【作者】 朱会娜；

【导师】 李萍；

【作者基本信息】 华中科技大学 ， 概率论与数理统计， 2010， 硕士

【摘要】 最近几十年来,每年几乎都有巨灾的发生,并且发生的频率以及造成的损害程度都有大幅度的上升。面对损失程度和频率的大幅递增,保险公司的承保能力和政府财政救济能力的限制,使得我们不得不分散转移来自保险市场上的风险,所以人们把目光转移到了资本市场,进行保险证券化研究。对于我国来说,自然灾害种类繁多并且发生频率较大、损失惨重:76唐山地震、98长江洪水、08湖南郴州冰雪灾害、08四川汶川地震、09-10西南灾害、10青海玉树地震等等。我国保险体系并不发达,大部分救灾都依赖于政府财政救济,这不利于财政的平稳,所以进行巨灾风险证券化研究就迫在眉睫。本文的主要研究内容是对巨灾债券进行设计和定价。论文结构为:简要的了解全球以及我国的巨灾风险情况,提出巨灾证券化的必要性,以及最近这些年国内外学者对巨灾证券定价的研究情况介绍;给出在本文当中用到的数学随机过程方面的知识以及金融基础知识,比如常用的利率模型;简单介绍巨灾债券的运作机制,让读者有一个大致的了解,并且着重介绍比较经典的巨灾证券衍生品的定价模型;最后一部分是本文重点,本部分在前人的基础上进行创新:假设巨灾风险损失指数的价值过程满足一个分数布朗运动加泊松跳的过程,并且引入随机利率模型,对巨灾债券进行设计和定价,其中债券的设计分为两种形式。更多还原

【Abstract】 The latest decades have witnessed catastrophes in almost every year, and the huge increasing frequency and intensity. In face of the increasing loss, due to the limitation of insurance companies and governmental relief, we have to figure out other methods to transfer catastrophe risks, therefore, capital market has attracted world’s attention. Insurance securitization becomes a hot issue.In China, natural disasters are various and frequent with huge loss. From the worst flooding along Yangzi River in 1998 in a century, to the snow disaster in the south of China in the beginning of 2008, to 5.12 Wenchuan earthquake in the same year, to the recent months’especially big drought in the south west of China and to the 4.14 Yushu earthquake days ago, these raged natural disasters have brought huge economic loss as well as mental injury to Chinese people. However, because of weak risk management system, people are always ready to receive governmental aid or charity donation for free without purchasing insurance against natural disasters after disasters.In this paper, we mainly discuss the designing and pricing of catastrophe bond. The article is organized as follows. The section of“Introduction”focuses on literature review. We briefly introduce the status quo of some other countries’catastrophe risks as well as China, and the research situation about the pricing of catastrophe bond at home and abroad. The section“Fundamental Knowledge”introduces some basic knowledge about stochastic process and financial engineering such as frequently-used interest rate model. The section“The operating mechanism and classical pricing theory of Catastrophe Bond”simply introduces the operating mechanism and some classical pricing models of Catastrophe derivatives. The last section”the designing and pricing of Catastrophe Bond”is the core and innovation. Based on previous research, we suppose that the value of the loss index on catastrophe risk is driven by a fractional Brownian motion with Poisson jumps, and we introduce the stochastic rate model. We design two kinds of catastrophe bonds and price these bonds based on our assumptions.更多还原