本文關(guān)鍵詞： 巨災(zāi)債券 模型擬合 擬合定價 LFC模型 Wang兩因素模型　出處：《江西財經(jīng)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：近年來,世界范圍內(nèi)巨災(zāi)的頻繁發(fā)生,造成了巨大的財產(chǎn)損失和人員傷亡。特別是21世紀以來,巨災(zāi)的年發(fā)生次數(shù)和造成的損失程度都略有增加,巨災(zāi)損失額的增加使保險行業(yè)面臨著嚴峻挑戰(zhàn)。保險公司可能因為承擔(dān)了某次意想不到的巨災(zāi)而面臨清算或者破產(chǎn),同時巨災(zāi)也導(dǎo)致被保險人遭受損失。因此,保險人為了解決其承保能力不足的窘境,迫切希望能出現(xiàn)一種新的金融衍生工具來轉(zhuǎn)移承保風(fēng)險。經(jīng)過專業(yè)人士的探索和研究,巨災(zāi)風(fēng)險債券應(yīng)運而生。 巨災(zāi)風(fēng)險債券是巨災(zāi)風(fēng)險證券化的產(chǎn)品之一,產(chǎn)品設(shè)計的主要目的是為了進行巨災(zāi)風(fēng)險的轉(zhuǎn)移,通過發(fā)行與巨災(zāi)損失相關(guān)聯(lián)的債券,把資本市場和保險市場緊密聯(lián)系起來,使得資本市場和保險市場的資金更好地相互流通。未來巨災(zāi)債券在我國內(nèi)地的發(fā)行,將會促進保險行業(yè)的蓬勃發(fā)展,并為保險業(yè)注入新的血液。 國外巨災(zāi)風(fēng)險債券的發(fā)行已經(jīng)趨于成熟,本文在國外巨災(zāi)風(fēng)險債券發(fā)行的基礎(chǔ)上,探究我國臺風(fēng)巨災(zāi)風(fēng)險債券的定價原理。 本文第一部分講述了巨災(zāi)債券的形成背景,國外巨災(zāi)債券的發(fā)行現(xiàn)狀及其分類,歸納了國外債券的發(fā)行形勢以及目前我國發(fā)行巨災(zāi)風(fēng)險債券可能遇到的難題,并展望了我國巨災(zāi)債券未來發(fā)行的可能性。 第二部分介紹了巨災(zāi)債券的基本知識和巨災(zāi)債券定價的相關(guān)模型及其原理。 第三部分為實證分析�；�1989—2012年我國內(nèi)地在臺風(fēng)巨災(zāi)中直接損失金額超過1億元的樣本數(shù)據(jù),根據(jù)樣本數(shù)據(jù)的統(tǒng)計特征,首先使用多種分布模型對臺風(fēng)樣本數(shù)據(jù)進行擬合,根據(jù)模型擬合結(jié)果進行了擬合優(yōu)度和K-S檢驗,并用MATLAB畫出擬合效果圖,通過直觀比較圖形和模型檢驗的結(jié)果,選出最優(yōu)擬合模型；然后,在介紹g-h分布的基礎(chǔ)上,使用g-h分布對樣本數(shù)據(jù)進行擬合和檢驗；最后,采用復(fù)合泊松分布擬合年臺風(fēng)損失金額,并使用平移的伽馬分布擬合復(fù)合泊松分布。 第四部分對臺風(fēng)巨災(zāi)債券進行定價研究。在前文分析的基礎(chǔ)上,設(shè)計了幾種不同期限的巨災(zāi)風(fēng)險債券,并對其進行定價分析。首先采用LFC模型對我國臺風(fēng)巨災(zāi)風(fēng)險債券定價,得出我國三年期臺風(fēng)巨災(zāi)債券的價差表；然后采用利率二項分布模型和現(xiàn)金流貼現(xiàn)模型對臺風(fēng)巨災(zāi)風(fēng)險債券進行定價分析,得出我國三年期臺風(fēng)巨災(zāi)債券的預(yù)計現(xiàn)金流和價格；最后運用Wang兩因素模型對我國一年期的臺風(fēng)巨災(zāi)債券進行定價分析,通過計算得出不同觸發(fā)點下我國一年期不同本金損失比例的臺風(fēng)巨災(zāi)證券價格,其中Wang兩因素模型中的參數(shù)λ是Wang使用美國巨災(zāi)債券數(shù)據(jù)擬合得出的。 第五部分對本文進行總結(jié),并給出了巨災(zāi)債券在我國試點發(fā)行的相關(guān)政策建議。 本文的創(chuàng)新點是在選擇了最合適的擬合分布后,通過借鑒外國的模型對我國的臺風(fēng)巨災(zāi)債券進行擬合定價,給出不同觸發(fā)點下臺風(fēng)巨災(zāi)風(fēng)險債券的價格,為我國未來發(fā)行巨災(zāi)風(fēng)險債券提供指導(dǎo)和建議。
[Abstract]:In recent years , the frequent occurrence of catastrophe in the world has caused great loss of property and casualties . Especially since the 21 st century , the number of years of catastrophe and the degree of loss have been increased slightly , and the increase of the amount of catastrophe has caused the insurance industry to face severe challenges . The insurance company may face liquidation or bankruptcy because of the unexpected catastrophe , and the catastrophe also leads to the loss of the insured . Therefore , in order to solve the problem of insufficient underwriting capacity , the insurer is eager to develop a new financial derivative instrument to transfer the underwriting risk . Catastrophe risk bonds are one of the products of catastrophe risk securitization . The main purpose of product design is to make the transfer of catastrophe risk . By issuing bonds associated with catastrophe losses , capital markets