模糊性厌恶和巨灾风险定价研究  

Ambiguity Aversion and Catastrophe Risk Pricing

作　　者：朱文革[1] 

机构地区：[1]上海财经大学金融学院,上海200433

出　　处：《保险研究》2016年第10期63-70,共8页Insurance Studies

摘　　要：针对巨灾事故发生频率较小,样本数据缺乏,相应的风险评估比较困难的特点,以及由此导致的巨灾风险市场参与者模糊性厌恶的情况,本文在Hansen和Sargent引入的稳健控制理论的框架下,建立了保险风险的修正均衡模型,由此得到了巨灾产品的定价公式并用巨灾债券的实证数据给出了统计估计和稳健性检验。最后将本文得到的公式和国际上流行的其它几种巨灾风险定价公式进行了比较研究。Due to the low frequency of catastrophe events, the lack of sample data, and as a result, the difficulty in evaluating corresponding risks, there exists anambiguity aversion among catastrophe risk market participants. This paper established a modified equilibrium model under the robust control framework introduced by Hansen and Sar- gent. It derived the pricing formula for catastrophe products, and applied the empirical catastrophe bond statistics to arrive at the statistical estimates and test the formula＇ s sturdiness. The paper compared the formula with various other pricing models widely used in the international market.

关 键 词：模糊性厌恶 巨灾风险定价 巨灾产品 

分 类 号：F840.65[经济管理—保险]