基于农作物生长季的干旱指数巨灾期权定价模型及其应用  

A Research on the Pricing Model of Drought Index Catastrophe Option Based on Crop Growing Season and Its Application

作　　者：许玲燕 王慧敏[2] 仇蕾[3] XU Lingyan;WANG Huimin;QIU Lei

机构地区：[1]江苏大学 [2]河海大学商学院 [3]河海大学

出　　处：《保险研究》2018年第6期66-76,共11页Insurance Studies

基　　金：国家自然科学基金重点项目(71433003):变化环境下水资源冲突管理研究;国家自然科学基金(71704066):集约经营格局下考虑共容利益的小流域农业面源污染协同治理机制研究;国家重点研发计划(2017YFC0404606):水-能源-粮食协同安全保障战略研究;江苏省自然科学基金(BK20170542):集约经营格局下江苏省小流域农业面源污染演变及协同治理机制研究;江苏大学高级人才启动项目(14JDG103):基于农民专业合作社的干旱指数巨灾期权运作机制设计与制度安排

摘　　要：旱灾风险成因复杂、损失巨大,传统的风险分散方式往往因损失测度难、信息不对称程度高造成理赔率低、交易量小等困境,以标准化、公开化的干旱指数作为标的物的干旱指数巨灾期权可较好地满足市场交易需求,对于规避农业旱灾风险、保障粮食安全和增加市场金融投资品种具有重要意义。本文阐述了基于农作物生长季的干旱指数巨灾期权内涵,考虑到农作物生长季不同生长期的需水要求和因旱损失程度不同的实际,假设干旱指数巨灾期权是一种带有障碍条款的具有多个行权日的百慕大式看涨期权,构建了三叉树定价模型,并以云南省夏玉米生长季的干旱指数巨灾期权定价过程为例,分析了期权的性质、价格对各影响要素的敏感性。基于上述实证研究结果并结合我国国情,提出了我国运行干旱指数巨灾期权的发展策略与政策建议。The risk of drought is complex arid the loss is enormous. Traditional forms of risk diversification face with the dilemma of low claim rate and small transaction volume because the loss is difficult to measure, and the information is not symmetrical. The drought index catastrophe option using the standardized and public drought index as the subject can better meet the market demand, therefore it has an important significance for mitigating agricultural drought risks, ensuring food security, and increasing related financial products. This paper elaborated on the con- notation of the drought index catastrophe option, based on the crop growth season. Considering the difference of water requirements in a crop growth season of different growth period and the different degree of loss due to droughts, the drought index catastrophe option was assumed to be a Bermuda call option with multiple exercise dates with barrier terms, and a trinomial tree pricing model was constructed. Then taking summer maize growing season in Yunnan province as an example, the paper explained its pricing process of drought index catastrophe option, analyzed the nature and sensitivity of the price to each influencing factor. Based on the above empirical research results and the actual situation of our country, the paper put forward the development strategies and policy recommendations of drought index catastrophe option in China.

关 键 词：农作物生长季 干旱指数 障碍指数 干旱指数巨灾期权 

分 类 号：F329.9[经济管理—产业经济] N949[自然科学总论—系统科学]