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巨灾导致的不同类损失分布具有异质性,而单一事件触发的巨灾债券不能统筹考虑多个损失维度.本文在考虑两个不同损失维度的基础上,构建了由两个损失指标共同触发的巨灾债券定价模型,进行了产品初步设计和价格估算,并通过蒙特卡罗模拟实现了多期限定价.本文以台风损失为例,对直接经济损失、受灾面积两个损失维度进行分布拟合,借助ClaytonCopula得到联合概率分布函数对巨灾债券定价,并进行了价格动态分析.
Catastrophe caused by different types of loss distribution is heterogeneous, and catastrophe bonds triggered by a single event can not consider multiple loss dimensions.On the basis of considering two different loss dimensions, this paper constructs a set of two loss indicators Catastrophe bond pricing model, the preliminary product design and price estimation are carried out, and the multi-period pricing is realized by Monte Carlo simulation.In this paper, we take the loss of typhoon as an example, and distribute the two loss dimensions of direct economic loss and affected area , With ClaytonCopula get the joint probability distribution function of catastrophe bonds pricing, and conducted a price dynamic analysis.