巨灾期权的保险精算定价探析  

Analysis of Actuarial Pricing for Catastrophe Insurance Options

作　　者：谢世清[1] 梅云云[2] 

机构地区：[1]北京大学经济学院,北京100871 [2]北京大学软件与微电子学院,北京100871

出　　处：《现代财经（天津财经大学学报）》2011年第8期101-107,共7页Modern Finance and Economics：Journal of Tianjin University of Finance and Economics

摘　　要：巨灾期权定价理论的滞后是阻碍其市场发展的重要原因之一。利用保险精算原理为巨灾期权定价具有一定优势,并可以借鉴寿险精算中的生命表技术来编制巨灾指数分布表。本文首先从保险精算的角度推导出了巨灾期权的理论定价公式;其次利用巨灾指数分布表对巨灾期权进行了保险精算实证定价;最后比较分析了巨灾指数分布表和寿险生命表。The lagging pricing models of catastrophe insurance options have hindered the market development. This paper argues that the actuarial pricing method has some advantages and proposes that the preparation of catastrophe index distribution table can learn from the life table techniques. This paper first applies the actuarial method to derive a pricing formula for PCS catastrophe insurance options; then determines the empirical actuarial prices of catastrophe insurance options through the catastrophe index distribution table; finally conducts a comparative analysis between the two tables.

关 键 词：保险风险证券化 巨灾期权 PCS巨灾指数期权 生命表 

分 类 号：F840.48[经济管理—保险]