and insurance markets are closely linked , so that capital markets and insurance markets are better in circulation . In the future , the issuance of giant disaster bonds in the mainland of China will promote the development of insurance industry and inject new blood for the insurance industry . The issuance of catastrophe risk bonds in foreign countries has become mature . Based on the issuance of catastrophe risk bonds in foreign countries , this paper probes into the pricing principle of China ' s typhoon catastrophe risk bonds . The first part of this paper is about the formation background of catastrophe bonds , the present situation of foreign catastrophe bonds and their classification , sums up the issue situation of foreign debt and the problems that may be encountered in the issuance of giant disaster risk bonds in our country , and looks forward to the possibility of future issuance of China ' s catastrophe bonds . The second part introduces the basic knowledge of catastrophe bonds and the relevant models and principles of the pricing of catastrophe bonds . The third part is empirical analysis . Based on the statistical characteristics of the sample data , the best fitting model is selected based on the statistical characteristics of the sample data . Based on the model fitting results , the best fitting model is selected according to the statistical characteristics of the sample data . Finally , based on the introduction of the g - h distribution , the sample data is fitted and tested by using the g - h distribution . Finally , the composite Poisson distribution is used to fit the annual typhoon loss amount , and the distribution of the composite Poisson distribution is fitted using the translated gamma distribution . On the basis of the foregoing analysis , we have designed several kinds of catastrophe risk bonds with different periods , and then set up the price analysis of three - year typhoon catastrophe bonds in our country by using the LFC model . Finally , we use Wang two - factor model and cash flow discount model to analyze the typhoon catastrophe risk bonds . Finally , we use the Wang two - factor model to calculate the price of typhoon catastrophe securities with different principal losses in China for one year . The fifth part summarizes this article , and gives the relevant policy suggestion of catastrophe bonds in China ' s pilot issuance . This paper points out that after choosing the most suitable fit distribution , we can use foreign model to fit pricing of typhoon catastrophe bonds in our country , give the price of typhoon catastrophe risk bonds under different trigger points , and provide guidance and advice for future issuance of catastrophe risk bonds in our country .

【學(xué)位授予單位】：江西財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.51;F224

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本文編號：1545195