基于相对VaR的信用担保两期定价模型

基于风险价值(VaR)计量模型的信用担保定价方法包括绝对VaR和相对VaR两种方法.对于贷款期限一年以上的风险衡量,相对VaR比绝对VaR更加准确和接近现实.针对现有研究中基于绝对 VaR的只考虑原债务期的信用担保风险计量模型的缺陷,本文采用相对VaR方法,建立了既考虑企业对银行的原债务期风险,又考虑企业对担保机构的债务展期风险的信用担保两期定价模型,从而使基于VaR模型的信用担保定价方法更加科学合理.     

面向违约风险的商业银行存款担保费率实物期权定价模型

为了抵御存款挤兑以避免金融市场动荡,中央银行与各商业银行之间隐含着信用担保关系.央行有效监管,显然需要有效甄别各商业银行存款资产结构和波动特征.文章提出了一种基于实物期权定价的商业银行存款信用担保费率模型,通过公式推导和等价变换,获得一个基于违约风险测算以获得回购期权定价的解析表达式.根据该费率模型,基于工、农、建、交、中、招等国内6家主要国有商业银行的公开数据进行实证分析.试验结果表明,根据银行存款资产特征,央行应该采取差别化担保费率政策,提取比例与商业银行的资产规模无关,而应与该行存款波动率呈正比例关系.     

监管宽容下资本展期的存款保险定价模型

存款保险制度可化解存款机构挤兑风险,从而保护了存款人利益.监管宽容的存款保险合约具有下列特征:在监管宽容范围内,若投保的存款机构在存款到期时无力偿还存款债务,并不立即对其破产清算,而允许其接受存款保险公司一定额度资金的救助.为准确厘定存款保险费率水平,本文在监管宽容假设上,进一步引入资本展期因素,即接受救助的存款机构继续运营至资本展期结束;若在资本展期期末仍然资不抵债则再对其破产清算.基于上述情景,并且将救助资金作为存款机构的或有债务纳入保费中,本文结果构建了监管宽容下资本展期的存款保险定价模型,并严格推证了监管宽容力度、资本展期期限与存款保险价格的变化关系.结论显示,监管越宽容、资本展期越长、存款保险的价格也应越高.最后,应用所构建的定价模型,进行了实例分析.     

车险费率厘定精算技术的研究与应用评述

精算技术为中国车险市场费率改革提供必要支持,可以确保费率厘定的科学性与合理性。首先,本文系统梳理了车险分类风险费率厘定精算统计模型的发展历程,并回顾参数估计方法。其次,论述了车险个体风险费率厘定的精算模型与方法,并重点评述了信度理论与奖惩系统的研究。进而,归纳出车险费率厘定精算统计模型的研究热点与发展方向。最后,指明现有研究对中国车险费率厘定精算方法的启示,并提出相关建议。     

基于分数布朗运动的贷款信用担保定价

上市公司对外做贷款的信用担保或相互做信用担保在我国资本市场是很普遍的现象.在贷款到期时,可能发生违约情况.信用担保本质上是看跌期权.假设上市公司净资产价格服从分数布朗散运动,采用拟鞅定价的方法,得到了公司提供信用担保和相互担保在无违约和违约情形下的定价公式.     

零膨胀广义泊松回归模型与保险费率厘定

在保险产品的分类费率厘定中,最常使用的模型之一是泊松回归模型.当损失数据存在零膨胀(zero-in flated)特征时,通常会采用零膨胀泊松回归模型.在零膨胀泊松回归模型中,一般假设结构零的比例参数φ为常数,不受费率因子的影响,这有可能背离实际情况.假设参数φ与费率因子之间存在一定关系,并在此基础上建立了零膨胀广义泊松回归模型,即Z IGP(τ)回归模型.通过对一组汽车保险损失数据的拟合表明,Z IGP(τ)回归模型可以有效地改善对实际数据的拟合效果,从而提高费率厘定结果的合理性.     

基于担保的中小企业融资的集合票据的定价研究

在简约化模型框架下,考虑担保机构的违约对集合发债融资的中小企业有违约传染的影响,通过引进一个几何双曲线衰减函数,得到了集合票据的定价公式,在此基础上对担保集合票据所隐含的信用风险进行分析.结果表明:担保机构的存在能显著降低集合票据的信用利差,提高其市场发行价格;且有担保下,担保机构的违约传染风险因子越大,相应的集合票据价格就越低,违约概率越大,信用利差越高,担保价值越低.     

模糊数学在环境污染责任保险费率厘定中的运用

环境污染责任保险因开展经验及历史数据不足致费率难以合理厘定,引入模糊信息粒及综合评价理论,相对传统方法,更能实现费率厘定的公平合理,保障各方利益.本文以化学原料及化学制品制造业为研究对象,首先运用模糊信息粒理论处理历史数据,克服数据模糊不确定性,得出第三者赔偿额的模糊信息粒X;其次运用传统精算定价方法得出行业基准费率的...     

信用担保对银行向中小企业融资的决策影响分析

本文分析了中小企业能从银行获得贷款的项目风险范围,得出:提高抵押条件,可以使得风险范围扩大.当中小企业的抵押品不足时,不能从银行获得贷款的情况下,我们引入了政策性信用担保机构,分析显示了担保下企业获得担保贷款的项目风险范围,并给出了在担保机构无盈利时的担保费率公式.     

