides 模型。(2)收集我国1961至2016年间地震直接经济损失在1亿元以上的数据作为样本,对其进行物价调整,然后使用多种分布模型对地震样本进行拟合,并进行拟合优度卡方检验,选出最优拟合模型。最后,采用对数正态分布来拟合每年地震损失金额。(3)选用Wang两因素模型对我国一年期的地震巨灾债券进行定价,通过计算得出不同触发水平下的我国一年期不同本金损失比例的地震巨灾债券的价格,以期对我国未来发行巨灾债券有所借鉴。
[Abstract]:China is a country with frequent disasters. The earthquake disaster, to a large extent, has threatened the lives and property of our people, and has had a significant impact on the normal life of the people and the economic development of the country. At present, the government of our country still lacks the means to deal with the earthquake disaster, and there is no system in place to manage the catastrophe risk. Once the earthquake occurs, the national finance will bear huge losses. Using various channels to control and hedge catastrophe risk has become an urgent problem. Transferring catastrophe risk from insurance market to capital market has become a trend of financial innovation. Insurance companies and reinsurance companies can use a large number of investors in the capital market to spread catastrophe risk, thus solving the problem of underwriting capacity of insurance and reinsurance companies in China. On the other hand, The low correlation between catastrophe bonds and other financial products makes them a good risk-dispersing investment tool. The importance of catastrophe bonds is becoming more and more important. The accurate pricing of catastrophe bonds has become the focus of recent years. The pricing of catastrophe bonds mainly includes two aspects: one is to fit the distribution of catastrophe losses, the other is to select the appropriate pricing model. This paper studies and draws a conclusion from the following aspects: (1) by comparing the historical data of earthquake disasters in China, the necessity of issuing catastrophe bonds in China is expounded. Then the basic principle of catastrophe bond and three classical models based on risk pricing framework are introduced in detail. That is, LFC model, Wang two-factor model and Christofides model, which collect the data of direct economic loss of 100 million yuan or more from 1961 to 2016 in China as samples, adjust the price of the data, and then use various distribution models to fit the seismic samples. Finally, the lognormal distribution is used to fit the annual earthquake loss. Finally, the Wang two-factor model is used to price the one-year earthquake catastrophe bonds in China. By calculating the price of earthquake catastrophe bonds with different triggering levels in one year and different proportion of principal loss in China, the price of earthquake catastrophe bonds is obtained, which is expected to be used for reference in the future issuance of catastrophe bonds in China.
【学位授予单位】：华中师范大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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