摘要
本文基于中小企业贷款保证保险定价理论,构建基于信用违约互换的贷款保证保险定价模型,引入了Copula函数对中小企业贷款保证保险定价进行实证研究,完成了对中小企业1年期贷款保证保险的纯保费计算,为有发债记录的中小企业贷款保证保险定价提供了一种新模式,同时也为中小企业集合债券保险定价提供了一个新思路。
Based on introducing the pricing theory of loan guarantee insurance, this paper built a pricing model of loan guarantee insurance based on credit default swap. By introducing Copula function to make an empirical analysis of the pricing of loan guarantee insurance for SMEs, completes the calculation of the net premium of the one-year loan guarantee insurance for the SMEs, which provides a new model for the pricing of the loan guarantee insurance for the SMEs with the bond issuance record, and also provides a new idea for the pricing of the collective bond insurance for the SMEs.
作者
刘娜
张林波
LIU Na;ZHANG Lin-bo(School of Economics and Management,Beihang University,Beijing 100191,China;National Internet Emergency Center,Beijing 100191,China)
出处
《广义虚拟经济研究》
2019年第4期85-96,共12页
Research on the Generalized Virtual Economy
基金
国家自然科学基金面上项目[项目编号：71373017]
国家社会科学基金一般项目[项目编号：18BJY159]
