發(fā)布時間：2018-02-01 12:58

  本文關(guān)鍵詞： 巨災(zāi)債券 保險業(yè) 巨災(zāi)債券定價 道德風(fēng)險　出處：《武漢理工大學(xué)》2012年博士論文　論文類型：學(xué)位論文

【摘要】：20世紀(jì)90年代以來,全球范圍內(nèi)巨災(zāi)事件的頻繁發(fā)生帶給世界人民巨大的恐懼,而傳統(tǒng)的保險市場對巨災(zāi)風(fēng)險又無法起到分散作用,因此探討如何利用資本市場來分散巨災(zāi)風(fēng)險具有現(xiàn)實意義。在諸多的保險證券化產(chǎn)品中發(fā)展最迅速的是巨災(zāi)債券,它的產(chǎn)生和引入既解決了保險市場存在的承保能力不足又活躍了資本市場,然而巨災(zāi)債券的成功應(yīng)用主要在西方發(fā)達國家,我國一直處于理論分析探討階段,為了促進我國巨災(zāi)債券的應(yīng)用,本文考察了巨災(zāi)債券的運行特征,分析了發(fā)行主體間的博弈過程,設(shè)計了巨災(zāi)債券定價模型,比較了各國巨災(zāi)債券發(fā)展的特點,在總結(jié)我國保險業(yè)發(fā)展巨災(zāi)債券的必要性與可行性的基礎(chǔ)上,設(shè)計了中國保險業(yè)巨災(zāi)債券方案和地震巨災(zāi)債券定價模型。 本文共有十章。除第一章的導(dǎo)論和第十章的總結(jié)與研究展望外,第二章至九章是全文的重點。第二章是全文的理論基礎(chǔ),第三章通過對巨災(zāi)債券特征及運行分析,對巨災(zāi)債券的發(fā)展現(xiàn)狀進行了描述,通過比較巨災(zāi)債券和再保險的優(yōu)勢和劣勢,分析了巨災(zāi)債券發(fā)行過程及參與者。第四章是巨災(zāi)債券發(fā)行主體的博弈分析,主要通過巨災(zāi)債券發(fā)行主體博弈模型的構(gòu)建,從博弈論的角度來重點剖析巨災(zāi)債券發(fā)行主體之間存在的道德風(fēng)險,對巨災(zāi)債券發(fā)行主體博弈模型進行求解,從而獲得巨災(zāi)債券發(fā)行主體的博弈結(jié)果。第五章是巨災(zāi)債券定價模型及擴展,分析比較了巨災(zāi)債券各種定價模型之間的異同,并在傳統(tǒng)的蒙特卡羅模擬定價方法中加入了道德風(fēng)險因素,產(chǎn)生了一種新的巨災(zāi)債券定價方法。第六章是巨災(zāi)債券發(fā)展案例及對中國保險業(yè)的啟示,通過對美國、日本和中國臺灣巨災(zāi)債券案例分析和比較,得出中國保險業(yè)要開辟巨災(zāi)債券市場,應(yīng)該從發(fā)展、繁榮保險市場和資本市場,建立風(fēng)險評估機構(gòu)等入手等主要啟示。第七章是中國保險業(yè)發(fā)展巨災(zāi)債券的必要性與可行性分析,由于保險業(yè)的發(fā)展迫切需要巨災(zāi)債券,也由于發(fā)展巨災(zāi)債券是豐富資本市場的有效途徑,因此中國保險業(yè)發(fā)展巨災(zāi)債券具有必要性；無論是法律還是政策方面,抑或是市場和技術(shù)方面,都為發(fā)展巨災(zāi)債券做好了準(zhǔn)備。第八章是中國保險業(yè)發(fā)展巨災(zāi)債券的方案設(shè)計。揭示了巨災(zāi)債券的應(yīng)用影響因素,提出了通過完善金融市場建設(shè)、構(gòu)建道德風(fēng)險防范體系、健全巨災(zāi)債券定價機制等對策來加強中國保險業(yè)巨災(zāi)債券的應(yīng)用。第九章是以地震巨災(zāi)債券為例設(shè)計了中國保險業(yè)巨災(zāi)債券定價模型,在構(gòu)建模型中,對樣本數(shù)據(jù)進行了選取,對損失概率和損失分布、地震債券發(fā)行量和地震債券收益率以及地震債券發(fā)行價格進行了確定,分析了地震債券定價的應(yīng)用。
[Abstract]:Since 1990s, the frequent occurrence of catastrophe events around the world has brought great fear to the people of the world, and the traditional insurance market can not play a role in dispersing the catastrophe risk. Therefore, it is of practical significance to explore how to use capital market to disperse catastrophe risk. Catastrophe bond is the most rapid development of many insurance securitization products. Its emergence and introduction not only solve the underwriting capacity of the insurance market but also activate the capital market. However, the successful application of catastrophe bonds is mainly in the western developed countries, China has been in the stage of theoretical analysis and discussion. In order to promote the application of catastrophe bonds in China, this paper investigates the operating characteristics of catastrophe bonds, analyzes the game process among the issuers, designs the pricing model of catastrophe bonds, and compares the characteristics of the development of catastrophe bonds in various countries. On the basis of summing up the necessity and feasibility of the development of catastrophe bonds in China's insurance industry, the scheme of catastrophe bonds and the pricing model of earthquake catastrophe bonds are designed. There are ten chapters in this paper. Besides the introduction of the first chapter and the summary and research prospect of the 10th chapter, the second to ninth chapters are the focus of the paper. The second chapter is the theoretical basis of the full text. The third chapter describes the development status of catastrophe bonds by analyzing the characteristics and operation of catastrophe bonds and compares the advantages and disadvantages of catastrophe bonds and reinsurance. Chapter 4th is the game analysis of catastrophe bond issuer, mainly through the construction of the game model of catastrophe bond issuer. From the point of view of game theory, this paper analyzes the moral hazard existing between catastrophe bond issuers, and solves the game model of catastrophe bond issuer. Chapter 5th is the pricing model and extension of catastrophe bond, and analyzes and compares the similarities and differences between various pricing models of catastrophe bond. And in the traditional Monte Carlo simulation pricing method to add moral hazard factors, resulting in a new catastrophe bond pricing method. Chapter 6th is catastrophe bond development cases and the inspiration to the Chinese insurance industry. Through the case analysis and comparison of catastrophe bonds of the United States, Japan and Taiwan, it is concluded that the insurance industry of China should develop and prosper the insurance market and capital market in order to open up the catastrophe bond market. Chapter 7th is the necessity and feasibility analysis of the development of catastrophe bonds in China's insurance industry, because the development of insurance industry is in urgent need of catastrophe bonds. Because the development of catastrophe bonds is an effective way to enrich the capital market, it is necessary for China's insurance industry to develop catastrophe bonds. Whether in law or policy, or in markets and technology. Chapter 8th is the scheme design of catastrophe bond development of China insurance industry. It reveals the influencing factors of the application of catastrophe bond and puts forward the improvement of financial market construction. In order to strengthen the application of catastrophe bond in China, the author designs the pricing model of catastrophe bond in China by taking earthquake catastrophe bond as an example. In the model, the sample data are selected, the loss probability and loss distribution, the amount of earthquake bond issuance and the yield of earthquake bond and the price of earthquake bond issuance are determined. The application of seismic bond pricing is analyzed.
【學(xué)位授予單位】：武漢理工大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2012
【分類號】：F842;F831.51

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