随机利率下跨期多事件触发巨灾债券定价研究

中国管理科学 ›› 2013, Vol. 21 ›› Issue (5): 8-14.

随机利率下跨期多事件触发巨灾债券定价研究

李永, 胡帅, 范蓓

同济大学经济与管理学院, 上海 200092

收稿日期:2011-10-23 修回日期:2013-03-03 出版日期:2013-10-30 发布日期:2013-10-15
基金资助:
国家社会科学基金资助项目(09CJY091);2012年中央高校基本科研业务费专项

Pricing of Inter-temporal Multi-events Triggered Cat Bond Under Stochastic Interest Rates Model

LI Yong, HU Shuai, FAN Bei

School of Economics and Management, Tongji University, Shanghai 200092, China

Received:2011-10-23 Revised:2013-03-03 Online:2013-10-30 Published:2013-10-15

摘要/Abstract

摘要： 巨灾债券兼具规避巨灾风险和投资功能,既是对巨灾救助体制的有力补充,又为资本市场提供了较高收益率的零贝塔债券。多事件触发巨灾债券只有当多个触发指标被同时满足时才会损失本金,投资风险小于单事件触发巨灾债券,具有更大市场潜力。结合中国的台风历史损失数据,可构建多事件触发巨灾债券的定价模型,结合Copula函数拟合的双触发指标的联合分布,在利率服从Vasicek随机利率模型的假设下完成多事件触发巨灾债券的定价过程,并得出利率的随机因素对跨期定价结果的影响。

关键词: 巨灾债券, 多事件触发, Copula函数, 随机利率

Abstract: Catastrophe bond (Cat bond) can be used to hedging catastrophe risks while it is also a kind of high return rate zero-beta bond. Multi-event triggered Cat bond can only be triggered when two or more indexes are met at the same time, making it of lower risks comparing to those single-event triggered ones. In order to pricing a two indexes triggered Cat bond, firstly the joint distribution of indexes is fitted by using a Copula method. Then, based on representative agent pricing model under stochastic interest rates driven by Vasicek model,the pricing model is proposed. The impacts of interest rate on Cat bond's intertemporal pricing results can be measured properly in this way. The model proposed in this paper is a impetus to the pricing of multi-events triggered Cat bond considering stochastic interest rates and will help to understand how interest rates affect Cat bonds' prices.

Key words: Cat bonds, multi-events trigger, copula, stochastic interest rates

中图分类号:

F840.64

李永, 胡帅, 范蓓. 随机利率下跨期多事件触发巨灾债券定价研究[J]. 中国管理科学, 2013, 21(5): 8-14.

LI Yong, HU Shuai, FAN Bei. Pricing of Inter-temporal Multi-events Triggered Cat Bond Under Stochastic Interest Rates Model[J]. Chinese Journal of Management Science, 2013, 21(5): 8-14.

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