我国巨灾风险债券定价理论与实证研究.pdfVIP

摘要 20 世纪90 年代以来，巨灾发生频率和损失程度不断上升的趋势给世界保险业带来了 严峻挑战。面对这一挑战，西方发达国家率先进行了金融创新，将目光转移到资本实力雄 厚的资本市场，促进了巨灾风险证券化的兴起。巨灾风险债券连接了资本市场和保险市场， 它是通过资本市场转移和分散保险市场的新型替代风险的典型代表，引入巨灾风险债券可 以提高保险业的承保能力，它不仅提供了可靠的转移巨灾风险的方式和可靠的资金来源， 而且也为机构投资者提供收益高风险小的投资渠道。基于这一背景，本文在系统梳理巨灾 风险债券国内外相关研究的基础之上，阐述我巨灾风险债券的定义、属性特点、巨灾风险 证券化必然性、巨灾风险债券原理及运行模式等；继而介绍了巨灾风险债券的 CAPM 和 Cox-Pederson 均衡定价模型及其推导过程；接着本文采用计量统计的方法运用SPSS17.0、 EXCEL 等工具对我国洪水损失分布进行了随机模拟，得出我国洪水损失服从正态分布的结 论，在此基础上运用 CAPM 模型和 Cox-Pederson 均衡模型计算了我国地震债券价格并进 行了价格敏感性分析。最后，提出了我国发行巨灾风险债券的政策建议，对本文进行了总 结，说明了主要创新点、不足之处及有待进一步研究的方向。 关键字：巨灾风险债券；定价理论；实证研究 I Abstract Since the 1990s, the frequency and loss of catastrophe is rising, bringing a serious challenge to the world insurance industry. Faced with this challenge, the western developed countries take the lead on financial innovation, their attentions has turned to the capital market, promoting the rise of the securitization of catastrophe risk. Catastrophe risk bond connects the insurance and capital market, it is a typical representative of the way to transfer and disperse the new alternative risk of insurance market through capital market, its greatly enhanced the insurance industrys underwriting capacity, not only provided a reliable transfer method for catastrophe risk and a credible source of funds for compensation, but also provides an excellent investment tool with high income and low risk for institutional investors in capita market. On this background, after reading a lot of related literature, this paper illustrates the definition of catastrophe risk bond, characteristics, the inevitability of catastrophe risk securitization, the principle of catastrophe risk bond and its operational mode, etc.;