论文部分内容阅读
本文根据精算数学的损失分布理论对我国地震巨灾数据进行损失强度、损失频率分布拟合,从而建立地震巨灾总损失聚合风险模型,并在Cox模型的基础上运用蒙特卡罗模拟方法设计出以面值发行为对象的我国地震巨灾债券的票面利率。从而为地震巨灾债券的定价与发行提供经济学指导。
According to the loss distribution theory of actuarial mathematics, the loss intensity and loss frequency distribution of the earthquake catastrophe data in China are fitted to establish the total loss aggregation risk model of the earthquake catastrophe. Based on the Cox model, a Monte Carlo simulation method is designed The Coupon Rate of Earthquake Catastrophe Bonds in China with Face Value Issue. Thus providing economic guidance for the pricing and distribution of earthquake catastrophe bonds.