【摘要】 中国是世界上遭受地震灾害损失最严重的国家之一,需要借鉴国际巨灾债券运作经验,进一步发挥保险业分散巨灾风险和补偿经济损失的作用。利用非寿险精算技术,将损失风险与利率风险理论模型相结合,对中国地震巨灾债券定价进行实证研究。结果表明:中国地震巨灾损失服从损失次数为泊松分布、损失额度为对数正态分布的聚合损失分布,通过与BDT无风险利率期限结构模型的结合,可以初步构建地震巨灾债券的定价模型并付诸实践。更多还原

【Abstract】 As one of the countries suffers most seriously from earthquake in the world,China needs to refer to international experience on Catastrophe (CAT) bond,and strengthens insurance industry’s effects on diversifying catastrophic risk and compensating economics losses. This paper studies empirically on the pricing of China’s earthquake CAT bond based on non-life accuracy approaches and the combination of losses risk and interest rate risk models. The result manifests,China’s earthquake losses could be fitted as an aggregate losses distribution model subject to losses numbers for Poisson and amount for Log-normal distributions. Combining with BDT risk-free term structure of interest rate,it founds one pricing model on earthquake CAT bond and puts it into practice initially.更多还原