POT模型在风暴潮债券中的应用.pdfVIP

论 文 摘 要 我国是巨灾频发的国家，每年因自然灾害所遭受的损失达数千亿元，而保险的保障 和补偿作用却相形见绌，保险业面临严峻的挑战。保险风险证券化作为近年来国际风险 管理领域的重要创新工具，把保险市场和资本市场有机结合在一起，承保风险可以在更 广阔的资本市场上进行分散，保险市场承保能力大大增强，从而对传统保险风险管理进 行补充和替代。巨灾债券是最成功的巨灾风险证券化产品。 极值统计学主要研究随机事件极端情况的统计规律性，近年来在金融领域应用更加 广泛。 本文以风暴潮灾害为研究背景，在运用金融学、保险学、精算学的基本原理对巨灾 债券这一创新工具进行系统分析的基础上，对我国发行风暴潮巨灾债券的可行性和必要 性进行深入的研究；详细介绍了极值统计中的POT模型，并运用POT模型对历年风暴潮 巨灾损失数据进行统计分析，初步拟合出风暴潮巨灾损失分布；最后结合金融学、精算 学相关知识构建了一个简单的风暴潮巨灾债券。 关键词： 巨灾风险证券化，POT 模型，风暴潮巨灾债券 ABSTRACT ABSTRACT AABBSSTTRRAACCTT As a catastrophe-prone country, China suffers a loss estimated to hundreds of billion dollars every year caused by natural disasters. Such a great loss has definitely dwarfed the security and compensation functions of the current insurance system, which poses severe challenge to the entire insurance industry in China. As an important and innovative tool recently appearing in the international risk management area, insurance risk securitization systematically combines the insurance industry and capital market together and effectively supplements or replaces the traditional insurance risk management by greatly dispersing the insurance risk in a broader capital market and dramatically increasing the capability of insurance industry. Catastrophe bond is the most successful product of catastrophe risk securitization. Statistics of extremes, a discipline which mainly studies the statistical regularity of the random events with respect to extreme cases, has increasingly widespread application in the recent financial area. In this paper, the author will probe into the feasibility and necessity of issuing storm surge catastrophe bonds in China based on a systematical analysis of such a