中国台风巨灾债券利率定价研究——基于均衡定价理论

通过对我国1992年以来损失在1亿元以上的台风损失分布进行拟合,根据我国台风损失数据特征,选择一种能对具有尖峰、厚尾、偏态特征的分布进行较好拟合分布的g-h分布进行分析;在均衡定价理论的基础上构建一种台风巨灾债券利率定价模型,并利用相关数据进行定价分析,将模型应用于三种台风巨灾债券并计算出其利率。结果表明,无论是哪种类型的巨灾债券,由于利率均高于同期国债利率,对投资者来说都具有较大吸引力,是一种较为理想的巨灾风险创新产品。

Research on China's Typhoon Catastrophe Bond Pricing Based on the Theory of Equilibrium Price

In the paper, the author first fits the distribution of typhoon loss with the damages of more than 100 million Yuan. According to the characteristics of the data of China''s typhoon loss, the paper chooses and analyzes one g-h distribution which can well fit the distribution with a sharp peak, heavy tail and skewness. Then, based on Equilibrium Pricing Theory, the paper constructs a pricing model for the interest rate of typhoon catastrophe bond. Finally, the paper makes use of relevant data for pricing analysis and applies the model into three types of typhoon catastrophe bonds to calculate their interest rate.The results showed that: catastrophe bonds have higher interest rates than those of government bonds, and have greater attraction to investors, so they are an ideal catastrophe risk product.