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我国是属于自然灾害多发的国家,但由于保险市场与资本市场相对落后,目前对于巨灾的管理仍然主要依靠政府事后的财政拨款与民间捐赠。本文借鉴并改进了国内外相关研究结论,构建了由保险市场、资本市场以及政府所组成的巨灾风险分担模型。在该模型的基础上,以熵测度为准则,设计了一种有政府参与的混合巨灾债券,这种债券是传统的简单巨灾债券与数字期权的一种非线性组合。本文利用我国地震损失的数据,进行了实证分析,并证明了这种混合巨灾债券更有利于把投资者的资金吸引到巨灾风险管理中来,能够进一步完善巨灾风险的分担机制。
China is a country with multiple natural disasters. However, due to the relatively backward insurance market and capital market, the current management of catastrophe still depends mainly on the government’s financial allocations and non-governmental donations. This paper draws on and improves the relevant research conclusions at home and abroad, and builds a catastrophe risk sharing model composed of insurance market, capital market and government. On the basis of this model, we design a mixed catastrophe bond with government participation based on entropy measure, which is a nonlinear combination of traditional simple catastrophe bonds and digital options. This paper uses the data of earthquake loss in our country to make an empirical analysis and proves that this hybrid catastrophe bond is more conducive to attracting investors’ funds into catastrophe risk management and can further improve the sharing mechanism of catastrophe risk.