基于PORT的巨灾保险衍生品定价的新方法

A New Approach to Pricing the Catastrophic Insurance Derivatives Based on PORT

将极值理论最新成果——超出随机门限值(PORT)方法应用到巨灾保险衍生品定价领域,建立了主要针对大损失小概率索赔的统计定价体系框架,得到了一系列巨灾保险衍生品定价的显式解.该方法由于对标的损失过程的尾部数据进行了更加精确的估计,因此理论上它优于传统的POT方法.

The latest result of EVT denominated PORT is introduced to the field of catastrophic insurance derivatives pricing. And a statistical pricing systematic framework particularly emphasis on the claims with low frequency and large losses is established. A series of explicit form solution to the catastrophic insurance derivatives pricing is obtained. Our approach will be prior to the traditional POT because the tail data of the underlying loss process is estimated more accurately.