巨灾可转换债券的定价模型研究  

A Research on the Pricing Model of Convertible Catastrophe Bonds

作　　者：王力[1,2] WANG Li

机构地区：[1]中国社会科学院研究生院 [2]中国保险学会

出　　处：《保险研究》2018年第6期56-65,共10页Insurance Studies

摘　　要：国务院"新国十条"明确提出要建立巨灾保险制度。目前,我国的巨灾风险分散机制主要是以再保险为主,存在着承保能力不足的突出问题。本文提出将巨灾债券与可转债相结合,形成优势互补的创新型金融产品,研究建立了巨灾可转债定价模型。由于存在巨灾风险转移机制,发行人的风险暴露大大降低,破产违约率降低会对内含期权价格产生影响,使巨灾可转债价格不再是两部分的简单加总。定价机制包括三个环节:一是对传统的巨灾债券定价;二是计算巨灾风险转移前后的破产率;三是将破产率引入内含期权价格计算。在此基础上,提出推动巨灾可转换债券发展的政策建议。The State Council explicitly puts forward the requirement for the establishment of catastrophe insurance system in ＂Some Opinions on Accelerating the Development of Modern Insurance Service Industry＂ （ known as the Ten New State Council Opinions）. At present, China＇ s catastrophe risk dispersion mechanism mainly depends on reinsurance, and there is a prominent problem of insufficient underwriting capacity. This paper proposed an innovative financial product that combined catastrophe bonds with convertible bonds and formed complementary advantages. The pricing model of convertible catastrophe bonds was established. Because of the existence of catastrophe risk transfer mechanism, the risk exposure of the issuer was greatly reduced. The reduction of the bankruptcy default rate would affect the price of the embedded options, so that the price of the convertible catastrophe bonds was no longer the simple sum of the two parts. The pricing mechanism included three links：the pricing of the traditional catastrophe bonds, the bankruptcy rate before and after the catastrophe risk transfer, and the introduction of the insolvency rate into the calculation of the embedded option price. On this basis, we put forward policy proposals to promote the development of convertible catastrophe bonds.

关 键 词：巨灾保险证券化 可转换债券 内含看涨期权 

分 类 号：F842.6[经济管理—保险]