中国巨灾债券定价策略与期限结构研究——以地震债券为例

Pricing Strategy and Term Structure of CAT Bonds:A Case of Earthquake Bonds in China

根据债券市场情况和投资者的风险偏好,采用不完全市场的均衡定价模型,以震级和保险损失作为混合触发条件,研究了中国地震巨灾债券的定价策略。考虑到中国地震灾害的分布和极值情况,使用极值理论得到拟合分布,并通过二元t-Copula函数获得其联合分布。同时以CIR随机利率模型作为利率期限结构,利用基于Halton序列的拟蒙特卡洛法得到不同期限混合触发型巨灾债券的价格,从而构建出中国巨灾债券定价的优化策略。

Taking the bond market situation and the risk appetites of investors into ac- count, this paper adopts the equilibrium pricing model in incomplete markets, and then in- vestigates the pricing strategy of earthquake bonds with a double event trigger including magnitudes of earthquakes and covered losses. Given the special situation of the distribution and extreme values of earthquakes in China, we use Extreme Value Theory to fit the distri- bution of earthquakes and losses. And with the approach of bivariate t - Copula, we get the joint distribution. Moreover,with the construction of CIR interest rate dynamics, the price of CAT bonds is therefore set with techniques of Quasi -Monte Carlo simulation based on Hal- ton sequence.