本文選題：巨災(zāi)風(fēng)險(xiǎn)　切入點(diǎn)：風(fēng)險(xiǎn)證券化　出處：《湖南大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：我國(guó)洪水災(zāi)害每年造成的損失數(shù)額巨大,對(duì)我國(guó)經(jīng)濟(jì)的發(fā)展造成了嚴(yán)重的負(fù)面影響,有些年份的洪災(zāi)損失甚至占到了國(guó)民生產(chǎn)總值的1%。在我國(guó)引入洪災(zāi)保險(xiǎn)債券,可以將洪災(zāi)風(fēng)險(xiǎn)轉(zhuǎn)移到實(shí)力雄厚的資本市場(chǎng),提高我國(guó)保險(xiǎn)行業(yè)的承保能力,擴(kuò)大經(jīng)營(yíng)業(yè)務(wù)；還可以緩解政府財(cái)政壓力,豐富資本市場(chǎng)投資結(jié)構(gòu),促進(jìn)資本市場(chǎng)多元化發(fā)展。從這些角度來(lái)看,把洪水保險(xiǎn)債券引入我國(guó)是十分必要的。 本文借鑒國(guó)外巨災(zāi)風(fēng)險(xiǎn)債券化方法與運(yùn)作模式,把洪災(zāi)保險(xiǎn)債券發(fā)行的各個(gè)要素作為研究對(duì)象。首先從保險(xiǎn)市場(chǎng)、資本市場(chǎng)和國(guó)家財(cái)政等角度分析了我國(guó)引入洪災(zāi)保險(xiǎn)債券的必要性和可行性。然后探討了洪災(zāi)保險(xiǎn)債券的運(yùn)作模式。最后結(jié)合當(dāng)下現(xiàn)狀從技術(shù)層面、制度層面和市場(chǎng)環(huán)境層面分析了我國(guó)發(fā)行洪災(zāi)保險(xiǎn)債券的制約因素 本文選取了1985—2011年我國(guó)洪水災(zāi)害直接經(jīng)濟(jì)損失在1億元人民幣以上的洪水損失數(shù)據(jù)做為隨機(jī)變量的樣本數(shù)據(jù),并對(duì)洪水損失金額和次數(shù)進(jìn)行擬合,建立我國(guó)洪水災(zāi)害損失分布函數(shù)以及發(fā)生次數(shù)分布函數(shù),并采用蒙特卡洛方法來(lái)模擬出不同觸發(fā)點(diǎn)所對(duì)應(yīng)概率的仿真數(shù)據(jù),選取(600,0.1805),(900,0.0888)(2700,0.0101)三個(gè)點(diǎn)分別作為本金保證型洪災(zāi)保險(xiǎn)債券、本金50%保證型洪災(zāi)保險(xiǎn)債券和本金沒(méi)收型洪災(zāi)保險(xiǎn)債券的觸發(fā)點(diǎn)。最后根據(jù)巨災(zāi)債券定價(jià)原理利用資本資產(chǎn)定價(jià)模型計(jì)算得出不同類型的洪災(zāi)保險(xiǎn)債券的收益率及其價(jià)格,希望可以為以后洪災(zāi)保險(xiǎn)債券的發(fā)行和運(yùn)作提供一定的幫助。
[Abstract]:The losses caused by flood disasters in China are huge every year, which have caused a serious negative impact on the economic development of our country. In some years, flood disaster losses even accounted for 1% of the gross national product (GNP). Flood insurance bonds were introduced in our country. Flood risk can be transferred to a strong capital market, the insurance industry of our country can be increased in its underwriting capacity, and its business can be expanded. It can also alleviate the pressure on the government finances and enrich the investment structure of the capital market. From these points of view, it is necessary to introduce flood insurance bonds into China. This article draws lessons from the foreign catastrophe risk debenture method and the operation pattern, takes the flood insurance bond issue each essential factor as the research object. First, from the insurance market, This paper analyzes the necessity and feasibility of introducing flood insurance bonds in China from the perspectives of capital market and national finance, and then discusses the operation mode of flood insurance bonds. This paper analyzes the restrictive factors of issuing flood insurance bonds in China at the level of institution and market environment. In this paper, the flood loss data with direct economic loss of RMB 100 million yuan from 1985 to 2011 are selected as the sample data of random variables, and the amount and times of flood losses are fitted. The loss distribution function and the frequency distribution function of flood disaster in China are established. The Monte Carlo method is used to simulate the simulation data of the corresponding probability of different trigger points, and three points are selected as principal guaranteed flood insurance bonds. The trigger point of 50% principal guaranteed flood insurance bond and principal forfeited flood insurance bond. Finally, according to the pricing principle of catastrophe bond, the yield and price of different types of flood insurance bond are calculated by using capital asset pricing model. I hope to provide some help for the future issue and operation of flood insurance bonds.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F842.6;F224

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