本文選題：天氣指數(shù)保險(xiǎn)費(fèi)率厘定 + 無差異模型�。� 參考：《西南財(cái)經(jīng)大學(xué)》2013年碩士論文

【摘要】：天氣指數(shù)保險(xiǎn)是近些年來一種新興的農(nóng)作風(fēng)險(xiǎn)管理工具,在發(fā)展中國(guó)家得到了廣泛的試點(diǎn)運(yùn)用。相比較于傳統(tǒng)農(nóng)業(yè)保險(xiǎn),天氣指數(shù)保險(xiǎn)指數(shù)化的合同結(jié)構(gòu),能夠一定程度上降低逆向選擇和道德風(fēng)險(xiǎn),利用天氣指數(shù)代替?zhèn)鹘y(tǒng)實(shí)地勘察核賠能夠大幅度降低經(jīng)營(yíng)成本,這也是天氣指數(shù)保險(xiǎn)取得階段性成功的客觀原因。但是天氣指數(shù)保險(xiǎn)發(fā)展同樣面臨困境,如基差風(fēng)險(xiǎn)、開辦成本、政策監(jiān)管等。我國(guó)在引入天氣指數(shù)保險(xiǎn)之后,相應(yīng)研究也開始逐漸增多,但是在保費(fèi)厘定的研究上尚是一片空白,在國(guó)外的相應(yīng)研究也不多。目前各試點(diǎn)地區(qū)由于產(chǎn)品內(nèi)容、形式的區(qū)別所用保費(fèi)厘定方法也有所區(qū)別。因此,本文從天氣指數(shù)保險(xiǎn)的基本概念出發(fā),理清天氣指數(shù)保險(xiǎn)發(fā)展脈絡(luò),并與其他天氣風(fēng)險(xiǎn)管理工具進(jìn)行比較。對(duì)現(xiàn)行市場(chǎng)中的產(chǎn)品做出分析對(duì)比,得出相應(yīng)特點(diǎn)、經(jīng)驗(yàn)教訓(xùn)與保險(xiǎn)費(fèi)率的構(gòu)成。再?gòu)幕径▋r(jià)方法入手,比較定價(jià)方法的優(yōu)劣與實(shí)用性,選擇合適的純保費(fèi)厘定方法,最后討論相應(yīng)的純保費(fèi)的修正方法。 本文的主要內(nèi)容如下： 第一章主要介紹了本文研究?jī)?nèi)容的選題背景以及國(guó)內(nèi)外學(xué)者該問題的研究現(xiàn)狀,隨后提出天氣指數(shù)保險(xiǎn)費(fèi)率厘定及修正方法的研究?jī)?nèi)容。 第二章,主客觀角度論述天氣指數(shù)保險(xiǎn)產(chǎn)生的原因和背景,發(fā)展階段；結(jié)合相關(guān)文獻(xiàn)給出天氣指數(shù)保險(xiǎn)的具體定義,研究天氣指數(shù)保險(xiǎn)在農(nóng)業(yè)風(fēng)險(xiǎn)管理中的作用,最后比較天氣衍生品和天氣指數(shù)保險(xiǎn)的關(guān)系。 第三章,對(duì)市場(chǎng)現(xiàn)有產(chǎn)品進(jìn)行概括性描述,選擇印度、馬拉維、墨西哥作為國(guó)外產(chǎn)品案例分析,我國(guó)則選擇浙江柑橘、安徽長(zhǎng)豐兩地的天氣指數(shù)保險(xiǎn)作為案例分析的重點(diǎn),比較這些地區(qū)產(chǎn)品合同的基本內(nèi)容、運(yùn)作模式、定價(jià)方法、費(fèi)率的基本構(gòu)成等,總結(jié)產(chǎn)品的基本特點(diǎn)、成功經(jīng)驗(yàn)與教訓(xùn),為產(chǎn)品價(jià)格厘定作好鋪墊。 第四章,分析比較精算定價(jià)法和金融衍生品定價(jià)法兩類主要的天氣指數(shù)保險(xiǎn)定價(jià)方法,最后提出和構(gòu)建無差異模型。并計(jì)算出無差異價(jià)格。無差異價(jià)格是由期望賠付和風(fēng)險(xiǎn)溢價(jià)所構(gòu)成,該價(jià)格能夠解釋保險(xiǎn)人、投保人在不同價(jià)格環(huán)境下保險(xiǎn)潛在需求。 第五章,以理賠額確定方法將天氣指數(shù)保險(xiǎn)分為第Ⅰ類和第Ⅱ類天氣指數(shù),并分別對(duì)兩類指數(shù)保險(xiǎn)進(jìn)行純保費(fèi)厘定研究。在本章結(jié)尾處運(yùn)用長(zhǎng)豐縣1979年至2008年三十年的日降雨、日最高溫度數(shù)據(jù)對(duì)長(zhǎng)豐縣水稻種植干旱高溫指數(shù)保險(xiǎn)進(jìn)行燃燒分析純保費(fèi)厘定,并與國(guó)元農(nóng)業(yè)保險(xiǎn)的實(shí)際保險(xiǎn)價(jià)格進(jìn)行對(duì)比。 第六章為純保費(fèi)的風(fēng)險(xiǎn)修正方法,主要包括風(fēng)險(xiǎn)價(jià)值法和夏普比率法,結(jié)合世界銀行商品風(fēng)險(xiǎn)管理組織在馬拉維等國(guó)的實(shí)際運(yùn)用和第五章的燃燒分析結(jié)果進(jìn)行了一個(gè)粗略的風(fēng)險(xiǎn)修正實(shí)例。 本文的主要?jiǎng)?chuàng)新之處在于：(1)本文選題角度,雖然我國(guó)已經(jīng)成功引入天氣指數(shù)保險(xiǎn),但是天氣指數(shù)保險(xiǎn)費(fèi)率厘定方法的研究卻寥寥可數(shù)；另一方面天氣指數(shù)保險(xiǎn)有著巨大的潛在需求,而市場(chǎng)供給卻是不足的,定價(jià)和費(fèi)用厘定難題是供給不足的原因之一。(3)運(yùn)用期望效用理論構(gòu)建無差異模型,并由此得出天氣指數(shù)保險(xiǎn)的無差異價(jià)格、各種價(jià)格水平下潛在需求與供給以及保險(xiǎn)交易達(dá)成的價(jià)格條件。(3)構(gòu)建了較為完整的天氣指數(shù)保險(xiǎn)保費(fèi)厘定體系,從保費(fèi)的構(gòu)成,到價(jià)格的接受能力,到純保費(fèi)厘定,再到風(fēng)險(xiǎn)溢價(jià)的確定。
[Abstract]:Weather index insurance is a new farming risk management tool in recent years, which has been widely used in developing countries. Compared to traditional agricultural insurance, the contract structure of weather index insurance index can reduce adverse selection and moral hazard to a certain extent, and use weather index to replace traditional field investigation. It is also the objective reason for the successful success of the weather index insurance. However, the development of weather index insurance also faces difficulties, such as the base difference risk, the start-up cost, the policy supervision and so on. It is still a blank, and there are not many relevant studies abroad. At present, the method of premium determination is also different from the difference of product content and form in various pilot areas. Therefore, this paper, starting from the basic concept of weather index insurance, clarifies the development context of weather index insurance and compares it with other weather risk management tools. The products in the market are analyzed and compared, the corresponding characteristics, the experience and the composition of the insurance premium are obtained. From the basic pricing method, the advantages and disadvantages of the pricing methods are compared and the proper method of the premium is selected. Finally, the revised method of the corresponding pure premium is discussed.
