中国农业巨灾债券定价模型与实证研究——基于安徽省棉花产量数据  

Modeling and Empirical Study on Pricing of Agricultural CAT Bonds in China: Based on Cotton Yield in Anhui Province

作　　者：李永[1] 谭明珠[1] 吴丹[1] 

机构地区：[1]同济大学经济与管理学院,上海200092

出　　处：《管理评论》2012年第9期57-63,共7页Management Review

基　　金：国家社会科学基金项目(09CJY091);教育部人文社会科学项目(07JC790064);2012年中央高校基本科研业务费专项资金项目

摘　　要：巨灾债券作为一种金融创新产品,可以有效解决保险市场巨灾风险非可保性问题,正逐步被一些国家应用于农业保险领域。本文以安徽省棉花年产量数据为样本,以该地区相对于长期平均趋势产量偏差量为损失指数,设计了一种农业巨灾债券。研究结果表明:通过样条回归与Gaussian核密度估计法,以及产量损失分布与利率风险相结合,可以初步构建中国农业巨灾债券的定价模型并付诸实践。Catastrophe （CAT） bonds,as one of financial innovation tools, can partly and effectively resolve the insurability problem caused by catastrophic risk in insurance market. So far, they have been adopted in some countries＇ agricultural insurance fields gradually. This paper designs one kind of agricultural CAT bond in China by sampling annual cotton outputs in Anhui province, and estimating loss indexes of the derivative outputs subject to the long-run average trend. The result shows that： By the combinations of spine regression and the Gaussian kernel density estimation, distribution of yield losses and interest rate risk, it is possible to fulfill a preliminary pricing model of agricuhural CAT bond and put it into practice in China.

关 键 词：农业 巨灾债券 样条回归 Gaussian核密度估计 

分 类 号：F832.51[经济管理—金融学] F326.12F224