隐含风险中性分布在巨灾超额损失再保险定价中的应用

THE APPLICATION OF IMPLIED RISK NEUTRAL DISTRIBUTION TO CATASTROPHIC EXCESS-OF-LOSS REINSURANCE PRICING

通过与标的风险相关的期权市场估计出隐含变换系数,然后以Esscher变换为工具,将巨灾损失统计分布风险中性化,从而对以该非交易风险为标的的巨灾超额损失再保险进行定价.同时,从期权定价的角度,结合Weibull极值分布和超额损失再保险的特点,给出了巨灾超额损失再保险定价的闭型表达式.

The implied tilting coefficient is estimated by virtue of options markets related to underlying risks. And then the catastrophic loss statistical distribution is risk-neutralized by Esscher transform. So we can price for the catastrophic excess- of-loss reinsurance contract on the non-traded underlying risks. Simultaneously, from the point of view of option pricing, the closed expression to the pricing of catastrophic excess-of-loss reinsurance is presented while considering the chacteristics the chacteristics of Weibull distribution and the ecess-of-loss reinsurance contract.