复合触发机制下地震巨灾债券定价研究——考虑风险反馈的影响
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摘要
本文基于均衡定价理论,利用CIR随机利率模型模拟无风险利率的变化情况,使用Copula函数建立复合触发机制下的联合分布函数,计算得出1~5年期的地震巨灾债券的价格。研究表明:风险触发反馈条件越严格,有效期越短,则风险暴露的程度越低,巨灾债券的价格就会越高;风险补偿能够提高巨灾债券的价格,使巨灾债券满足不同投资人的需求。相应的政策建议为确定相应的风险指数以有利于债券定价、发行多种类型的巨灾债券等。
In this paper,equilibrium pricing model was used as the pricing method,and the CIR stochastic interest rate model was used to simulate the change of the risk-free interest rate. The Paper applied Copula function to establish the joint distribution function under the hybrid trigger mechanism and compute the price of the earthquake CAT bonds during one to five years. It drew the following conclusions: the stricter the condition of the risk trigger,the shorter the bond period,the lower the degree of risk exposure,and the higher the price of the catastrophe bond; the risk compensation raised the price of the CAT bond so that the CAT bond could satisfy different investor needs and so on. Finally,the paper made policy recommendations that the government should determine the risk parameter to lay a good foundation for bond pricing and issuance of different types of CAT Bonds.
In this paper,equilibrium pricing model was used as the pricing method,and the CIR stochastic interest rate model was used to simulate the change of the risk-free interest rate. The Paper applied Copula function to establish the joint distribution function under the hybrid trigger mechanism and compute the price of the earthquake CAT bonds during one to five years. It drew the following conclusions: the stricter the condition of the risk trigger,the shorter the bond period,the lower the degree of risk exposure,and the higher the price of the catastrophe bond; the risk compensation raised the price of the CAT bond so that the CAT bond could satisfy different investor needs and so on. Finally,the paper made policy recommendations that the government should determine the risk parameter to lay a good foundation for bond pricing and issuance of different types of CAT Bonds.
引文
[1]康晗彬,邢天才.考虑多风险因素的我国巨灾债券定价研究[J].保险研究,2013,(08):94-106.
[2]李永,范蓓,刘鹃.多事件触发巨灾债券设计与定价研究:以中国台风债券为例[J].中国软科学,2012,(03):41-48.
[3]李永,胡帅,范蓓.跨期多事件触发巨灾债券定价模拟分析[J].数理统计与管理,2013,(06):1132-1140
[4]李永,范蓓,刘鹃.多事件触发巨灾债券定价机理与比较分析[J].预测,2014,(02):66-70
[5]田玲.巨灾风险债券运作模式与定价机理研究[M].武汉大学出版社,2009.
[6]邢天才,康晗彬.巨灾债券定价参数敏感性分析——以我国洪水灾害为例[J].财经问题研究,2014,(05):59-64.
[7]杨帆,周明.中国巨灾债券定价策略与期限结构研究——以地震债券为例[J].金融经济学研究,2016,(03):118-128.
[8]展凯,林石楷,黄伟群.农业巨灾风险债券化——基于POT模型的实证分析[J].南方金融,2016,(05):85-94.
[9]朱孟骅.基于Wang双因素变换的我国地震债券定价研究[J].经济研究参考,2010,(38):58-64.
[11]卓志,王伟哲.巨灾风险厚尾分布:POT模型及其应用[J].保险研究,2011,(08):13-19.
[12]卓志,吴婷.中国地震巨灾保险制度的模式选择与设计[J].中国软科学,2011,(01):17-24
[13]Braun A.Determinants of the cat bond spread at issuance[J].Zeitschrift Für Die Gesamte Versicherungswissenschaft,2012,101(5):721-736.
[14]Baryshnikov,Y.,Mayo,A.,Taylor,D.R.Pricing of CAT Bonds[M].2001.
[15]Christofides,S.Pricing of Catastrophe Linked Securities[EB].Astin Bulletin,2004.
[16]Cox J,Ingersoll J,Ross S.A Theory of the Term Structure of Interest Rates[J].Econometrica,1985,53(2):385-407.
[17]Cox S H,Pedersen H W.Catastrophe Risk Bonds[J].North American Actuarial Journal,2000,4(4):56-82.
