中国农业巨灾债券运行机制与定价研究

发布时间：2018-01-23 19:21

  本文关键词： 巨灾风险 精算等价 巨灾基金价值 巨灾债券　出处：《郑州大学》2017年硕士论文　论文类型：学位论文

【摘要】：近年来,由于我国农业巨灾风险发生模式、进展模式、损失程度及其不确定性都发生了不同程度的变化,部分区域已经从维持基本的农业种植险的需求向更高更次的改变,即逐渐偏向于对农业巨灾保险产品的需求。不同种植规模区域的农户对农业保险的需求倾向也逐渐发生了偏离,在传统的农业保险市场,在不同的地理位置、不同的农业种植规模和不同的自然环境条件下,对农业保险的需求都是一致的,根本没有实现农业风险(一般风险和农业巨灾风险)的精细化管理,因此,分析应对农业巨灾风险的运行机制非常必要。本文研究的核心内容分为两个部分:一部分是建立了我国农业巨灾风险应对机制的触发条件(基于持续发行巨灾债券的巨灾基金价值到达0)。在保险人承保后,会发生定期的与不定期的收入与支出:一方面保险人定期将从农户收到均衡纯保费;另一方面保险人会产生不定期的理赔支出。这样,形成一个具有盈余性质的巨灾基金价值过程。但是农业巨灾的损失额巨大,使巨灾基金价值不断下降,会在短期内碰撞0。本文基于农业巨灾债券的视角,研究了农业巨灾债券机制的运行过程。这样,将发行巨灾债券获得的资金加入到巨灾基金中,会使巨灾基金价值不断发生跳跃,从而避免了巨灾基金价值快速到达0的情况出现。由于在农业巨灾债券机制运行的过程中,巨灾债券的合理定价是整个系统非常重要的环节,因此,对巨灾债券的定价作为了本文第二个主要研究内容。通过本文的理论与实证研究,发现在不同的风险模式下农业巨灾债券运行机制失效的概率和发行巨灾债券募集资金额是不同的。在精算等价原则的基础上,对巨灾债券进行精确定价,进而判定在使运行机制持续有效的最优假设下初始应发行巨灾债券的额度和各个敏感时点应发行巨灾债券的额度。只要在各个敏感时刻持续发债,农业巨灾债券的运行机制就可以无限时间地运行下去;在其他条件相同的情况下,基于概率和资金时间价值的巨灾债券的价格低于普通债券的价格;并且在特定情况下,我国农业巨灾债券的机制运行失效的概率只与保险人对投保人收取的安全附加保费相关。
[Abstract]:In recent years, due to the occurrence mode of agricultural catastrophe risk, progress model, loss degree and uncertainty have changed in varying degrees. Parts of the region have shifted from the need to maintain basic agricultural insurance to higher and lower levels. That is to say, the demand for agricultural catastrophe insurance products has gradually deviated from the demand for agricultural insurance in different planting scale areas, in the traditional agricultural insurance market, in different geographical locations. Under different agricultural planting scale and different natural environment, the demand for agricultural insurance is the same, and there is no fine management of agricultural risk (general risk and agricultural catastrophe risk). It is very necessary to analyze the operation mechanism of agricultural catastrophe risk. The core content of this paper is divided into two parts: the first part is to establish the trigger conditions of agricultural catastrophe risk response mechanism in China (. The value of the catastrophe fund based on the continuous issuance of catastrophe bonds reaches zero. After the insurer underwriting. There will be periodic and irregular income and expenditure: on the one hand, the insurer will receive a balanced net premium from farmers on a regular basis; On the other hand, the insurer will produce occasional claim expenses. In this way, it will form a surplus nature of catastrophe fund value process. However, the amount of agricultural catastrophe losses is huge, which makes the value of catastrophe fund continue to decline. Based on the perspective of agricultural catastrophe bonds, this paper studies the operating process of agricultural catastrophe bond mechanism. In this way, the capital obtained by issuing catastrophe bonds is added to the catastrophe fund. It will make the value of catastrophe fund jump constantly, thus avoiding the situation that the value of catastrophe fund can reach 0 quickly, because of the operation of agricultural catastrophe bond mechanism. The reasonable pricing of catastrophe bonds is a very important part of the whole system. Therefore, the pricing of catastrophe bonds is the second main research content of this paper. It is found that the probability of failure of agricultural catastrophe bonds under different risk modes and the amount of capital raised by issuing catastrophe bonds are different. On the basis of the principle of actuarial equivalence, the accurate pricing of catastrophe bonds is carried out. Furthermore, the initial amount of catastrophe bonds and the amount of catastrophe bonds should be issued at each sensitive time point under the optimal assumption that the operation mechanism is continuously effective, as long as the bonds are issued continuously at each sensitive time. The operation mechanism of agricultural catastrophe bond can run indefinitely; Under other conditions, the price of catastrophe bonds based on probability and the time value of funds is lower than that of ordinary bonds; And under certain circumstances, the probability of failure of the mechanism of agricultural catastrophe bonds in China is only related to the additional premium charged by the insurer to the insured.
【学位授予单位】：郑州大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51
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本文编号：1458048