我国巨灾风险债券定价研究

发布时间：2018-01-04 12:34

本文关键词：我国巨灾风险债券定价研究　出处：《重庆大学》2014年硕士论文　论文类型：学位论文

【摘要】：我国是各种自然灾害频发且损失严重的国家。目前，我国的巨灾损失补偿模式主要限于政府的无偿赈灾与救济，保险和再保险业的承保能力十分有限，，迫切需要新兴有效风险转移方式的补充。而自2006年开始，巨灾风险债券这种新型工具在我国迈出了实质性的步伐。国家开发银行、中再集团联合中国保险监督管理委员会与瑞士再保险公司、慕尼黑再保险公司和英国劳合社等国际知名再保险巨头合作发行了基于中国损失的巨灾风险债券，以转移风险、融通巨灾保障资金。在此背景下，对巨灾风险债券这种新型工具的理论和实践进行全面总结与深入探讨具有较强的必要性和现实性。近年来，世界各国对巨灾风险债券这种新型工具的研究发展很快。美国和瑞士是开展此项研究较早的国家，其研究工作比较系统。国外学者早期主要是在资产证券化的框架内阐释巨灾风险债券的经济学内容，在巨灾风险债券的需求分析、运作模式及定价方法上都进行了广泛的研究，也逐渐在有关债券的运行模式和定价机理等方面形成一些广受认同的理论。尤其在定价机理方面，国外学者已从多个不同角度对巨灾风险债券的定价模型与方法进行了深入研究。而国内目前对巨灾风险债券的研究总体上还处于学习、介绍阶段。虽然有个别研究运用国外模型对中国巨灾损失数据进行模拟，并就中国发行巨灾风险债券的定价方法和运行模式提出了一些建议。但总体而言，国内目前的相关研究还比较零散，缺乏对结论的科学论证，也较少考虑到国与国、地区与地区间的差异。因此，本文将从巨灾风险债券目前在我国的发展现状入手，分析在我国发行巨灾风险债券的必要性及可行性，并据此分析现阶段情况下我国发行巨灾风险债券所受到的一些制约因素。随后，本文将分别从巨灾风险债券在我国的交易机制、触发机制、巨灾损失模型、定价模型等进行全面分析，最终确定使用资本资产定价模型作为本文洪水巨灾风险债券的定价模型。最后，本文通过收集我国近年来洪水巨灾损失数据，并对巨灾损失数据进行分布函数拟合，随后以资本资产定价模型作为该洪水巨灾风险债券的定价模型对我国洪水巨灾风险债券的定价进行了实证研究。
[Abstract]:China is a variety of natural disasters and serious loss of the country. At present, compensation mode of our country is mainly limited to the government free disaster relief and relief, insurance and reinsurance underwriting capacity is very limited, the urgent need of new effective way of risk transfer. And since the beginning of 2006, catastrophe bond has taken this new tool a substantial step in our country. The National Development Bank, another group of United China Insurance Regulatory Commission and the Swiss Reinsurance Company, Munich reinsurance company and the British Lloyd's and other famous international reinsurance giant Cooperation issued China catastrophe risk bond based on loss, risk transfer, financing catastrophe protection funds. Under this background, theory and the practice of this new type of catastrophe risk bond tools and in-depth study is necessary and practical comprehensive summary.
In recent years, the countries all over the world to study the development of catastrophe risk bond this new tool quickly. The United States and Switzerland is to carry out this study earlier, the systematic study of foreign scholars. Early is mainly in the framework of asset securitization in the interpretation of catastrophe bond economics, analysis in catastrophe risk bond demand, operation models and pricing methods have carried out extensive research, has gradually formed some widely accepted theory in the bond operation mode and pricing mechanism. Especially in the pricing mechanism, the foreign scholars have pricing model and method of catastrophe risk bonds from many different angles were studied. At present the domestic research of catastrophe bond is still in the learning stage. Although some of the data on the use of foreign models to simulate China catastrophe losses, Some suggestions on the pricing and operation mode of catastrophe risk bonds issued by China are put forward. But generally speaking, the related researches in China are relatively fragmented, lack of scientific demonstration of conclusions, and few of the differences between countries and regions.
Therefore, this paper will start from the catastrophe risk bonds currently in China's development status, analysis of the issue of catastrophe risk bonds in our country the necessity and feasibility, and analyzes some factors restricting the current situation in China issued by the catastrophe risk bond. Then, this paper respectively from the catastrophe bond in China the trading mechanism, triggering mechanism of catastrophe loss model, a comprehensive analysis of pricing model, and ultimately determine the use of the capital asset pricing model as the pricing model of the flood catastrophe bond. Finally, this paper through the collection of China's flood catastrophe loss data in recent years, and the catastrophe losses data distribution function fitting, then to the capital asset pricing model as the pricing model of the flood catastrophe bond in China Flood catastrophe bond in the empirical study.

【学位授予单位】：重庆大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F842.64

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