本文選題：極值理論　切入點(diǎn)：巨災(zāi)風(fēng)險(xiǎn)管理　出處：《西南財(cái)經(jīng)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：20世紀(jì)90年代以來,全球的巨災(zāi)事件無論是人為災(zāi)難或者自然災(zāi)害的發(fā)生變得更加頻繁,且損失也越來越嚴(yán)重。在此背景下,災(zāi)害損失給國際保險(xiǎn)業(yè)帶來了極大的考驗(yàn)。資本市場極其強(qiáng)大,投資者也需要更多的金融產(chǎn)品來更好的分散投資組合風(fēng)險(xiǎn),并且災(zāi)難性事件的發(fā)生與資本市場是不相關(guān)的,對(duì)于保險(xiǎn)業(yè)而言,那么通過資本市場來分散巨災(zāi)風(fēng)險(xiǎn)是一種有效的方法。 本文基于巨災(zāi)風(fēng)險(xiǎn)的特點(diǎn),從極值理論角度出發(fā),在全面整理了國內(nèi)外關(guān)于巨災(zāi)風(fēng)險(xiǎn)管理以及巨災(zāi)風(fēng)險(xiǎn)產(chǎn)品定價(jià)方面的理論研究基礎(chǔ)之上,對(duì)我國地震巨災(zāi)風(fēng)險(xiǎn)管理進(jìn)行研究以及對(duì)我國地震巨災(zāi)風(fēng)險(xiǎn)定價(jià)進(jìn)行探討,然后基于極值理論模型擬合我國地震損失分布。與此同時(shí),在此基礎(chǔ)上,根據(jù)巨災(zāi)債券定價(jià)的一般原則,然后構(gòu)造了一種適用于我國國情的地震巨災(zāi)債券產(chǎn)品的定價(jià)模型。 由于我國沒有充分的巨災(zāi)風(fēng)險(xiǎn)損失的數(shù)據(jù),那么我們要用巨災(zāi)風(fēng)險(xiǎn)損失的數(shù)據(jù)得到相應(yīng)的經(jīng)驗(yàn)分布進(jìn)而為其定價(jià),這種方法到目前為止對(duì)于我國而言是不可行的。于是本文就利用極值理論的方法避開了需要大量、完整的數(shù)據(jù)得到相應(yīng)的經(jīng)驗(yàn)分布函數(shù)的問題,從而彌補(bǔ)了我國地震巨災(zāi)風(fēng)險(xiǎn)損失數(shù)據(jù)的不足。本文第三章主要內(nèi)容是利用極值理論方法對(duì)巨災(zāi)風(fēng)險(xiǎn)進(jìn)行管理以及利用極值理論對(duì)巨災(zāi)風(fēng)險(xiǎn)產(chǎn)品進(jìn)行定價(jià)研究,包括巨災(zāi)再保險(xiǎn)產(chǎn)品的定價(jià)和巨災(zāi)風(fēng)險(xiǎn)衍生品的定價(jià)。本文第四章從實(shí)證方面出發(fā),應(yīng)用極值理論方法中的POT模型來對(duì)我國從1969～2012年的地震損失超過億元人民幣的數(shù)據(jù)進(jìn)行分析,得到了地震災(zāi)害概率分布,進(jìn)而得到了地震巨災(zāi)損失分布的分位數(shù),在此基礎(chǔ)上利用二項(xiàng)式金融建模理論構(gòu)造了一個(gè)兩期地震巨災(zāi)債券。
[Abstract]:Since 1990s, catastrophes, whether man-made disasters or natural disasters, have become more frequent and their losses have become more and more serious. Disaster losses are a great test for the international insurance industry. Capital markets are extremely strong, investors need more financial products to better diversify portfolio risk, and the occurrence of catastrophic events is not related to capital markets. For insurance industry, it is an effective method to disperse catastrophe risk through capital market. Based on the characteristics of catastrophe risk, from the perspective of extreme value theory, this paper comprehensively arranges the theoretical research on catastrophe risk management and pricing of catastrophe risk products at home and abroad. This paper studies the risk management of earthquake catastrophe in China and probes into the pricing of earthquake catastrophe risk in China, and then fits the distribution of earthquake loss based on the extreme value theory model. At the same time, on this basis, According to the general principles of catastrophe bond pricing, a pricing model of earthquake catastrophe bond product is constructed, which is suitable for China's national conditions. Since our country does not have sufficient data on catastrophe risk loss, we should use the catastrophe risk loss data to obtain the corresponding empirical distribution and price it. This method is not feasible for our country so far. Therefore, the method of extreme value theory is used to avoid the problem of obtaining the corresponding empirical distribution function with a large number of complete data. In the third chapter, the main content of this paper is to use extreme value theory to manage catastrophe risk, and to use extreme value theory to study the pricing of catastrophe risk products. In chapter 4th, from the empirical point of view, the POT model of extreme value theory is used to analyze the data of the earthquake loss of more than RMB 1 billion from 1969 to 2012 in China, including the pricing of catastrophe reinsurance products and the pricing of catastrophe risk derivatives. The probability distribution of earthquake disaster is obtained and the quantile of the distribution of earthquake catastrophe loss is obtained. On the basis of this the binomial financial modeling theory is used to construct a two-period earthquake catastrophe bond.
【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：O211.4;F842.64

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本文編號(hào)：1606324