洪涝巨灾债券的创新及其定价研究

Research on Innovation and Pricing of Flood Catastrophic Bonds

我国是一个巨灾频发的国家,洪涝作为典型的巨灾对我国经济造成了巨大的损失。为了丰富投资者的选择,在考虑风险厌恶因素的基础上,设计了一款两阶段洪涝巨灾债券并对其进行定价。最后,以洪涝灾害频发的湘鄂赣3省为研究对象进行了实证分析。

China is a country with frequent catastrophes.As a typical catastrophe,flooding has caused huge losses to China's economy.It is of practical significance to develop flood catastrophe bonds.In order to enrich investors'choices,in this work,a two-stage flood catastrophe bond was designed and priced based on risk aversion.Finally,empirical analyses were carried out on three provinces,Hunan,Hubei,and Jiangxi,with frequent floods and disasters to validate our pricing design.