基于无套利利率模型的台风巨灾债券定价研究  

Pricing Simulation of Typhoon CAT Bond Based on No-arbitrage Interest Rate Model

作　　者：李永[1] 刘鹃[1] 

机构地区：[1]同济大学经济与管理学院,上海200092

出　　处：《预测》2010年第1期49-53,共5页Forecasting

基　　金：国家社会科学基金资助项目(09CJY091);教育部人文社会科学基金资助项目(07JC790064)

摘　　要：我国是世界上遭受自然灾害损失最严重的国家之一,应该充分发挥保险业分散巨灾风险和补偿经济损失的作用。巨灾债券作为国外保险发达市场的一项金融创新产品,成功地提高了保险公司对巨灾风险的承保能力。本文利用非寿险精算技术,对我国1990年来损失在1亿元以上的台风损失以及次数分布进行拟合,确定我国每年台风发生的总损失服从复合泊松—伽玛分布的聚合损失分布模型。随后结合无套利BDT利率期限结构模型以及转移概率参数,来匹配未来利率的变化过程,建立了我国巨灾债券短期利率离散形式的动态变化模型。在此基础上,完成了我国到期保证偿还型台风巨灾债券设计的定价研究。As one of the countries suffered mostly from natural disasters in the world, China should exert the effects of insurance industry against catastrophic risk and losses. Catastrophe （CAT） bonds, known as an important financial innovation product abroad, so far, have strengthened successfully insurers＇ acceptance ability. This paper firstly construct one compound Gamma-Possion distribution model on typhoon catastrophe losses since 1990. Combining BDT term structure model of interest rate introduced by transferring possibility parameters, this paper fits for the changing process for the future interest rate and accomplishes a dynamic model of short-term interest rate discrete form. And finally, complete an empirical study on the pricing of payment guaranteed typhoon catastrophe bond in China.

关 键 词：巨灾债券 台风 聚合损失分布 利率期限结构 

分 类 号：F840.64[经济管理—保险]