中国地震损失分布与巨灾债券定价研究
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摘要
中国是世界上遭受地震灾害损失最严重的国家之一,需要借鉴国际巨灾债券运作经验,进一步发挥保险业分散巨灾风险和补偿经济损失的作用。利用非寿险精算技术,将损失风险与利率风险理论模型相结合,对中国地震巨灾债券定价进行实证研究。结果表明:中国地震巨灾损失服从损失次数为泊松分布、损失额度为对数正态分布的聚合损失分布,通过与BDT无风险利率期限结构模型的结合,可以初步构建地震巨灾债券的定价模型并付诸实践。
As one of the countries suffers most seriously from earthquake in the world,China needs to refer to international experience on Catastrophe (CAT) bond,and strengthens insurance industry's effects on diversifying catastrophic risk and compensating economics losses. This paper studies empirically on the pricing of China's earthquake CAT bond based on non-life accuracy approaches and the combination of losses risk and interest rate risk models. The result manifests,China's earthquake losses could be fitted as an aggregate losses distribution model subject to losses numbers for Poisson and amount for Log-normal distributions. Combining with BDT risk-free term structure of interest rate,it founds one pricing model on earthquake CAT bond and puts it into practice initially.
As one of the countries suffers most seriously from earthquake in the world,China needs to refer to international experience on Catastrophe (CAT) bond,and strengthens insurance industry's effects on diversifying catastrophic risk and compensating economics losses. This paper studies empirically on the pricing of China's earthquake CAT bond based on non-life accuracy approaches and the combination of losses risk and interest rate risk models. The result manifests,China's earthquake losses could be fitted as an aggregate losses distribution model subject to losses numbers for Poisson and amount for Log-normal distributions. Combining with BDT risk-free term structure of interest rate,it founds one pricing model on earthquake CAT bond and puts it into practice initially.
引文
韩天雄,陈建华.2003.巨灾风险证券化产品的定价问题[J].保险研究(12):31-33.
李永.2005.我国地震巨灾风险证券化的实证分析[J].华北地震科学(4):47-51.
施建详.2006.我国巨灾保险风险证券化研究:台风灾害债券的设计[J].金融研究(5):103-112.
田玲,向飞.2006.基于风险定价框架的巨灾债券定价模型比较研究[J].武汉大学学报:哲学科学版(2):168-174.
田玲,张岳.2008.巨灾风险债券定价研究的进展述评[J].武汉大学学报:哲学社会科学版(5):650-654.
王俊凤,李楠松.2008.论农业风险的弱可保性与农业保险的政策性定位[J].哈尔滨商业大学学报:社会科学版(4):77-79.
张庆洪,葛良骥.2008.厚尾稳定分布巨灾风险的集合分散效应[J].统计与决策(3):29-33.
BLACK F,DERMAN F E,TOY W.1990.A one factor model of interest rates and its application to treasury bond options[J].FinancialAnalysts Journal,46(1):33-39.
BLACK F,KARASINSKI P.1991.Bond and option pricing when short rates are lognormal[J].Journal of Financial Analysis,47(4):52-59.
BRIYS E.1997.From Genoa to Kobe:natural hazards,insurance risks and the pricing of insurance-linked bonds[M].London:LehmanBrothers International:56-60.
CHRISTOFIEDS S.2004.Pricing of catastrophe linked securities[J/OL].Astin Bulletin,www.actuaries.org/ASTIN/Colloquia/Bergen/Christofides.pdf.
COX S,FAICHIELD J,PEDERSENH.2000.Actuarial and economic aspects of securitizations of risk[J/OL].Astin Bulletin,30(1):157-193.
CUMMINS J D,GEMAN H.1995.Pricing catastrophe insurance futures and call spread:an arbitrage approach[J].Journal of Fixed In-come,4(4):46-57.
CUMMINS J D.2008.Cat bonds and other risk-linked securities:recent developments[J].Risk Management and Insurance Review,11(1):23-47.
LANE MN.1998.Price risk and ratings for insurance-linked notes:in your portfolio[R].USA:Sedgwick Lane Financial,LLC.
LANE MN.2000.Pricing risk transactions[R].USA:Sedgwick Lane Financial,LLC.
