论巨灾期权及其演进  

ON CATASTROPHE INSURANCE OPTIONS AND THEIR EVOLUTION

作　　者：谢世清[1] 

机构地区：[1]北京大学经济学院,北京100871

出　　处：《经济理论与经济管理》2010年第6期36-42,共7页Economic Theory and Business Management

摘　　要：巨灾期权是以巨灾损失指数为基础而设计的期权合同,是保险公司通过在期权市场上缴纳一定期权费以购买在未来一段时间内的一种价格选择权。本文旨在对巨灾期权及其演进进行系统考察,以期对其有更为全面的认识。本文回顾了巨灾期权的市场发展;分析了ISO,PCS,GCCI和CHI四种指数为基础的巨灾期权产品和运作原理,考察了这四种巨灾指数及其产品的演进。Catastrophe insurance options refer to those option contracts based on the index linked to catastrophe losses. Insurance companies pay option fees to purchase catastrophe insurance option contracts to obtain the optional right of price in the future. This paper aims to conduct a systematic investigation of catastrophe insurance options toward a more comprehensive understanding. It reviews the market develop- ment of catastrophe options, analyzes ISO, PCS, GCCI, and CHI catastrophe insurance options, and investigates the evolutions of the above four catastrophe insurance options.

关 键 词：巨灾期权 PCS巨灾指数期权 CHI二元期权 保险风险证券化 

分 类 号：F831.5[经济管理—金融学]