基于Copula函数的分层巨灾债券定价研究——来自两广地区台风数据的实证分析

发布时间：2018-06-24 16:56

本文选题：Copula函数 + 巨灾债券　；参考：《广西大学学报(哲学社会科学版)》2017年04期

【摘要】：传统的保险模式很难实现巨灾风险的转移,巨灾债券就是最成功的金融衍生工具之一。利用1985—2014年广东省和广西省台风灾害损失数据,构建了与两广地区台风经济损失相关联的巨灾债券定价模型。采用Gumbel Copula函数描述两广地区台风发生频数的相关性,并针对不同风险偏好的投资者,采用分层技术进行分层定价,形成有差别化的风险承担价格。用Monte Carlo模拟方法对利率和台风频数路径进行模拟,计算出不同层次的债券价格,并分析了不同因素对巨灾债券价格的影响,使巨灾债券定价更具合理性,也更适合当前一体化的市场需求。
[Abstract]:The traditional insurance model is difficult to transfer catastrophe risk. Catastrophe bond is one of the most successful financial derivatives. Based on the data of typhoon disaster losses in Guangdong Province and Guangxi Province from 1985 to 2014, a catastrophe bond pricing model associated with the economic losses of typhoons in Guangdong and Guangxi was established. The Gumbel Copula function is used to describe the correlation of typhoon frequency in Liangguang region, and the layered pricing technique is adopted to form a differentiated risk bearing price for investors with different risk preferences. The interest rate and typhoon frequency path are simulated by Monte Carlo simulation method, and the bond prices of different levels are calculated, and the influence of different factors on the price of catastrophe bonds is analyzed, which makes the pricing of catastrophe bonds more reasonable. Also more suitable for the current integration of market demand.
【作者单位】：福州大学经济与管理学院;
【基金】：国家社会科学基金(12BKS043) 福建省自然科学基金(2017J01794)
【分类号】：F832.51

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