| 多事件触发巨灾债券设计与定价研究:以中国台风债券为例 |
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| 引用本文： | 李永,范蓓,刘鹃.多事件触发巨灾债券设计与定价研究:以中国台风债券为例[J].中国软科学,2012(3):41-48. |
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| 作者姓名： | 李永 范蓓 刘鹃 |
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| 作者单位： | 1. 同济大学 经济与管理学院,上海,200092
2. 南京紫金财产保险股份有限公司,南京,210000 |
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| 基金项目： | 国家社会科学基金，教育部人文社会科学项目，2012年中央高校基本科研业务费专项资金项目 |
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| 摘 要： | 巨灾损失具有多样化、立体性特征,多国已经开始多事件触发巨灾债券尝试,定价问题成为研究难点与热点。本文设计并阐述了多事件触发巨灾债券产品定价模型及其实现过程,首次基于中国台风巨灾财产损失、受灾面积两事件,进行了产品初步设计和价格估算。具体通过建立委托代理定价模型,对中国1990年以来历次台风直接经济损失和受灾面积的边缘分布分别进行拟合,借助Clayton Copula得到联合概率分布函数确定定价水平,最后进行了价格敏感性和稳定性检验和动态分析。
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| 关 键 词： | 巨灾债券 定价 多触发事件 委托代理理论 |
Design and Pricing of Multi- event CAT Bonds: a Case of Typhoon Bonds in China |
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| LI Yong
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FAN Be
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LIU Juan.Design and Pricing of Multi- event CAT Bonds: a Case of Typhoon Bonds in China[J].China Soft Science,2012(3):41-48. |
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| Authors: | LI Yong FAN Be LIU Juan |
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| Institution: | 1.School of Economics and Management,Tongji University,Shanghai 200092,China; 2.Zking Property & Casualty Insurance Co.LTD.,Nanjing 210000,China) |
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| Abstract: | As catastrophic losses have characters of diversities and multi-dimensions,several countries are trying to issue multi-event catastrophe(CAT) bonds,and pricing issues are still difficult and hot academically.This paper could be the first attempt of preliminary designing and pricing research based on pricing model of the multi-event CAT bonds adopted by catastrophic insured property losses of typhoon in China.In details,by establishing representative agent pricing model,it estimates the marginal distribution of two events respectively of catastrophic data of typhoon since 1990,and combines them with Clayton Copula to fit joint probability distribution function.Finally,it makes a dynamic analysis on the pricing sensitivity and stability. |
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| Keywords: | catastrophe(CAT) bonds pricing multi-event principal-agent theory |
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