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上世纪90年代出现的巨灾债券是以规避巨灾财产损失为目的的新型非传统风险转移金融创新工具之一,在我国有良好的发展前景。本文针对巨灾风险事件呈现出周期性与不规则的上升特征,构建了BDT过程用以刻画巨灾风险的抵达过程,并基于风险中性测度技术,在随机利率环境与双随机复合泊松损失条件下,导出了巨灾债券定价公式。进而结合伦敦同业银行拆借利率数据与美国保险服务所提供的PCS损失指数估计并校正了模型参数。最后,通过数值模拟检验了利率风险与巨灾风险如何影响巨灾债券的价格,同时验证了定价模型的可行性。
The Catastrophe Bonds that emerged in the 1990s are one of the new non-traditional risk-transfer financial innovation tools aimed at avoiding catastrophic property losses and have good prospects for development in our country. In this paper, catastrophe risk events show cyclical and irregular rising characteristics. The BDT process is constructed to describe the arrival of catastrophe risk. Based on the risk neutral measure technique, the BDT process is simulated in random interest rate environment with double random complex Poisson loss Under the conditions, the catastrophe bond pricing formula was derived. Furthermore, the model parameters are estimated and corrected by combining the interbank borrowing rate data with the PCS loss index provided by the U.S. insurance service. Finally, numerical simulation is conducted to test how the interest rate risk and catastrophe risk affect the price of cat bonds, and the feasibility of the pricing model is verified.