《保险研究》20191102-《基于Copula方法的复合触发机制巨灾债券定价研究》（展凯、刘苏珊）

［摘   要］传统的保险市场无法承受巨灾的赔付压力,发行巨灾债券能较好地分散风险,然而目前巨灾债券定价的模型选择和触发机制设计还存在争议。文章基于1989～2017年的广东省台风巨灾历史数据建立了“损失-风速”复合触发定价模型,并利用Gumbel-Copula函数来拟合其联合分布,进而基于均衡定价理论和CIR利率模型得到台风巨灾债券的价格,较好地控制了传统单触发模型中存在的基差风险和道德风险。研究结果表明,复合触发机制下的巨灾债券价格比单触发机制下的债券价格要更稳定,对触发水平和期限变动更敏感。复合触发的水平越低,巨灾发生概率越大,巨灾债券的价格越低。另一方面,随债券期限的增加,债券价格下降的幅度也在增加。“损失-风速”复合触发机制巨灾债券定价模型能够有效降低道德风险,使得巨灾赔付更迅速。

［关键词］巨灾债券定价；复合触发机制；Copula

［基金项目］国家自然科学基金面上项目(71871071)；广东省自然科学基金重点项目(2018B030311004)。

［作者简介］展凯,教授,经济学博士,中国准精算师,广东外语外贸大学金融学院副院长,研究方向:金融与保险、保险精算等,E-mail:zhank97@163.com；刘苏珊,广东外语外贸大学金融学院硕士研究生。

A Research on Catastrophe Bond Pricing Based on Hybrid Trigger Mechanism of Copula Method

ZHAN Kai，LIU Su-shan

Abstract：The traditional insurance market cannot withstand the pressure of catastrophe,and the issuance of catastrophe bonds can better spread the risk.However,there are still disputes about the model selection and trigger mechanism design of catastrophe bond pricing.Based on the historical data of typhoon catastrophe in Guangdong Province from 1989 to 2017,this paper established a typhoon “loss-speed” hybrid trigger pricing model,and fitted the joint distribution of these two indicators by Gumbel-Copula.Then it derived the catastrophe bond prices on the basis of the equilibrium pricing theory and CIR interest rate model,which reduced the basis risk and moral hazard in the traditional single trigger catastrophe bond.The results show that the price of catastrophe bonds under hybrid trigger mechanism is more stable than that under the single trigger mechanism,and is more sensitive to trigger level and term changes.The lower the level of composite trigger and the greater the probability of catastrophe,the lower the price of catastrophe bonds would be.Besides,with the increase of bond maturity,the decline of bond prices is also increasing.The “loss-speed” hybrid trigger pricing model can effectively reduce moral hazard and make catastrophe compensation more efficient.

Key words：catastrophe bond pricing;hybrid trigger mechanism;Copula