[18]Genest C,Rémillard B.Validity of the parametric bootstrap for goodness-of-fit testing in semiparametric models[J].Social Science Electronic Publishing,2008,44(2008):1096-1127.
[19]Kojadinovic I,Yan J.Comparison of three semiparametric methods for estimating dependence parameters in copula models[J].Insurance Mathematics&Economics,2010,47(1):52-63.
[20]Sklar A.Random variables,joint distribution functions,and copulas[J].Kybernetika-Praha,1973,9(6):449-460.
[21]Wang S S.Cat bond pricing using probability transforms[A].Geneva Association.Insurance and State of the Art in the Cat Bond Pricing[C]Working Paper Series(No.278),2004.11.
[22]Zimbidis,Alexandros A,Nickolaos E,et al.Modeling Earthquake Risk via Extreme Value Theory and Pricing the Respective Catastrophe Bonds[J].Astin Bulletin,2007,37(1):163-184.
(1)数据来源于2000~2015年各年的《中国大陆地震灾害损失述评》。
(1)田玲著《巨灾风险债券运作模式与定价机理研究》,武汉大学出版社,2009年,第92-94页
[2]李永,范蓓,刘鹃.多事件触发巨灾债券设计与定价研究:以中国台风债券为例[J].中国软科学,2012,(03):41-48.
[3]李永,胡帅,范蓓.跨期多事件触发巨灾债券定价模拟分析[J].数理统计与管理,2013,(06):1132-1140
[4]李永,范蓓,刘鹃.多事件触发巨灾债券定价机理与比较分析[J].预测,2014,(02):66-70
[5]田玲.巨灾风险债券运作模式与定价机理研究[M].武汉大学出版社,2009.
[6]邢天才,康晗彬.巨灾债券定价参数敏感性分析——以我国洪水灾害为例[J].财经问题研究,2014,(05):59-64.
[7]杨帆,周明.中国巨灾债券定价策略与期限结构研究——以地震债券为例[J].金融经济学研究,2016,(03):118-128.
[8]展凯,林石楷,黄伟群.农业巨灾风险债券化——基于POT模型的实证分析[J].南方金融,2016,(05):85-94.
[9]朱孟骅.基于Wang双因素变换的我国地震债券定价研究[J].经济研究参考,2010,(38):58-64.
[11]卓志,王伟哲.巨灾风险厚尾分布:POT模型及其应用[J].保险研究,2011,(08):13-19.
[12]卓志,吴婷.中国地震巨灾保险制度的模式选择与设计[J].中国软科学,2011,(01):17-24
[13]Braun A.Determinants of the cat bond spread at issuance[J].Zeitschrift Für Die Gesamte Versicherungswissenschaft,2012,101(5):721-736.
[14]Baryshnikov,Y.,Mayo,A.,Taylor,D.R.Pricing of CAT Bonds[M].2001.
[15]Christofides,S.Pricing of Catastrophe Linked Securities[EB].Astin Bulletin,2004.
[16]Cox J,Ingersoll J,Ross S.A Theory of the Term Structure of Interest Rates[J].Econometrica,1985,53(2):385-407.
[17]Cox S H,Pedersen H W.Catastrophe Risk Bonds[J].North American Actuarial Journal,2000,4(4):56-82.
[18]Genest C,Rémillard B.Validity of the parametric bootstrap for goodness-of-fit testing in semiparametric models[J].Social Science Electronic Publishing,2008,44(2008):1096-1127.
[19]Kojadinovic I,Yan J.Comparison of three semiparametric methods for estimating dependence parameters in copula models[J].Insurance Mathematics&Economics,2010,47(1):52-63.
[20]Sklar A.Random variables,joint distribution functions,and copulas[J].Kybernetika-Praha,1973,9(6):449-460.
[21]Wang S S.Cat bond pricing using probability transforms[A].Geneva Association.Insurance and State of the Art in the Cat Bond Pricing[C]Working Paper Series(No.278),2004.11.
[22]Zimbidis,Alexandros A,Nickolaos E,et al.Modeling Earthquake Risk via Extreme Value Theory and Pricing the Respective Catastrophe Bonds[J].Astin Bulletin,2007,37(1):163-184.
(1)数据来源于2000~2015年各年的《中国大陆地震灾害损失述评》。
(1)田玲著《巨灾风险债券运作模式与定价机理研究》,武汉大学出版社,2009年,第92-94页