论文部分内容阅读
巨灾债券兼具规避巨灾风险和投资功能,既是对巨灾救助体制的有力补充,又为资本市场提供了较高收益率的零贝塔债券。多事件触发巨灾债券只有当多个触发指标被同时满足时才会损失本金,投资风险小于单事件触发巨灾债券,具有更大市场潜力。结合中国的台风历史损失数据,可构建多事件触发巨灾债券的定价模型,结合Copula函数拟合的双触发指标的联合分布,在利率服从Vasicek随机利率模型的假设下完成多事件触发巨灾债券的定价过程,并得出利率的随机因素对跨期定价结果的影响。
Catastrophe bonds, both to avoid catastrophe risk and investment functions, are not only powerful supplements to the catastrophe rescue system, but also provide zero-beta bonds with higher yield for the capital market. Multi-event triggered catastrophe bonds Only when multiple trigger indicators are met at the same time will lose the principal, the investment risk is less than a single trigger catastrophe bonds, with greater market potential. Combined with the historical loss data of typhoon in China, a multi-event triggered catastrophe bond pricing model can be constructed. Combined with the copula distribution of copula triggering dual trigger indicators, multi-event triggered catastrophe bonds under the assumption of interest rate compliance Vasicek stochastic interest rate model The pricing process, and draw the interest rate stochastic factors on the results of the intertemporal pricing.