本文選題：巨災債券　切入點：定價　出處：《華中師范大學》2017年碩士論文　論文類型：學位論文

【摘要】：我國是一個災害頻發(fā)的國家。地震災害在很大程度上對我國人民的生命和財產造成了威脅,對人民的正常生活和國家的經濟發(fā)展造成了不容忽視的影響。然而,我國政府目前應對地震災害的手段仍然十分匱乏,對于巨災風險管理尚未形成體系。一旦發(fā)生地震,國家財政將會承擔巨額損失。因此,使用各種渠道來控制和對沖巨災風險已然成為亟待解決的問題。把巨災風險從保險市場轉移到資本市場已成為金融創(chuàng)新的一個發(fā)展趨勢。通過發(fā)行巨災債券,保險公司和再保險公司可以利用資本市場上眾多的投資者將巨災風險分散,從而解決我國保險和再保險公司承保能力不足的問題。另一方面,巨災債券與其他金融產品相關性很低這一特征使得它成為一種很好的分散風險的投資工具。巨災債券的重要性日益凸顯,對巨災債券的準確定價成為近來年研究的重點。巨災債券的定價主要包含兩方面的內容:一是對巨災損失分布的擬合,二是選取合適的定價模型。因此,本文從以下幾個方面著手研究并得出結論:(1)通過比較我國地震災害歷年數據,闡述了我國發(fā)行巨災債券的必要性,并分析了發(fā)行巨災債券可能遇到的難題。然后詳細介紹了巨災債券的基本原理和巨災債券基于風險定價框架下的三個經典模型,即LFC模型、Wang二因素模型和Christofides 模型。(2)收集我國1961至2016年間地震直接經濟損失在1億元以上的數據作為樣本,對其進行物價調整,然后使用多種分布模型對地震樣本進行擬合,并進行擬合優(yōu)度卡方檢驗,選出最優(yōu)擬合模型。最后,采用對數正態(tài)分布來擬合每年地震損失金額。(3)選用Wang兩因素模型對我國一年期的地震巨災債券進行定價,通過計算得出不同觸發(fā)水平下的我國一年期不同本金損失比例的地震巨災債券的價格,以期對我國未來發(fā)行巨災債券有所借鑒。
[Abstract]:China is a country with frequent disasters. The earthquake disaster, to a large extent, has threatened the lives and property of our people, and has had a significant impact on the normal life of the people and the economic development of the country. At present, the government of our country still lacks the means to deal with the earthquake disaster, and there is no system in place to manage the catastrophe risk. Once the earthquake occurs, the national finance will bear huge losses. Using various channels to control and hedge catastrophe risk has become an urgent problem. Transferring catastrophe risk from insurance market to capital market has become a trend of financial innovation. Insurance companies and reinsurance companies can use a large number of investors in the capital market to spread catastrophe risk, thus solving the problem of underwriting capacity of insurance and reinsurance companies in China. On the other hand, The low correlation between catastrophe bonds and other financial products makes them a good risk-dispersing investment tool. The importance of catastrophe bonds is becoming more and more important. The accurate pricing of catastrophe bonds has become the focus of recent years. The pricing of catastrophe bonds mainly includes two aspects: one is to fit the distribution of catastrophe losses, the other is to select the appropriate pricing model. This paper studies and draws a conclusion from the following aspects: (1) by comparing the historical data of earthquake disasters in China, the necessity of issuing catastrophe bonds in China is expounded. Then the basic principle of catastrophe bond and three classical models based on risk pricing framework are introduced in detail. That is, LFC model, Wang two-factor model and Christofides model, which collect the data of direct economic loss of 100 million yuan or more from 1961 to 2016 in China as samples, adjust the price of the data, and then use various distribution models to fit the seismic samples. Finally, the lognormal distribution is used to fit the annual earthquake loss. Finally, the Wang two-factor model is used to price the one-year earthquake catastrophe bonds in China. By calculating the price of earthquake catastrophe bonds with different triggering levels in one year and different proportion of principal loss in China, the price of earthquake catastrophe bonds is obtained, which is expected to be used for reference in the future issuance of catastrophe bonds in China.
【學位授予單位】：華中師范大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.51

【參考文獻】

相關期刊論文 前10條

1 朱文革;;模糊性厭惡和巨災風險定價研究[J];保險研究;2016年10期

2 馬宗剛;鄒新月;馬超群;;雙隨機復合泊松損失下巨災債券定價與數值模擬[J];中國管理科學;2016年10期

3 孟永昌;王鑄;吳吉東;史培軍;;巨災影響的全球性:以東日本大地震的經濟影響為例[J];自然災害學報;2015年06期

4 張節(jié)松;肖慶憲;;隨機巨災索賠相依風險模型的動態(tài)最優(yōu)再保險[J];系統(tǒng)工程理論與實踐;2016年02期

5 祝偉;陳秉正;;我國居民巨災保險需求影響因素分析——以地震風險為例[J];保險研究;2015年02期

6 于汐;王靜偉;;基于事件法研究巨災對我國上市公司的影響——以汶川8.0級地震為例[J];災害學;2015年01期

7 康晗彬;邢天才;;基于損失分布的巨災再保險償付規(guī)模與定價研究[J];預測;2014年06期

8 卓志;鄺啟宇;;巨災保險市場演化博弈均衡及其影響因素分析——基于風險感知和前景理論的視角[J];金融研究;2014年03期

9 程鋮;石曉軍;張順明;;基于Esscher變換的巨災指數期權定價與數值模擬[J];中國管理科學;2014年01期

10 周延;閏會麗;;洪水巨災債券及其定價的實證研究——基于Wang兩因素模型對我國洪水債券定價的分析[J];上海金融學院學報;2011年03期

相關碩士學位論文 前3條

1 白雪;巨災債券定價及產品設計[D];吉林大學;2013年

2 閏會麗;我國巨災債券定價研究[D];華東師范大學;2012年

3 郭強;巨災債券定價研究[D];吉林大學;2010年

，

本文編號：1630531