基于政府参与情形的混合巨灾债券设计与实证分析

我国是属于自然灾害多发的国家，但由于保险市场与资本市场相对落后，目前对于巨灾的管理仍然主要依靠政府事后的财政拨款与民间捐赠。本文借鉴并改进了国内外相关研究结论，构建了由保险市场、资本市场以及政府所组成的巨灾风险分担模型。在该模型的基础上，以熵测度为准则，设计了一种有政府参与的混合巨灾债券，这种债券是传统的简单巨灾债券与...

Design and empirical analysis of Hybrid Cat Bond under the participation of government

As one of the countries suffering seriously from natural disasters,China mainly depends on financial allocation and private donations to manage those catastrophes,since the insurance market and capital market are underdeveloped here.This paper constructed a catastrophic risk-sharing model including insurance market,capital market and government,based on findings of relevant researches within and without China.Then the author designed a hybrid cat bond with government′s involvement,considering entropic risk measures as choice criterion.The hybrid bond was a non-linear combination of simple cat bond with digital options.In the end of this paper,the author made some empirical measurements and analysis based on Chinese′s earthquake losses in the past.It showed that such a hybrid bond could attract more investment for the catastrophe management,thus a better risk-sharing system.