基于连续时间动态模型的巨灾债券无差异定价研究  

Indifference Pricing of Catastrophe Bonds Based on Continuous Time Dynamic Model

作　　者：巢文 Chao Wen(School of Management Fujian University of Technology,Fuzhou Fujian 350118,China)

机构地区：[1]福建工程学院管理学院,福建福州350118

出　　处：《北京化工大学学报（社会科学版）》2022年第1期17-21,共5页Journal of Beijing University of Chemical Technology(Social Sciences Edition)

基　　金：福建省哲学社会科学规划项目“乡村振兴战略背景下福建台风巨灾保险基金城乡一体化创新研究”(FJ2021C084);福建省哲学社会科学规划项目“两岸经济融合背景下两岸汇率定价及其挂牌交易路径研究”(FJ2019C054);福建省教育厅中青年教师教育科研项目“标准差保费原理下的地震再保险定价研究”(JAS19199)。

摘　　要：传统保险市场难以承受巨灾的赔付压力,而通过资本市场发行巨灾债券能够很好地分散巨灾风险。基于连续时间动态模型,在期末财富指数效用的期望值最大化目标下,利用随机控制原理获得了不投资巨灾债券情况下的买方(投资者)连续时间最优投资策略。在金融市场与巨灾风险独立的假设下,根据无差异定价基本原则,给出了具有特定支付结构的巨灾债券无差异价格的显式解。对所得无差异价格进行实例计算和主要参数的敏感度分析,验证了文章所采用模型的合理性和有效性。The traditional insurance market cannot withstand the pressure of catastrophe compensation,while the issuance of catastrophe bonds through the capital market can well disperse catastrophe risks.Based on the continuous-time dynamic model,and with the goal of maximizing the utility of the wealth index at the end of the period,the article first uses the principle of stochastic control to obtain the buyer’s(investor)optimal investment strategy without investing in catastrophe bonds.Then,under the assumption that the financial market is independent of catastrophe risk,and based on the basic principle of indifference pricing,we obtain an explicit solution for the indifference price of catastrophe bonds with a specific payment structure.Finally,an example calculation and sensitivity analysis of the main parameters are carried out on the obtained indifferent prices to verify the rationality of the pricing model in this paper.

关 键 词：巨灾债券 无差异定价 指数效用函数 随机控制 最优投资 

分 类 号：F842.64[经济管理—保险]