基于风险定价框架的巨灾债券定价模型比较研究  

Comparative Study on Catastrophe Bonds Pricing Model Based on the Framework of Risk Pricing

作　　者：田玲[1] 向飞[1] 

机构地区：[1]武汉大学经济与管理学院,湖北武汉430072

出　　处：《武汉大学学报（哲学社会科学版）》2006年第2期168-174,共7页Wuhan University Journal：Philosophy & Social Science

基　　金：国家自然科学基金项目(70403013)

摘　　要：LFC模型、Wang两因素模型和Christofides模型是风险定价框架下的三个典型巨灾债券定价模型。通过对这三个典型巨灾债券定价模型进行比较研究后,我们认为,在未来的巨灾债券定价过程中,可以在过去交易的加权平均的风险厌恶水平ρ值的基础上进行调整,利用Christofides模型得到一个大致的价格范围。This paper introduces three typical catastrophe bonds pricing model-LFC model, Wang two factor model, and Christofides model, which are based on the framework of risk pricing. Furthermore, the authors compare three models from the aspect of model features, empirical results and model defects. The authors argue that when pricing catastrophe bonds in the future, we can use Christofides model for obtaining the approximate range of prices by adjusting the weighted average of past transactions＇risk awersion levelp.

关 键 词：巨灾债券 风险定价 LFC模型 Wang两因素模型 Christofides模型 

分 类 号：F840[经济管理—保险]