我国巨灾保险风险证券化研究——台风灾害债券的设计

The Research on the Catastrophic Insurance Risk Securitization in China: the Design of Typhoon Catastrophe Bond

巨灾保险风险证券化是国际上分散巨灾风险的一项金融保险创新。考虑到我国发展巨灾保险风险证券化最适宜的证券品种是巨灾债券,因此,本文收集我国1985-2004年98次台风损失数据和1950-2004年每年台风登陆次数的数据,利用非寿险精算技术分析我国台风损失分布和次数分布,并在此基础之上利用资本资产定价模型和债券定价原理计算台风灾害债券的收益率和价格,从而对台风灾害债券作了初步设计。

Catastrophic insurance risk securitization is a kind of financial insurance innovation. The authors think that catastrophe bond is the most suitable product in developing catastrophic insurance risk securitization in China. By using 98 typhoon data from 1985 to 2004 and time data of typhoon landing on China from 1950 to 2004, the paper analyzes the distribution of loss and time using the knowledge of non-life actuarial mathematics. Finally, the authors design the yield and price of typhoon catastrophe bond according to the theory of CAPM and bond pricing, so the primary design of the typhoon catastrophe bond is finished.