论巨灾权益卖权及其发展

Catastrophe Equity Put(CatEPut) and Its Development

巨灾权益卖权(Catastrophe Equity Put,CatEPut)是一种以保险公司股票为交易标的的期权,用以规避保险公司因支付大量的巨灾损失赔偿而引起公司股票价值下降的风险。本文旨在从巨灾权益卖权的市场发展、设计原理、运行机制、典型实例和定价模型等角度,来对这一创新型巨灾风险融资工具进行系统梳理。

Catastrophe Equity Put （CatEPut） is an option with the underlying asset of the stock of an insurance company, to hedge the risk of the decline in the stock price caused by large payments due to catastrophic damages. The paper presents the development background, operational mechanism, a typical operation, and the pricing methods of CatEPut and conducts a comparative analysis among the three types of contingent capitals.