| 巨灾债券的精算定价模型评析 |
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| 引用本文： | 谢世清.巨灾债券的精算定价模型评析[J].财经论丛,2011(1):70-76. |
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| 作者姓名： | 谢世清 |
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| 作者单位： | 北京大学经济学院,北京,100871 |
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| 摘 要： | 本文从保险精算定价的角度对巨灾债券四个主要理论定价模型进行系统评析。首先讨论了一般再保险合约的Kreps精算定价模型;然后仔细分析了四个常用的巨灾债券定价的LFC模型、Wang转换模型、Christofides模型和Wang两因素模型;最后对这四种模型进行了比较分析。
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| 关 键 词： | 巨灾债券 Wang转换 LFC模型 两因素模型 |
Analysis of Pricing Models of Catastrophe Bonds |
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| XIE Shi-qing.Analysis of Pricing Models of Catastrophe Bonds[J].Collected Essays On Finance and Economics,2011(1):70-76. |
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| Authors: | XIE Shi-qing |
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| Institution: | XIE Shi-qing(School of Economics,Peking University,Beijing 100871,China) |
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| Abstract: | From the perspective of the actuarial pricing,the paper aims to systematically analyze the four main theoretical pricing models of CAT bonds.It first discusses the Kreps actuarial pricing model of general reinsurance contracts;and then analyzes four commonly used pricing models of CAT bonds in detail:LFC model,Wang transform model,Christofides model and two-factor model;finally it conducts a comparative analysis among the four pricing models. |
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| Keywords: | CAT bonds Wang Transform LFC model Wang two-factor model |
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