洪水巨灾债券及其定价的实证研究——基于Wang两因素模型对我国洪水债券定价的分析

Empirical Studies on Flood Bond and Pricing——Analysis on China's Flood Bond Pricing based on the Wang Two Factors Model

近年来,巨灾频发,巨灾债券已成为国际公认而又行之有效的巨灾风险转移工具。我国自然灾害多发,全国有2/3的国土面积遭受洪水威胁。因此,在我国发行巨灾债券特别是洪水巨灾债券意义重大。而发行巨灾债券的难点便在于债券的合理定价。本文收集了1961年至2009年我国洪水灾害数据,运用Wang两因素模型对其经验估计分布进行了调整,得出了中国市场上一年期洪水巨灾债券的价格,以期对我国巨灾债券的合理定价有所借鉴。最后,文章针对中国发行洪水巨灾债券的细节方面提出了建议。

The catastrophe has been frequent in recent years. Catastrophe （CAT） bond has become internationally recognized and effective catastrophe risk transfer tool. The natural disasters in our country are frequent and two-thirds of the national land suffers from the threat of flood. Therefore, issuing CAT bonds especially flood CAT bonds in our country is of great significance. The difficulty of issuing CAT bonds lies in pricing bonds reasonably. In order to do help to the pricing of China CAT bonds, this paper collects the data of China flood from 1961-2009 and uses Wang two-factor model to adjust the distribution of the flood losses in pricing China flood CAT bonds. Finally, suggestions to the details of issuing flood CAT bonds are put forward.