基于POT模型的地震风险评估与巨灾债券设计  

Earthquake Risk Assessment Based on POT Model and the Design of Earthquake Catastrophe Bond

作　　者：王喆 尚勤[1] 孟芊汝 Zhe Wang;Qin Shang;Qianru Meng(Faculty of Management and Economics,Dalian University of Technology,Dalian Liaoning;School of Mathematical Sciences,Dalian University of Technology,Dalian Liaoning)

机构地区：[1]大连理工大学,数学与科学学院,辽宁大连 [2]大连理工大学,管理与经济学部,辽宁大连

出　　处：《金融》2017年第4期204-217,共14页Finance

基　　金：辽宁省社会科学规划基金项目(L16BGL012);辽宁省教育厅科学研究项目(L2014024)。

摘　　要：中国巨灾风险严峻,急需构建有效的巨灾风险分散机制。本文以地震巨灾为切入点,基于极值理论中的POT模型对中国地震灾害损失进行了评估。选取经过物价调整后的1990~2015中国地震年损失数据为研究样本,利用蒙特卡洛模拟对样本数据进行扩充,有效避免了由于样本的数据量较小对结果准确性的影响。进一步,对风险进行分层,并依此设计了一种地震巨灾债券,其中综合考虑到债券发行方以及投资者的利益,为我国构建多层次地震巨灾风险保险体系的构建提供参考。China’s catastrophe risk is grim, so it is urgent to construct an effective risk mitigation mechanism. In this paper, the earthquake catastrophe is set as the starting point, and model of China’s earthquake disaster damage assessment is based on the extreme value theory of the POT. The annual loss data of the 1990~2015 earthquake in China were selected as the study sample. The Monte Carlo simulation is used to expand the sample data, which effectively avoid the effect of the small amount of data volume on the accuracy of the results. Furthermore, this paper not only stratifies the earthquake catastrophic risk but also designs a simple earthquake catastrophe bond, which provides a reference for the establishment of a multi-level earthquake catastrophic risk insurance system.

关 键 词：POT模型 地震 巨灾风险 蒙特卡洛模拟 地震巨灾债券 

分 类 号：F2[经济管理—国民经济]