發(fā)布時間：2018-03-18 17:14

  本文選題：巨災(zāi)債券　切入點(diǎn)：定價　出處：《華中師范大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：我國是一個災(zāi)害頻發(fā)的國家。地震災(zāi)害在很大程度上對我國人民的生命和財(cái)產(chǎn)造成了威脅,對人民的正常生活和國家的經(jīng)濟(jì)發(fā)展造成了不容忽視的影響。然而,我國政府目前應(yīng)對地震災(zāi)害的手段仍然十分匱乏,對于巨災(zāi)風(fēng)險管理尚未形成體系。一旦發(fā)生地震,國家財(cái)政將會承擔(dān)巨額損失。因此,使用各種渠道來控制和對沖巨災(zāi)風(fēng)險已然成為亟待解決的問題。把巨災(zāi)風(fēng)險從保險市場轉(zhuǎn)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(zāi)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(zāi)風(fēng)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(zāi)債券與其他金融產(chǎn)品相關(guān)性很低這一特征使得它成為一種很好的分散風(fēng)險的投資工具。巨災(zāi)債券的重要性日益凸顯,對巨災(zāi)債券的準(zhǔn)確定價成為近來年研究的重點(diǎn)。巨災(zāi)債券的定價主要包含兩方面的內(nèi)容:一是對巨災(zāi)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(jié)論:(1)通過比較我國地震災(zāi)害歷年數(shù)據(jù),闡述了我國發(fā)行巨災(zāi)債券的必要性,并分析了發(fā)行巨災(zāi)債券可能遇到的難題。然后詳細(xì)介紹了巨災(zāi)債券的基本原理和巨災(zāi)債券基于風(fēng)險定價框架下的三個經(jīng)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(jīng)濟(jì)損失在1億元以上的數(shù)據(jù)作為樣本,對其進(jìn)行物價調(diào)整,然后使用多種分布模型對地震樣本進(jìn)行擬合,并進(jìn)行擬合優(yōu)度卡方檢驗(yàn),選出最優(yōu)擬合模型。最后,采用對數(shù)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(zāi)債券進(jìn)行定價,通過計(jì)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(zāi)債券的價格,以期對我國未來發(fā)行巨災(zāi)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(xué)位授予單位】：華中師范大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.51

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本文編號：1630531