基于政府参与情形的混合巨灾债券设计与实证分析
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摘要
我国是属于自然灾害多发的国家,但由于保险市场与资本市场相对落后,目前对于巨灾的管理仍然主要依靠政府事后的财政拨款与民间捐赠。本文借鉴并改进了国内外相关研究结论,构建了由保险市场、资本市场以及政府所组成的巨灾风险分担模型。在该模型的基础上,以熵测度为准则,设计了一种有政府参与的混合巨灾债券,这种债券是传统的简单巨灾债券与数字期权的一种非线性组合。本文利用我国地震损失的数据,进行了实证分析,并证明了这种混合巨灾债券更有利于把投资者的资金吸引到巨灾风险管理中来,能够进一步完善巨灾风险的分担机制。
As one of the countries suffering seriously from natural disasters,China mainly depends on financial allocation and private donations to manage those catastrophes,since the insurance market and capital market are underdeveloped here.This paper constructed a catastrophic risk-sharing model including insurance market,capital market and government,based on findings of relevant researches within and without China.Then the author designed a hybrid cat bond with government′s involvement,considering entropic risk measures as choice criterion.The hybrid bond was a non-linear combination of simple cat bond with digital options.In the end of this paper,the author made some empirical measurements and analysis based on Chinese′s earthquake losses in the past.It showed that such a hybrid bond could attract more investment for the catastrophe management,thus a better risk-sharing system.
As one of the countries suffering seriously from natural disasters,China mainly depends on financial allocation and private donations to manage those catastrophes,since the insurance market and capital market are underdeveloped here.This paper constructed a catastrophic risk-sharing model including insurance market,capital market and government,based on findings of relevant researches within and without China.Then the author designed a hybrid cat bond with government′s involvement,considering entropic risk measures as choice criterion.The hybrid bond was a non-linear combination of simple cat bond with digital options.In the end of this paper,the author made some empirical measurements and analysis based on Chinese′s earthquake losses in the past.It showed that such a hybrid bond could attract more investment for the catastrophe management,thus a better risk-sharing system.
引文
[1]Michel-Kerjan,Erwann,and Nathalie de Marcellis-Warin.Public-Private Programs for Covering Extreme E-vents:The Impact of Information Distribution on Risk-Sharing.Asia-Pacific Journal of Risk and Insurance,2006,1(2):21-49.
[2]Artzner,P.,E Delbaen,J.M.Eber,and D.HeathCoherent.Measures of Risk,Mathematical Finance,1999,9(3):203-228.
[3]Fllmer,H.,and A.Schied.Convex Measures of Risk and Trading Constraints.Finance and Stochastics,2002,6(4):429-447.
[4]Barrieu,P.,N.El Karoui.Inf-Convolution of Risk Measures and Optimal Risk Transfer.Finance and Stochas-tics,2005,9:269-298.
[5]Barrieu,P.,Louberge,H.Hybrid Cat Bonds,The Journal of Risk and Insurance,2009,76(3):547-578.
[2]Artzner,P.,E Delbaen,J.M.Eber,and D.HeathCoherent.Measures of Risk,Mathematical Finance,1999,9(3):203-228.
[3]Fllmer,H.,and A.Schied.Convex Measures of Risk and Trading Constraints.Finance and Stochastics,2002,6(4):429-447.
[4]Barrieu,P.,N.El Karoui.Inf-Convolution of Risk Measures and Optimal Risk Transfer.Finance and Stochas-tics,2005,9:269-298.
[5]Barrieu,P.,Louberge,H.Hybrid Cat Bonds,The Journal of Risk and Insurance,2009,76(3):547-578.
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