债务结构、违约点宽容和贷款保险定价的改进  

Debt Structure,Forbearance of Default Point and Improvement of Loan Insurance Pricing

作　　者：史本山[1] 张耀杰[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》2016年第4期38-46,共9页Insurance Studies

基　　金：国家社会科学基金项目"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：为了得到更公平合理的贷款保险定价,考虑借款人的违约点、债务结构及其清偿顺序以改进传统的期权定价模型,使其符合实际的应用。研究结果发现,借款人的债务结构对贷款保险的费率有显著影响,第一类债务的比重越大,贷款保险的费率越高,而违约点越"宽容",即比重越小,保险费率反而越低。此外,传统的期权定价模型会低估贷款保险的费率。最后,通过贷款保险定价的实例研究,发现贷款保险业务具有较大的利润空间。In order to fairly price loan insurance,this paper considered the borrower＇s default point, debt structure and liquidation order to improve the traditional option pricing model so as to meet the practical application. The study demonstrated that the effect of the borrower＇s debt structure on loan insurance rate was significant. The larger the proportion of first class debt, the higher the loan insurance premium, while the smaller the default point, the lower the loan insurance premium. Besides, traditional option pricing model underestimated loan insurance premium. Finally, this paper made an empirical research on the loan insurance pricing, and found that credit insurance had a large profit margin.

关 键 词：贷款保险 期权定价 违约点 债务结构 清偿顺序 

分 类 号：F840.69[经济管理—保险]