跨期多事件触发巨灾债券定价模拟分析  

Pricing Simulation of Inter-temporal Multi-events CAT Bonds

作　　者：李永[1] 胡帅[1] 范蓓[1] 

机构地区：[1]同济大学经济与管理学院,上海200092

出　　处：《数理统计与管理》2013年第6期1132-1140,共9页Journal of Applied Statistics and Management

基　　金：国家社会科学基金2009年项目(批准号:09CJY091);教育部人文社会科学2007年项目(批准号:07JC790064);2012年中央高校基本科研业务费专项资金项目成果

摘　　要：巨灾导致的不同类损失分布具有异质性,而单一事件触发的巨灾债券不能统筹考虑多个损失维度.本文在考虑两个不同损失维度的基础上,构建了由两个损失指标共同触发的巨灾债券定价模型,进行了产品初步设计和价格估算,并通过蒙特卡罗模拟实现了多期限定价.本文以台风损失为例,对直接经济损失、受灾面积两个损失维度进行分布拟合,借助ClaytonCopula得到联合概率分布函数对巨灾债券定价,并进行了价格动态分析.As catastrophic losses have characters of diversities and multi-dimensions, traditional catas- trophe（CAT） bonds, based on one single trigger event, could hardly meet the market demand, meanwhile, theoretical research on pricing of inter-temporal multi-event CAT bonds lags behind relatively. This paper could be the first attempt of preliminary designing and pricing research based on pricing model of the inter-temporal multi-event CAT bonds adopted by catastrophic insured property losses and disaster area as two events on typhoon in China. By using Monte Carlo simulation, we developed existing price model making it can be used in inter-temporal CAT bonds＇ pricing. In detail, by establishing representative agent pricing model, it estimates the marginal distribution of two events respectively of catastrophic data of typhoon since 1990, and combines them with Clayton Copula to fit joint probability distribution function. Finally, this work makes a dynamic analysis on pricing.

关 键 词：巨灾债券 跨期 多触发事件 蒙特卡罗模拟 

分 类 号：F840.64[经济管理—保险] O212[理学—概率论与数理统计]