台风巨灾风险债券的定价研究

发布时间：2018-02-28 01:33

本文关键词： 巨灾债券模型拟合拟合定价 LFC模型 Wang两因素模型　出处：《江西财经大学》2014年硕士论文　论文类型：学位论文

【摘要】：近年来,世界范围内巨灾的频繁发生,造成了巨大的财产损失和人员伤亡。特别是21世纪以来,巨灾的年发生次数和造成的损失程度都略有增加,巨灾损失额的增加使保险行业面临着严峻挑战。保险公司可能因为承担了某次意想不到的巨灾而面临清算或者破产,同时巨灾也导致被保险人遭受损失。因此,保险人为了解决其承保能力不足的窘境,迫切希望能出现一种新的金融衍生工具来转移承保风险。经过专业人士的探索和研究,巨灾风险债券应运而生。巨灾风险债券是巨灾风险证券化的产品之一,产品设计的主要目的是为了进行巨灾风险的转移,通过发行与巨灾损失相关联的债券,把资本市场和保险市场紧密联系起来,使得资本市场和保险市场的资金更好地相互流通。未来巨灾债券在我国内地的发行,将会促进保险行业的蓬勃发展,并为保险业注入新的血液。国外巨灾风险债券的发行已经趋于成熟,本文在国外巨灾风险债券发行的基础上,探究我国台风巨灾风险债券的定价原理。本文第一部分讲述了巨灾债券的形成背景,国外巨灾债券的发行现状及其分类,归纳了国外债券的发行形势以及目前我国发行巨灾风险债券可能遇到的难题,并展望了我国巨灾债券未来发行的可能性。第二部分介绍了巨灾债券的基本知识和巨灾债券定价的相关模型及其原理。第三部分为实证分析。基于1989—2012年我国内地在台风巨灾中直接损失金额超过1亿元的样本数据,根据样本数据的统计特征,首先使用多种分布模型对台风样本数据进行拟合,根据模型拟合结果进行了拟合优度和K-S检验,并用MATLAB画出拟合效果图,通过直观比较图形和模型检验的结果,选出最优拟合模型；然后,在介绍g-h分布的基础上,使用g-h分布对样本数据进行拟合和检验；最后,采用复合泊松分布拟合年台风损失金额,并使用平移的伽马分布拟合复合泊松分布。第四部分对台风巨灾债券进行定价研究。在前文分析的基础上,设计了几种不同期限的巨灾风险债券,并对其进行定价分析。首先采用LFC模型对我国台风巨灾风险债券定价,得出我国三年期台风巨灾债券的价差表；然后采用利率二项分布模型和现金流贴现模型对台风巨灾风险债券进行定价分析,得出我国三年期台风巨灾债券的预计现金流和价格；最后运用Wang两因素模型对我国一年期的台风巨灾债券进行定价分析,通过计算得出不同触发点下我国一年期不同本金损失比例的台风巨灾证券价格,其中Wang两因素模型中的参数λ是Wang使用美国巨灾债券数据拟合得出的。第五部分对本文进行总结,并给出了巨灾债券在我国试点发行的相关政策建议。本文的创新点是在选择了最合适的拟合分布后,通过借鉴外国的模型对我国的台风巨灾债券进行拟合定价,给出不同触发点下台风巨灾风险债券的价格,为我国未来发行巨灾风险债券提供指导和建议。
[Abstract]:In recent years , the frequent occurrence of catastrophe in the world has caused great loss of property and casualties . Especially since the 21 st century , the number of years of catastrophe and the degree of loss have been increased slightly , and the increase of the amount of catastrophe has caused the insurance industry to face severe challenges . The insurance company may face liquidation or bankruptcy because of the unexpected catastrophe , and the catastrophe also leads to the loss of the insured . Therefore , in order to solve the problem of insufficient underwriting capacity , the insurer is eager to develop a new financial derivative instrument to transfer the underwriting risk . Catastrophe risk bonds are one of the products of catastrophe risk securitization . The main purpose of product design is to make the transfer of catastrophe risk . By issuing bonds associated with catastrophe losses , capital markets and insurance markets are closely linked , so that capital markets and insurance markets are better in circulation . In the future , the issuance of giant disaster bonds in the mainland of China will promote the development of insurance industry and inject new blood for the insurance industry . The issuance of catastrophe risk bonds in foreign countries has become mature . Based on the issuance of catastrophe risk bonds in foreign countries , this paper probes into the pricing principle of China ' s typhoon catastrophe risk bonds . The first part of this paper is about the formation background of catastrophe bonds , the present situation of foreign catastrophe bonds and their classification , sums up the issue situation of foreign debt and the problems that may be encountered in the issuance of giant disaster risk bonds in our country , and looks forward to the possibility of future issuance of China ' s catastrophe bonds . The second part introduces the basic knowledge of catastrophe bonds and the relevant models and principles of the pricing of catastrophe bonds . The third part is empirical analysis . Based on the statistical characteristics of the sample data , the best fitting model is selected based on the statistical characteristics of the sample data . Based on the model fitting results , the best fitting model is selected according to the statistical characteristics of the sample data . Finally , based on the introduction of the g - h distribution , the sample data is fitted and tested by using the g - h distribution . Finally , the composite Poisson distribution is used to fit the annual typhoon loss amount , and the distribution of the composite Poisson distribution is fitted using the translated gamma distribution . On the basis of the foregoing analysis , we have designed several kinds of catastrophe risk bonds with different periods , and then set up the price analysis of three - year typhoon catastrophe bonds in our country by using the LFC model . Finally , we use Wang two - factor model and cash flow discount model to analyze the typhoon catastrophe risk bonds . Finally , we use the Wang two - factor model to calculate the price of typhoon catastrophe securities with different principal losses in China for one year . The fifth part summarizes this article , and gives the relevant policy suggestion of catastrophe bonds in China ' s pilot issuance . This paper points out that after choosing the most suitable fit distribution , we can use foreign model to fit pricing of typhoon catastrophe bonds in our country , give the price of typhoon catastrophe risk bonds under different trigger points , and provide guidance and advice for future issuance of catastrophe risk bonds in our country .

【学位授予单位】：江西财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

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