摘要
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．对我国而言，发展巨灾保险风险证券化最适宜的证券品种是巨灾债券．收集1969-2004年我国地震直接经济损失在9900万元以上的损失数据，利用非寿险精算技术分析我国地震损失分布和次数，并在此基础上利用CAPM和债券定价原理计算地震灾害债券的收益率和价格．从而对地震灾害债券作了初步设计．
Securitization against catastrophe risk is an important derivation instrument in capital market. Catastrophe bond is the most suitable securities variety for our country. The paper collects loss data resulted from earthquakes between 1969-2004 which is above 99 million yuan, using non-Life insurance actuarial mechanism to analysis distribution and the number of loss, and in such foundation, using CAPM and princing principle of bond to calculate inconme rate of earthquake bond, thus making a preliminary design.
出处
《数学的实践与认识》
CSCD
北大核心
2008年第13期39-43,共5页
Mathematics in Practice and Theory
基金
北京市属市管高等学校人才强教计划资助项目
北京市教育委员会科技发展计划面上项目(km200810009004)
关键词
巨灾债券
地震损失分布
地震灾害债券
catastrophe bond
loss distribution of earthquake
a catastrophe bond
connected with earthquake
