我国大陆地震巨灾价差期权定价研究  

The Pricing of Spread Options of Chinese Mainland Earthquake Catastrophe

作　　者：胡炳志[1] 吴亚玲[1] 

机构地区：[1]武汉大学经济与管理学院,湖北武汉430072

出　　处：《保险研究》2013年第12期14-22,共9页Insurance Studies

摘　　要：本文借鉴国内外相关研究结论，运用泊松分布对中国大陆地震发生频率进行拟合，并对其进行χ2检验，进一步构建模型对中国大陆地震巨灾价差期权进行蒙特卡罗模拟定价，对中国大陆地震价差期权价格的影响因素进行了实证检验，最后提出了推动中国大陆地震巨灾期权发展的建议。Based on the research conclusions from home and abroad,the Poisson distribution was used to fit the fre- quency of earthquakes in China,and its inspection was carried out;then a simulation model was built to simulate the pricing of spread options of Chinese mainland earthquake catastrophe with Monte Carlo simulation, and the influencing factors of the spread options in Chinese mainland earthquake catastrophe were empirically validated. Finally, the pro- posals on promoting the development of earthquake catastrophe options in Chinese mainland were put forward.

关 键 词：巨灾期权 蒙特卡罗模拟 定价 

分 类 号：F840.64[经济管理—保险]