面向中小微出口企业成本控制的集装箱运价指数保险研究

Research on the Container Freight Index Insurance for Medium, Small and Micro Export Enterprises Cost Control

近年来,集装箱运价大幅波动给我国众多中小微出口企业显著增加了运输成本、侵蚀了原本微薄的利润。本研究设计了一种面向中小微出口企业成本控制的外贸集装箱运价指数保险。首先,结合当前中小微出口企业集装箱订舱实务,设计了集装箱运价指数保险的基本形态及其期限结构、赔付结构和份额结构,将众多中小微出口企业碎片化的集装箱运价成本控制需求跨期、跨主体分摊。其次,构建了基于ARIMA的算术平均延期式集装箱运价指数定价模型,借助“区间预测+分位数分档”方法对集装箱运价指数保险保费进行厘定,丰富了现有运价衍生品定价方法谱系。最后,对全球标杆集装箱运价指数——中国出口集装箱运价指数(CCFI)欧洲航线运价指数保险进行了案例分析,较好地验证了本研究设计的集装箱运价指数保险的合理性。

In recent years,container freight has fluctuated greatly,which has significantly increased transportation costs for many medium,small and micro export enterprises and eroded thcir meager profits.A kind of container freight index insurance for small,medium and micro export enterprises cost control is innovatively designed in this paper,which can well solve the freight risk problem.Firstly,the index insurance structure of container freight rate is designed.Based on the practical activities of container booking in medium,small and micro export enterprises,the basic form of container freight index insurance for cost control is analyzed,and the compensation structure,term structure and basic share structure of container freight index insurance are established.By using the law of large numbers of insurance,container freight index insurance distributes the cost control needs caused by many fragmented and scattered container freight price fluctuations among different periods,filling the shortage of container freight futures options and other derivatives for medium,small and micro export enterprises at present.Secondly,the traditional and classic ARIMA measurement model is used to fit the container freight index time series and obtain interval predictions.With the help of the quantile classification method,the container freight index insurance pricing model based on ARIMA arithmetic average deferred Asian options is constructed.Our model makes full use of the historical information of container rate index and effectively compensates the complexity and accuracy of the existing stochastic process freight rate option pricing formula.Finally,the case of China Container Freight Index(CCFI)Europe Service container freight index insurance is analyzed.Weekly data from 2003/4/4-2018/12/28 released by Shanghai Shipping Exchange are collected,and premiums are calculated according to the basic share of container freight index insurance.Meanwhile,the results of approximate pricing formula of the deferred average price Asian call option(Haug(2018))and the classic actuarial burning model commonly used in the insurance industry are compared,to demonstrate the pricing accuracy of this model.The results show that the container freight index insurance designed in this paper is feasible and scientific.