The main contents of this paper are as follows:
The first chapter mainly introduces the background of the topic and the research status of the scholars at home and abroad, and then puts forward the research content of the method of determining the rate of weather index insurance and revising.
The second chapter discusses the reasons and background of weather index insurance, the development stage, the specific definition of weather index insurance, the role of weather index insurance in agricultural risk management, and the final comparison of the relationship between weather derivatives and weather index insurance.
The third chapter gives a general description of the existing market products, chooses India, Malawi and Mexico as a foreign product case analysis. China chooses the Zhejiang citrus and the weather index insurance of Changfeng, Anhui as the key point of the case analysis, and compares the basic contents, operating mode, pricing methods and the basic rate of the product contracts in these areas. It summarizes the basic characteristics, successful experiences and lessons of the product, laying the groundwork for product pricing.
The fourth chapter analyzes and compares the two main weather index insurance pricing methods of the actuarial pricing method and the financial derivative pricing method. Finally, the non difference model is proposed and constructed, and the non difference price is calculated. The non difference price is composed of the expected payment and the risk premium, which can explain the insurer and the insured under the different price environment. Insurance potential demand.
In the fifth chapter, the weather index insurance is divided into class I and class II weather index by the method of determining the amount of claim, and the pure premium is determined for the two category index insurance. The daily rainfall of thirty years from 1979 to 2008 in Changfeng county is used at the end of this chapter. The combustion analysis premium is determined and compared with the actual insurance price of the national yuan agricultural insurance.
The sixth chapter is the risk correction method of pure premium, including the risk value method and the SHARP ratio method, and a rough example of the risk correction is carried out in combination with the actual application of the world bank's commodity risk management organization in Malawi and the fifth chapters of the combustion analysis.
The main innovations of this paper are as follows: (1) in this paper, although China has successfully introduced the weather index insurance, there are few studies on the method of determining the rate of the weather index insurance rate; on the other hand, the weather index insurance has a huge potential demand, but the market supply is insufficient, the pricing and cost determination is the problem. One of the reasons for the shortage. (3) using the theory of expected utility to build an indifference model, and thus the indifference price of the weather index insurance, the demand and supply of various price levels and the price conditions reached by the insurance transaction. (3) a more complete system of insurance premium of weather index is constructed, from the composition of premiums to price. The acceptance ability of the grid is determined to the pure premium and then to the determination of the risk premium.
【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】：2013
【分類號(hào)】：F840.4;F840.66

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