贷款信用保险产品定价研究.pdfVIP

摘要 随着经济全球化和金融服务现代化的推动，银保合作已成为商业银行业和保 险业混业互动、拓展市场、提高利润的重要手段。在此背景下，研究贷款信用保 险产品的定价问题无疑具有重要现实意义，该产品一方面有助于转移银行信用风 险，另一方面能够拓展和丰富保险市场产品，同时又能够缓解中小企业融资难的 现实困局。其中贷款信用保险的费率厘定是该类产品开发的核心精算问题和风险 管理技术问题。 有关贷款信用保险定价的方法主要分为三种，信用度量术模型、贷款死亡率 模型、期权定价式模型。本文是在分析各种模型在我国的适用性和可操作性的基 础上，结合KMV 模型对期权定价式模型相关的参数进行修正，建立适合我国的 贷款信用保险定价的费率厘定模型；并以中小企业板上市公司为例进行实证分析， 得出不同贷款期限的纯费率；最后对改进的期权定价模型进行评价并给出建议。 关键词：贷款信用保险，期权定价模型 ，违约点，费率厘定 vi ABSTRACT With the development of economic globalization and financial sevices ，the cooperation between the commercial bank and insurance company has become an important methods to financial mixed operation, developing the market,and increasing profits. Under this background, undoubtedly it has important practical significance to study the pricing of loan credit insurance products. They help to transfer the bank credit risk, on the other hand can expand and enrich the insurance market products, at the same time to ease the financing problems of small and medium-sized enterprises. How to determine the credit insurance premium rate is the most important actuarial problems of this products. Three methods are widely used to price the load credit insurance: measurement technique model, credit mortality model, option pricing model. Firstlly, based on the analysis of various models ’applicability and operability in our country,this article chooses the last one.Then modifying some important parameters with KMV model to get a new loan credit insurance pricing model to be suitable for our country’s situation and industry characteristics. Secondly, select a small and medium-sized enterprises board listed company as an example for the empirical analysis, and then calculate the pure rate of different loan time. Finally ,give the e