基于Esscher变换的巨灾债券定价模型研究

发布时间：2018-03-08 18:43

本文选题：台风灾害　切入点：Esscher变换　出处：《财经问题研究》2014年06期 　论文类型：期刊论文

【摘要】：本文基于Esscher变换这一精算工具,建立以损失指数为触发条件的巨灾债券定价模型,并利用1996—2012年我国台风灾害损失数据,运用该定价模型测算不同触发条件下台风巨灾债券的发行价格。本文采用Merton的方法,因为该方法直接适用于如巨灾衍生产品,作为原生品的损失指数并不是一种可投资资产的状况。而巨灾风险损失的非交易性可以通过引进自然风险的市场价格来解决。
[Abstract]:Based on the actuarial tool of Esscher transform, a catastrophe bond pricing model with loss index as trigger condition is established in this paper, and the data of typhoon disaster loss in China from 1996 to 2012 are used. The pricing model is used to calculate the issuing price of Typhoon catastrophe bonds under different triggering conditions. In this paper, the Merton method is used because this method is directly applicable to catastrophe derivatives. The loss index as a primary product is not a state of investable assets, but the non-tradable nature of catastrophe risk loss can be solved by introducing the market price of natural risk.
【作者单位】：浙江金融职业学院投资与保险系;
【分类号】：F830.91;F224

【共引文献】