本文關鍵詞：我國巨災風險債券定價研究　出處：《重慶大學》2014年碩士論文　論文類型：學位論文

  更多相關文章： 巨災風險管理 巨災風險債券定價 洪水巨災風險債券

【摘要】：我國是各種自然災害頻發(fā)且損失嚴重的國家。目前，我國的巨災損失補償模式主要限于政府的無償賑災與救濟，保險和再保險業(yè)的承保能力十分有限，，迫切需要新興有效風險轉移方式的補充。而自2006年開始，巨災風險債券這種新型工具在我國邁出了實質性的步伐。國家開發(fā)銀行、中再集團聯(lián)合中國保險監(jiān)督管理委員會與瑞士再保險公司、慕尼黑再保險公司和英國勞合社等國際知名再保險巨頭合作發(fā)行了基于中國損失的巨災風險債券，以轉移風險、融通巨災保障資金。在此背景下，對巨災風險債券這種新型工具的理論和實踐進行全面總結與深入探討具有較強的必要性和現(xiàn)實性。 近年來，世界各國對巨災風險債券這種新型工具的研究發(fā)展很快。美國和瑞士是開展此項研究較早的國家，其研究工作比較系統(tǒng)。國外學者早期主要是在資產證券化的框架內闡釋巨災風險債券的經濟學內容，在巨災風險債券的需求分析、運作模式及定價方法上都進行了廣泛的研究，也逐漸在有關債券的運行模式和定價機理等方面形成一些廣受認同的理論。尤其在定價機理方面，國外學者已從多個不同角度對巨災風險債券的定價模型與方法進行了深入研究。而國內目前對巨災風險債券的研究總體上還處于學習、介紹階段。雖然有個別研究運用國外模型對中國巨災損失數(shù)據進行模擬，并就中國發(fā)行巨災風險債券的定價方法和運行模式提出了一些建議。但總體而言，國內目前的相關研究還比較零散，缺乏對結論的科學論證，也較少考慮到國與國、地區(qū)與地區(qū)間的差異。 因此，本文將從巨災風險債券目前在我國的發(fā)展現(xiàn)狀入手，分析在我國發(fā)行巨災風險債券的必要性及可行性，并據此分析現(xiàn)階段情況下我國發(fā)行巨災風險債券所受到的一些制約因素。隨后，本文將分別從巨災風險債券在我國的交易機制、觸發(fā)機制、巨災損失模型、定價模型等進行全面分析，最終確定使用資本資產定價模型作為本文洪水巨災風險債券的定價模型。最后，本文通過收集我國近年來洪水巨災損失數(shù)據，并對巨災損失數(shù)據進行分布函數(shù)擬合，隨后以資本資產定價模型作為該洪水巨災風險債券的定價模型對我國洪水巨災風險債券的定價進行了實證研究。
[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.

【學位授予單位】：重慶大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51;F842.64

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