复合触发机制下地震巨灾债券定价研究——考虑风险反馈的影响

The Study on Pricing of the Earthquake CAT Bonds under the Hybrid Trigger Mechanism:Taking the Effects of Risk Feedback into Consideration

本文基于均衡定价理论,利用CIR随机利率模型模拟无风险利率的变化情况,使用Copula函数建立复合触发机制下的联合分布函数,计算得出1~5年期的地震巨灾债券的价格。研究表明:风险触发反馈条件越严格,有效期越短,则风险暴露的程度越低,巨灾债券的价格就会越高;风险补偿能够提高巨灾债券的价格,使巨灾债券满足不同投资人的需求。相应的政策建议为确定相应的风险指数以有利于债券定价、发行多种类型的巨灾债券等。

In this paper,equilibrium pricing model was used as the pricing method, and the CIR stochastic interest rate model was used to simulate the change of the risk-free interest rate. The Paper applied Copula function to estab- lish the joint distribution function under the hybrid trigger mechanism and compute the price of the earthquake CAT bonds during one to five years. It drew the following conclusions：the stricter the condition of the risk trigger, the shorter the bond period,the lower the degree of risk exposure, and the higher the price of the catastrophe bond ; the risk compensation raised the price of the CAT bond so that the CAT bond could satisfy different investor needs and so on. Finally, the paper made policy recommendations that the government should determine the risk parameter to lay a good foundation for bond pricing and issuance of different types of CAT Bonds.