基于Copula函数和王变换的巨灾死亡率债券定价研究  

Pricing catastrophe mortality bonds based on Copula function and Wang transform

作　　者：尚勤[1] 秦学志[1] 张悦玫[1] 胡友群[1] 

机构地区：[1]大连理工大学管理与经济学部,辽宁大连116024

出　　处：《大连理工大学学报》2012年第1期139-145,共7页Journal of Dalian University of Technology

基　　金：国家自然科学基金资助项目(71171032;71101015);中国博士后科学基金资助项目(20100471431);高等学校博士学科点专项科研基金资助项目(20090041110009);中央高校基本科研业务费专项资金资助项目(DUT11RW202;DUT10ZD107;DUT10RW107)

摘　　要：为提高保险公司对巨灾风险的承保能力,研发了一类与巨灾死亡率相关联的债券.采用含Poisson频率的跳-扩散过程刻画死亡率的随机波动,描述了巨灾死亡率所具有的跳跃特征.采用Gumbel Copula函数描述了不同地区死亡率的相关性,进而改进了巨灾死亡率债券触发指数的构造.最后,基于王变换构建了不完全市场中巨灾死亡率债券的定价模型,并给出了债券价值及其影响因素的Monte Carlo模拟结果.实证分析结果表明,Monte Carlo模拟10 000次预测的死亡率指数与真实值拟合优度良好,验证了计算结果的有效性和一致性.In order to enhance catastrophic risk underwriting capacity of insurance companies,a catastrophe mortality linked bond is designed.The fluctuation of the random mortality is modeled by jump-diffusion process with Poisson frequency.The random process can describe the jump features of the catastrophe mortality.The correlation of mortality in different regions is expressed by the Gumbel Copula function.The improvements above make the trigger index of the catastrophe mortality bond more reasonable.Finally,the pricing model of catastrophe mortality bond in the incomplete market is established based on Wang transform.The price of the bond and the impact degree of corresponding factors are calculated by Monte Carlo simulation.Empirical results show that mortality index predicted by 10 000 times of Monte Carlo simulation agrees well with real statistics.The result is verified to be valid and consistent.

关 键 词：跳-扩散过程 COPULA函数 死亡率指数 王变换 不完全市场 

分 类 号：F840[经济管理—保险]