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由于投资收益欠佳、保险费率降低、准备金不足和巨灾损失增加等因素综合作用 ,2 0 0 1年和2 0 0 2年全球非寿险业承保能力每年减少 90 0亿美元。全球非寿险业承保能力处于短缺时期 ,再保险市场也无力为巨灾提供充分保障。在此背景下 ,巨灾风险向资本市场分散风险将是必然的。对一般的投资者 ,这类产品又提供了全新的投资渠道。定价问题是巨灾风险证券化必须解决的重要一环。著名的Black -Scholes期权定价模型 ,它假设对应资产价格是连续变化的。巨灾期权在巨灾发生时有一个跳跃过程。BS模型不适用于巨灾期权。本文运用均衡定价理论 ,并假设保险人对风险偏好只有指数效用形式 ,给出了巨灾证券产品定价的显式表达式 ,提供了具有可操作性的定价方法 ,为该产品的商业运作做准备。
Due to the combined effect of poor investment returns, lower insurance premiums, under-provision and increased catastrophe losses, the underwriting capacity of the global non-life insurers in 2001 and 2002 will be reduced by 90 billion U.S. dollars each year. The global non-life insurer’s underwriting capacity is in a shortage period, and the reinsurance market is unable to provide adequate safeguards for catastrophe. In this context, catastrophe risk diversification to the capital market risk will be inevitable. For ordinary investors, these products provide a new investment channel. Pricing is an important part of catastrophe risk securitization. The famous Black-Scholes option pricing model, which assumes that the corresponding asset prices are continuously changing. Catastrophe options have a jump in catastrophe. The BS model is not suitable for catastrophe options. In this paper, we use the equilibrium pricing theory and assume that the insurer has only an exponential utility for the risk appetite, giving an explicit expression of the pricing of catastrophe securities, providing an operable pricing method and preparing for the commercial operation of the product .