我国巨灾保险风险证券化研究——洪涝灾害债券的初步设计  

Study on the Risk Securitization of Catastrophe Insurance in China——A Preliminary Design for Flood Bond

作　　者：施建祥[1] 陈海燕[1] 

机构地区：[1]浙江工商大学金融学院,浙江杭州310018

出　　处：《保险职业学院学报》2012年第6期5-10,共6页Journal of Insurance Professional College

摘　　要：巨灾保险风险证券化是目前国际上认可的分散巨灾风险的主要金融创新之一,鉴于中国目前巨灾证券化的起步现状,巨灾债券是最合适的发行工具。本文选取 1990 -2009 年浙闽赣三省洪涝灾害损失数据和发生次数,利用非寿险精算原理,尝试拟合洪涝灾害损失分布,并在此基础上进行洪涝巨灾债券的定价。Catastrophe securitization is an internationally accepted chief financial innovation about dispersal of catastrophe risk. Concerning about the present starting situation of catastrophe securitization in China, catastrophe bond is the most suitable issuing tool. The paper selects the flood disaster loss data and occurrence counts in Zhejiang, Fujian and Jiangxi Province between 1990 -2009, and uses the principal of Actuarial Mathematics of Non - life Insurance to fit the distribution of flood disaster loss, on the basis of which, carries out the pricing of flood catastrophe bond.

关 键 词：巨灾保险 证券化 洪涝灾害债券 

分 类 号：F840[经济管理—保险]