基于藤Copula-Monte Carlo方法的多事件巨灾债券触发概率模拟

Probability Simulation of Multi-Event Triggered Catastrophe Bond Based on Vine Copula-Monte Carlo Model

当前全球自然灾害频发,传统的保险业已经无法承担日益严峻的巨灾风险。巨灾债券作为一种新型的金融创新产品,可以为巨灾风险提供更有效的分散方式。文章采用藤Copula模型来刻画多巨灾损失变量间的相关关系,在此基础上,将多巨灾损失变量的条件分位数估计应用到多事件触发巨灾债券的触发值设定。结合全球洪灾数据进行实证分析,通过Monte Carlo方法模拟多事件巨灾债券的触发概率,验证了所构建模型的可行性和优越性。

Nowadays,natural disasters in the world are frequent,and the traditional insurance industry has been unable to cover the increasingly serious catastrophe risk.As a new financial innovation product,catastrophe bonds can provide an effective way for hedging catastrophe risk.In this paper,we employ the vine Copula model to describe the correlation among multiple catastrophe loss variables.Based on that,the conditional quantile estimation of the multi-catastrophe loss variable is applied to set the trigger value of the multi-event triggered catastrophe bond.Combined with the global flood data for empirical analysis,the trigger probability of multi-event catastrophe bonds is simulated by Monte Carlo method to verify the feasibility and superiority of the model.