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巨灾权益卖权(CatEPut)作为一种巨灾衍生品,定价问题是其推广应用的主要障碍,涉及复杂现金流折现、巨灾跳跃拟合等问题。破产理论已经具备了较为完备的现金流折现方法及跳跃拟合方法,如能将破产理论应用到CatEPut的定价中去,就能使定价过程更加简化和明晰。若采用混合Erlangs分布,破产理论中的聚合损失模型可以拟合多源异质索赔,从而也可以用于拟合多源巨灾损失,可使巨灾损失摆脱单一分布拟合的束缚。由于CatEPut的本质是一种认沽卖权,对CatEPut的定价方法可推广至一般期权定价,使破产理论在CatEPut定价中的应用方法具有一般性。
As a Catastrophe Derivatives, CatEPut is a major obstacle to the promotion and application of CatEPut, which involves complex cash flow discounting and Catastrophe jump fitting. The bankruptcy theory already has a relatively complete discounted cash flow method and jump fitting method. If the bankruptcy theory can be applied to CatEPut pricing, the pricing process can be simplified and clarified. If the mixed Erlangs distribution is used, the aggregation loss model in bankruptcy theory can fit multi-source heterogeneous claims, and thus can also be used to fit multi-source catastrophe losses and free up catastrophic losses from the constraint of single distribution fitting. Since the nature of CatEPut is a put option, the CatEPut pricing method can be generalized to the general option pricing, so that the application of bankruptcy theory to CatEPut pricing is generic.