中国参数化地震巨灾债券的定价分析

Chinese parametric catastrophe bonds pricing analysis

随着中国自然灾害的频率和严重性的明显增加,巨灾债券作为一种风险转移机制在国内的保险市场越来越受到重视.为使中国巨灾债券运作机制更加透明,消除债券投资者面临的道德风险,降低债券发起人承担的基差风险,基于中国近几十年的受灾数据分析了地震巨灾债券选择参数触发机制的优势,强调了建立区域差异化受保区域的必要性,并利用BDT利率树对该债券进行定价研究,为参数化地震巨灾债券在我国的运用提供了参考.

With a significant increase in the frequency and severity of natural disasters in China, catastrophe bond （CAT bond）, a kind of risk-transfer mechanism, has attracted increasing attention in the domestic insurance market. To transparentize the mechanism of catastrophe bonds and to reduce the moral hazard and basis risk borne by the sponsor, the advantages of selecting a parameter trigger mechanism for earthquake catastrophe bonds were analyzed and the necessity of differentiating regional insured areas was emphasized based on the catastrophe data in recent years. The BDT interest rate tree was applied to catastrophe bond pricing, which is meaningful to the issuance of parametric catastrophe bonds in China.