碳排放权交易价格保险产品设计探索——基于“保险+期货”模式

Design and Exploration of Price Insurance Products for Carbon Emission Trading:Based on the“Insur⁃ance+Futures”Model

国际上碳保险产品随着碳交易的兴起而兴起,已有近十年历史。我国碳保险产品目前还处于起步阶段,但前景广阔。借鉴农产品“保险+期货”模式创新碳期货保险产品,以其中4种保险产品为例在蒙特卡洛方法下进行定价及敏感性分析,最后对A企业进行个案分析。研究发现:保险产品的避险效果明显,其中我国碳交易市场保险费率最低,欧盟碳交易市场保险费率最高。目标价格和市场波动率对4种保险费率影响明显;无风险利率的影响较小;障碍期权“触碰式”敲出价格和价差期权托底赔付价对保险费率影响明显,而封顶结算价影响较小。

Carbon insurance products have been rising internationally with the rise of carbon trading for nearly a decade.China’s carbon insurance products are still in the initial stage,but the prospect is broad.Based on the“insurance+futures”model of agricultural products,the paper innovates car⁃bon futures insurance products,takes 4 insurance products as examples,conducts pricing and sensi⁃tivity analysis under the Monte Carlo method,and finally makes a case analysis of enterprise A.The results show that the insurance products have obvious hedging effect,among which the insurance rate of China’s national carbon trading market is the lowest,and the insurance rate of the EU carbon trading market is the highest.The target price and market volatility have obvious effects on the four insurance rates.The risk-free rate has less effect.The impact of barrier option“touch”strike price and spread option cover price on premium rate is obvious,while the impact of cap settlement price is small.