發(fā)布時(shí)間：2018-03-18 17:14

  本文選題：巨災(zāi)債券　切入點(diǎn)：定價(jià)　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(guó)是一個(gè)災(zāi)害頻發(fā)的國(guó)家。地震災(zāi)害在很大程度上對(duì)我國(guó)人民的生命和財(cái)產(chǎn)造成了威脅,對(duì)人民的正常生活和國(guó)家的經(jīng)濟(jì)發(fā)展造成了不容忽視的影響。然而,我國(guó)政府目前應(yīng)對(duì)地震災(zāi)害的手段仍然十分匱乏,對(duì)于巨災(zāi)風(fēng)險(xiǎn)管理尚未形成體系。一旦發(fā)生地震,國(guó)家財(cái)政將會(huì)承擔(dān)巨額損失。因此,使用各種渠道來(lái)控制和對(duì)沖巨災(zāi)風(fēng)險(xiǎn)已然成為亟待解決的問(wèn)題。把巨災(zāi)風(fēng)險(xiǎn)從保險(xiǎn)市場(chǎng)轉(zhuǎn)移到資本市場(chǎng)已成為金融創(chuàng)新的一個(gè)發(fā)展趨勢(shì)。通過(guò)發(fā)行巨災(zāi)債券,保險(xiǎn)公司和再保險(xiǎn)公司可以利用資本市場(chǎng)上眾多的投資者將巨災(zāi)風(fēng)險(xiǎn)分散,從而解決我國(guó)保險(xiǎn)和再保險(xiǎn)公司承保能力不足的問(wèn)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(xiǎn)的投資工具。巨災(zāi)債券的重要性日益凸顯,對(duì)巨災(zāi)債券的準(zhǔn)確定價(jià)成為近來(lái)年研究的重點(diǎn)。巨災(zāi)債券的定價(jià)主要包含兩方面的內(nèi)容:一是對(duì)巨災(zāi)損失分布的擬合,二是選取合適的定價(jià)模型。因此,本文從以下幾個(gè)方面著手研究并得出結(jié)論:(1)通過(guò)比較我國(guó)地震災(zāi)害歷年數(shù)據(jù),闡述了我國(guó)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(xiǎn)定價(jià)框架下的三個(gè)經(jīng)典模型,即LFC模型、Wang二因素模型和Christofides 模型。(2)收集我國(guó)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(duì)其進(jìn)行物價(jià)調(diào)整,然后使用多種分布模型對(duì)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(duì)數(shù)正態(tài)分布來(lái)擬合每年地震損失金額。(3)選用Wang兩因素模型對(duì)我國(guó)一年期的地震巨災(zāi)債券進(jìn)行定價(jià),通過(guò)計(jì)算得出不同觸發(fā)水平下的我國(guó)一年期不同本金損失比例的地震巨災(zāi)債券的價(jià)格,以期對(duì)我國(guó)未來(lái)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(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.51

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本文編號(hào)：1630531