本文關(guān)鍵詞： 巨災(zāi)風險 精算等價 巨災(zāi)基金價值 巨災(zāi)債券　出處：《鄭州大學》2017年碩士論文　論文類型：學位論文

【摘要】：近年來,由于我國農(nóng)業(yè)巨災(zāi)風險發(fā)生模式、進展模式、損失程度及其不確定性都發(fā)生了不同程度的變化,部分區(qū)域已經(jīng)從維持基本的農(nóng)業(yè)種植險的需求向更高更次的改變,即逐漸偏向于對農(nóng)業(yè)巨災(zāi)保險產(chǎn)品的需求。不同種植規(guī)模區(qū)域的農(nóng)戶對農(nóng)業(yè)保險的需求傾向也逐漸發(fā)生了偏離,在傳統(tǒng)的農(nóng)業(yè)保險市場,在不同的地理位置、不同的農(nóng)業(yè)種植規(guī)模和不同的自然環(huán)境條件下,對農(nóng)業(yè)保險的需求都是一致的,根本沒有實現(xiàn)農(nóng)業(yè)風險(一般風險和農(nóng)業(yè)巨災(zāi)風險)的精細化管理,因此,分析應(yīng)對農(nóng)業(yè)巨災(zāi)風險的運行機制非常必要。本文研究的核心內(nèi)容分為兩個部分:一部分是建立了我國農(nóng)業(yè)巨災(zāi)風險應(yīng)對機制的觸發(fā)條件(基于持續(xù)發(fā)行巨災(zāi)債券的巨災(zāi)基金價值到達0)。在保險人承保后,會發(fā)生定期的與不定期的收入與支出:一方面保險人定期將從農(nóng)戶收到均衡純保費;另一方面保險人會產(chǎn)生不定期的理賠支出。這樣,形成一個具有盈余性質(zhì)的巨災(zāi)基金價值過程。但是農(nóng)業(yè)巨災(zāi)的損失額巨大,使巨災(zāi)基金價值不斷下降,會在短期內(nèi)碰撞0。本文基于農(nóng)業(yè)巨災(zāi)債券的視角,研究了農(nóng)業(yè)巨災(zāi)債券機制的運行過程。這樣,將發(fā)行巨災(zāi)債券獲得的資金加入到巨災(zāi)基金中,會使巨災(zāi)基金價值不斷發(fā)生跳躍,從而避免了巨災(zāi)基金價值快速到達0的情況出現(xiàn)。由于在農(nóng)業(yè)巨災(zāi)債券機制運行的過程中,巨災(zāi)債券的合理定價是整個系統(tǒng)非常重要的環(huán)節(jié),因此,對巨災(zāi)債券的定價作為了本文第二個主要研究內(nèi)容。通過本文的理論與實證研究,發(fā)現(xiàn)在不同的風險模式下農(nóng)業(yè)巨災(zāi)債券運行機制失效的概率和發(fā)行巨災(zāi)債券募集資金額是不同的。在精算等價原則的基礎(chǔ)上,對巨災(zāi)債券進行精確定價,進而判定在使運行機制持續(xù)有效的最優(yōu)假設(shè)下初始應(yīng)發(fā)行巨災(zāi)債券的額度和各個敏感時點應(yīng)發(fā)行巨災(zāi)債券的額度。只要在各個敏感時刻持續(xù)發(fā)債,農(nóng)業(yè)巨災(zāi)債券的運行機制就可以無限時間地運行下去;在其他條件相同的情況下,基于概率和資金時間價值的巨災(zāi)債券的價格低于普通債券的價格;并且在特定情況下,我國農(nóng)業(yè)巨災(zāi)債券的機制運行失效的概率只與保險人對投保人收取的安全附加保費相關(guān)。
[Abstract]:In recent years, due to the occurrence mode of agricultural catastrophe risk, progress model, loss degree and uncertainty have changed in varying degrees. Parts of the region have shifted from the need to maintain basic agricultural insurance to higher and lower levels. That is to say, the demand for agricultural catastrophe insurance products has gradually deviated from the demand for agricultural insurance in different planting scale areas, in the traditional agricultural insurance market, in different geographical locations. Under different agricultural planting scale and different natural environment, the demand for agricultural insurance is the same, and there is no fine management of agricultural risk (general risk and agricultural catastrophe risk). It is very necessary to analyze the operation mechanism of agricultural catastrophe risk. The core content of this paper is divided into two parts: the first part is to establish the trigger conditions of agricultural catastrophe risk response mechanism in China (. The value of the catastrophe fund based on the continuous issuance of catastrophe bonds reaches zero. After the insurer underwriting. There will be periodic and irregular income and expenditure: on the one hand, the insurer will receive a balanced net premium from farmers on a regular basis; On the other hand, the insurer will produce occasional claim expenses. In this way, it will form a surplus nature of catastrophe fund value process. However, the amount of agricultural catastrophe losses is huge, which makes the value of catastrophe fund continue to decline. Based on the perspective of agricultural catastrophe bonds, this paper studies the operating process of agricultural catastrophe bond mechanism. In this way, the capital obtained by issuing catastrophe bonds is added to the catastrophe fund. It will make the value of catastrophe fund jump constantly, thus avoiding the situation that the value of catastrophe fund can reach 0 quickly, because of the operation of agricultural catastrophe bond mechanism. The reasonable pricing of catastrophe bonds is a very important part of the whole system. Therefore, the pricing of catastrophe bonds is the second main research content of this paper. It is found that the probability of failure of agricultural catastrophe bonds under different risk modes and the amount of capital raised by issuing catastrophe bonds are different. On the basis of the principle of actuarial equivalence, the accurate pricing of catastrophe bonds is carried out. Furthermore, the initial amount of catastrophe bonds and the amount of catastrophe bonds should be issued at each sensitive time point under the optimal assumption that the operation mechanism is continuously effective, as long as the bonds are issued continuously at each sensitive time. The operation mechanism of agricultural catastrophe bond can run indefinitely; Under other conditions, the price of catastrophe bonds based on probability and the time value of funds is lower than that of ordinary bonds; And under certain circumstances, the probability of failure of the mechanism of agricultural catastrophe bonds in China is only related to the additional premium charged by the insurer to the insured.
【學位授予單位】：鄭州大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.51
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本文編號：1458048