保证贷款的贷款保险定价研究  

The Loan Insurance Pricing of Guaranteed Loan

作　　者：张耀杰[1] 史本山[1] 周圣[1] 

机构地区：[1]西南交通大学经济管理学院,四川成都610031

出　　处：《保险研究》2015年第7期49-57,共9页Insurance Studies

基　　金：国家社会科学基金青年项目"巴塞尔新资本协议下中国商业银行信贷经营的市场化管理研究"(12CGL020);教育部人文社会科学基金项目"基于RAROC的商业银行贷款组合优化及市场化管理研究"(12YJA790110)

摘　　要：信贷保险的定价研究已经取得了一定的成果。但保证贷款的贷款保险定价研究尚处于空白领域。本文考虑了保证贷款的清偿顺序以及借款人和保证人的债务结构对贷款保险定价的影响,通过计算保证贷款的预期损失推导出了贷款保险定价的数值解析式。通过算例分析的研究,总结了借款人和保证人的资产相关性、波动性和收益率对保险定价的影响,并提出相关政策建议。The study on credit insurance pricing has made some progress in recent years, but there is still a gap on the pricing for guaranteed loan insurance. This paper considered the liquidation order of the guaranteed loan and the impacts of the debt structure of the borrower and the guarantor on loan insurance pricing. It derived the numerical solution of loan insurance pricing by calculating the expected loss of the guaranteed loan. After calculating some examples, this paper found the effect of the borrower and the guarantor＇ s asset correlation, volatility and yield on insurance pricing, and made some relevant policy suggestions.

关 键 词：保证贷款 保险定价 预期损失 清偿顺序 资产相关性 

分 类 号：F830[经济管理—金融学] F840