LANE MN,BECKWITHR.2007.Developing LFC return indices for insurance securitizations[R].USA:Sedgwick Lane Financial,LLC.
LEE J P,YUMT.2002.Pricing default-risky Cat bonds with moral hazard and basis risk[J].Journal of Risk and Insurance,69(1):25-44.
LEE J P,YUMT.2007.Variation of catastrophe reinsurance with catastrophe bonds[J].Insurance:Mathematics and Economics,41:264-278.
LITZENHERGER R,REYNOLD C E.1996.Assessing catastrophe reinsurance-linked securities as a newasset class[J].Journal of PortfolioManagement,23(3):76-86.
LOUBERGE H,KELLEZI E,GILLI M.1999.Using catastrophe-Linked securities to diversify insurance risk:a financial analysis of CATbonds[R].University of Geneva Working Paper,NO.22.
WANG S S.2004.Cat bond pricing using probability transforms[R].Geneva Association.Insurance and the State of the Art in CATBondPricing,Working Paper,NO.278.
李永.2005.我国地震巨灾风险证券化的实证分析[J].华北地震科学(4):47-51.
施建详.2006.我国巨灾保险风险证券化研究:台风灾害债券的设计[J].金融研究(5):103-112.
田玲,向飞.2006.基于风险定价框架的巨灾债券定价模型比较研究[J].武汉大学学报:哲学科学版(2):168-174.
田玲,张岳.2008.巨灾风险债券定价研究的进展述评[J].武汉大学学报:哲学社会科学版(5):650-654.
王俊凤,李楠松.2008.论农业风险的弱可保性与农业保险的政策性定位[J].哈尔滨商业大学学报:社会科学版(4):77-79.
张庆洪,葛良骥.2008.厚尾稳定分布巨灾风险的集合分散效应[J].统计与决策(3):29-33.
BLACK F,DERMAN F E,TOY W.1990.A one factor model of interest rates and its application to treasury bond options[J].FinancialAnalysts Journal,46(1):33-39.
BLACK F,KARASINSKI P.1991.Bond and option pricing when short rates are lognormal[J].Journal of Financial Analysis,47(4):52-59.
BRIYS E.1997.From Genoa to Kobe:natural hazards,insurance risks and the pricing of insurance-linked bonds[M].London:LehmanBrothers International:56-60.
CHRISTOFIEDS S.2004.Pricing of catastrophe linked securities[J/OL].Astin Bulletin,www.actuaries.org/ASTIN/Colloquia/Bergen/Christofides.pdf.
COX S,FAICHIELD J,PEDERSENH.2000.Actuarial and economic aspects of securitizations of risk[J/OL].Astin Bulletin,30(1):157-193.
CUMMINS J D,GEMAN H.1995.Pricing catastrophe insurance futures and call spread:an arbitrage approach[J].Journal of Fixed In-come,4(4):46-57.
CUMMINS J D.2008.Cat bonds and other risk-linked securities:recent developments[J].Risk Management and Insurance Review,11(1):23-47.
LANE MN.1998.Price risk and ratings for insurance-linked notes:in your portfolio[R].USA:Sedgwick Lane Financial,LLC.
LANE MN.2000.Pricing risk transactions[R].USA:Sedgwick Lane Financial,LLC.
LANE MN,BECKWITHR.2007.Developing LFC return indices for insurance securitizations[R].USA:Sedgwick Lane Financial,LLC.
LEE J P,YUMT.2002.Pricing default-risky Cat bonds with moral hazard and basis risk[J].Journal of Risk and Insurance,69(1):25-44.
LEE J P,YUMT.2007.Variation of catastrophe reinsurance with catastrophe bonds[J].Insurance:Mathematics and Economics,41:264-278.
LITZENHERGER R,REYNOLD C E.1996.Assessing catastrophe reinsurance-linked securities as a newasset class[J].Journal of PortfolioManagement,23(3):76-86.
LOUBERGE H,KELLEZI E,GILLI M.1999.Using catastrophe-Linked securities to diversify insurance risk:a financial analysis of CATbonds[R].University of Geneva Working Paper,NO.22.
WANG S S.2004.Cat bond pricing using probability transforms[R].Geneva Association.Insurance and the State of the Art in CATBondPricing,Working Paper,NO.278.
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