风险中性下降水指数测度及其衍生品定价研究  

Study on measurement of precipitation index and derivative pricing under risk-neutral conditions

作　　者：贝泓涵 胡敬怡 杨婉玉 盖兆亿 BEI Honghan;HU Jingyi;YANG Wanyu;GAI Zhaoyi(School of Maritime Economics and Management,Dalian Maritime University,Dalian 116026,China;School of Management,Shanghai University,Shanghai 200444,China)

机构地区：[1]大连海事大学航运经济与管理学院,大连116026 [2]上海大学管理学院,上海200444

出　　处：《系统工程理论与实践》2024年第12期3811-3828,共18页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金青年科学基金(72303024);中央高校基本科研业务费专项资金(3132024274);交通运输部2022年交通运输行业重点科技项目(2022-MS3-102)。

摘　　要：随着气候变化加剧和极端降水天气事件频发,如何有效降低降水不确定性带来的风险损失成为我国经济社会发展亟待解决的难题.本文构建了“马尔可夫-耿贝尔”降水指数测度理论模型,结合风险中性理论提出降水指数衍生品定价方法,并利用我国河南省郑州市、江苏省徐州市等地区的日度降水数据对模型进行验证分析.结果表明,本文提出的降水指数测度方法在灵活度、季节特性捕捉等方面具有明显优势;基于风险中性的降水衍生品定价模型,可以通过风险中性处理机制得到更加集中和稳定的定价结果,显著提升定价精确度.本文研究成果不仅为降水指数测度及其衍生品的应用提供了新思路,而且为有效对冲降水不确定性风险提供了理论和实践指导.With the escalating impact of climate change leading to more frequent extreme precipitation events,effectively mitigating the risks and economic losses associated with this uncertainty is increasingly critical.This paper introduces a novel“Markov-Gumbel”theoretical model to measure precipitation index,which,in conjunction with risk-neutral theory,forms the basis for a new pricing model for precipitation index derivatives.We apply this model using daily precipitation data from regions such as Zhengzhou City in Henan Province and Xuzhou City in Jiangsu Province,China,to validate and analyze its efficacy.Research indicates that this new method for measuring the precipitation index offers enhanced flexibility and better captures seasonal variations.Moreover,the proposed pricing model for precipitation derivatives,grounded in risk-neutral valuation methods, results in more focused and stable pricing outcomes, significantlyimproving pricing accuracy. The findings of this research not only provide an innovativeframework for the measurement and application of precipitation index derivatives but also offervaluable theoretical and practical insights for effectively hedging against risks associated withprecipitation uncertainty.

关 键 词：天气衍生品 降水指数衍生品 风险中性定价 降水测度模型 

分 类 号：F830.9[经济管理—金融学]