基于触发机制和支付结构的巨灾债券定价研究——以我国地震灾害为例  

Study on Pricing CAT Bonds Based on Trigger Mechanism and Payment Structure——A Case of Earthquake Disaster in China

作　　者：魏龙飞 赵苑达[1] 包振华[2] WEI Longfei;ZHAO Yuanda;BAO Zhenhua(School of Finance,Dongbei University of Finance and Economics,Dalian 116025,China;School of Mathematics,Liaoning Normal University,Dalian 116029,China)

机构地区：[1]东北财经大学金融学院,辽宁大连116025 [2]辽宁师范大学数学学院,辽宁大连116029

出　　处：《财经论丛》2020年第11期53-62,共10页Collected Essays on Finance and Economics

基　　金：国家社会科学基金项目(17BJY204;20BJY262);国家自然科学基金项目(71601035);教育部人文社科基金项目(20YJA910001)。

摘　　要：基于混合和单一两类触发机制、浮动和固定两种支付结构,构建4种类型巨灾债券的定价模型,采用我国1990~2017年间的地震灾害数据,通过蒙特卡罗模拟实现对各类巨灾债券的同步定价,并对定价结果进行比较分析。研究发现,应用混合触发机制和浮动支付结构均能提高巨灾债券的价格,降低道德风险和投资风险,将二者结合能有效提高巨灾债券的投资吸引力和市场竞争力。This paper establishes four types of catastrophe(CAT)bonds based on hybrid and single trigger mechanisms,floating and fixed payment structures respectively.The results of various CAT bonds are compared to analyze the impact of the trigger mechanism and the payment structure on the pricing.The Monte Carlo simulation is used to realize the synchronous pricing of all types of CAT bonds with the application of the earthquake data in China from 1990 to 2017.The results indicate that both the hybrid trigger mechanism and the floating payment structure can increase the price of CAT bonds,reduce the moral hazard and the investment risk.The combination of them can effectively enhance the investment attractiveness and the market competitiveness of CAT bonds.

关 键 词：巨灾债券 触发机制 支付结构 

分 类 号：F840.64[经济管理—保险]