基于藤Copula-Monte Carlo方法的多事件巨灾债券触发概率模拟  

Probability Simulation of Multi-Event Triggered Catastrophe Bond Based on Vine Copula-Monte Carlo Model

作　　者：巢文 钱晓涛 CHAO Wen;QIAN Xiaotao(School of Management,Fujian University of Technology,Fuzhou 350118,China;Department of Basic Teaching and Research,Yango University,Fuzhou 350015,China)

机构地区：[1]福建工程学院管理学院,福州350118 [2]阳光学院基础教研部,福州350015

出　　处：《中央民族大学学报（自然科学版）》2023年第1期66-70,共5页Journal of Minzu University of China(Natural Sciences Edition)

基　　金：国家自然科学基金项目(11871152);福建省哲学社会科学规划项目(FJ2021C084);福建省哲学社会科学规划项目(FJ2019C054);福建省教育厅中青年教师教育科研项目(JAS19199)。

摘　　要：当前全球自然灾害频发,传统的保险业已经无法承担日益严峻的巨灾风险。巨灾债券作为一种新型的金融创新产品,可以为巨灾风险提供更有效的分散方式。文章采用藤Copula模型来刻画多巨灾损失变量间的相关关系,在此基础上,将多巨灾损失变量的条件分位数估计应用到多事件触发巨灾债券的触发值设定。结合全球洪灾数据进行实证分析,通过Monte Carlo方法模拟多事件巨灾债券的触发概率,验证了所构建模型的可行性和优越性。Nowadays,natural disasters in the world are frequent,and the traditional insurance industry has been unable to cover the increasingly serious catastrophe risk.As a new financial innovation product,catastrophe bonds can provide an effective way for hedging catastrophe risk.In this paper,we employ the vine Copula model to describe the correlation among multiple catastrophe loss variables.Based on that,the conditional quantile estimation of the multi-catastrophe loss variable is applied to set the trigger value of the multi-event triggered catastrophe bond.Combined with the global flood data for empirical analysis,the trigger probability of multi-event catastrophe bonds is simulated by Monte Carlo method to verify the feasibility and superiority of the model.

关 键 词：藤Copula模型 Monte Carlo方法 多事件触发 巨灾债券 条件分位数 

分 类 号：O211[理学—概率论与数理统计]