广义线性模型在汽车保险定价的应用

对非寿险产品分类费率的厘定通常采用单项分析法、最小偏差法和多元线性回归等方法。虽然这些方法在非寿险产品定价中仍然占有一度之地,但由于保险数据的特殊性,它们的缺陷越来越受到人们的重视。本文简要分析了这些传统定价方法存在的缺陷,介绍了非寿险精算中典型的广义线性模型,并通过汽车第三者责任保险的损失数据说明了广义线性模型在非寿险产品定价中的具体应用,以及应用广义线性模型时应该注意的几个问题。     

Valuing Credit Default Swap under a double exponential jump di?usion model简

This paper discusses the valuation of the Credit Default Swap based on a jump market, in which the asset price of a firm follows a double exponential jump diffusion process, the value of the debt is driven by a geometric Brownian motion, and the default barrier follows a continuous stochastic process. Using the Gaver-Stehfest algorithm and the non-arbitrage asset pricing theory, we give the default probability of the first passage time, and more, derive the price of the Credit Default Swap.     

随机支付红利的跳-扩散模型的期权定价

假设股票随机支付红利,且红利的大小与支付红利时刻及股票价格有关,并假设股票价格过程服从跳—扩散模型(其中跳跃过程为Poisson过程)的条件下,建立了股票价格行为模型,应用保险精算法给出了欧式看涨和看跌期权的定价公式,推广了Merton关于期权定价的结果。     

Integrated structural approach to Credit Value Adjustment

This paper proposes an integrated pricing framework for Credit Value Adjustment of equity and commodity products. The given framework, in fact, generates dependence endogenously, allows for calibration and pricing to be based on the same numerical schemes (up to Monte Carlo simulation), and also allows the inclusion of risk mitigation clauses such as netting, collateral and initial margin provisions. The model is based on a structural approach which uses correlated Lévy processes with idiosyncratic and systematic components; the pricing numerical scheme, instead, efficiently combines Monte Carlo simulation and Fourier transform based methods. We illustrate the tractability of the proposed framework and the performance of the proposed numerical scheme by means of a case study on a portfolio of commodity swaps using real market data.     

A competitive hub location and pricing problem

We formulate and solve a new hub location and pricing problem, describing a situation in which an existing transportation company operates a hub and spoke network, and a new company wants to enter into the same market, using an incomplete hub and spoke network. The entrant maximizes its profit by choosing the best hub locations and network topology and applying optimal pricing, considering that the existing company applies mill pricing. Customers’ behavior is modeled using a logit discrete choice model. We solve instances derived from the CAB dataset using a genetic algorithm and a closed expression for the optimal pricing. Our model confirms that, in competitive settings, seeking the largest market share is dominated by profit maximization. We also describe some conditions under which it is not convenient for the entrant to enter the market.     

公司负债的鞅定价

鞅作为一种比较新的东西,被应用于多个领域中,尤其在金融领域的定价模型中更是得到广泛的应用.依据公司负债独特的性质,用鞅的方法得出公司负债的定价模型,并对所得模型做出相应的数值分析.     

连续支付红利的跳—扩散模型交换期权定价

在假设股票连续支付红利,且股票价格过程服从Poisson跳—扩散过程的条件下,建立了股票价格行为模型,应用保险精算法给出了欧式交换期权的定价公式,推广了Merton关于期权定价的结果.     

Valuation of the interest rate guarantee embedded in defined contribution pension plans

In this research, we derive the valuation formulae for a defined contribution pension plan associated with the minimum rate of return guarantees. Different from the previous studies, we work on the rate of return guarantee which is linked to the δ-year spot rate. The payoffs of interest rate guarantees can be viewed as a function of the exchange option. By employing Margrabe’s [Margrabe, W., 1978. The value of an option to exchange one asset for another. Journal of Finance 33, 177–186] option pricing approach, we derive general pricing formulae under the assumptions that the interest rate dynamics follow a single-factor HJM (1992) [Heath. D. et al., 1992. Bond pricing and the term structure of interest rates: a new methodology for contingent claims valuation. Econometrica 60, 77–105] interest rate model and the asset prices follow a geometric Brownian motion. The volatility of the forward rates is assumed to be exponentially decaying. The formula is explicit for valuing maturity guarantee (type-I guarantee). For multi-period guarantee (type-II guarantee), the analytical formula only exists when the guaranteed rate is the one-year spot rate. The accuracy of the valuation formulae is illustrated with numerical analysis. We also investigate the effect of mortality and the sensitivity of key parameters on the value of the guarantee. We find that type-II guarantee is much more costly than the type-I guarantee, especially with a long duration policy. The closed form solution provides the advantage in valuing pension guarantees.     

Pricing maturity guarantee with dynamic withdrawal benefit

Motivated by the importance of withdrawal benefits for enhancing sales of variable annuities, we propose a new equity-linked product which provides a dynamic withdrawal benefit (DWB) during the contract period and a minimum guarantee at contract maturity. The term DWB is coined to reflect the duality between it and dynamic fund protection. Under the Black-Scholes framework and using results pertaining to reflected Brownian motion, we obtain explicit pricing formulas for the DWB payment stream and the maturity guarantee. These pricing formulas are also derived by means of Esscher transforms, which is another seminal contribution by Gerber to finance. In particular, we show that there are closed-form formulas for pricing European put and call options on a traded asset whose price can be modeled as the exponential of a reflected Brownian motion.     

Annual intrinsic value of a company in a competitive insurance market

In this paper we analyze a measure of the insurance company’s value in an extended Lundberg model which includes the effect of competition on pricing. The extended model is designed to be an integral part of a multi-year controlled risk model of a company operating on both competitive insurance and financial markets, when insureds migrate in seeking for better rates and investors migrate in seeking for higher return on investments.     

A DEA analysis of risk,cost, and revenues in insurance

Insurance companies have to take risk and cost into account when pricing car insurance policies that cover the risk of private use of cars. In this paper we use data from 80?000 car insurance policies in order to assess, once risk and cost have been taken into account, the combinations of risk that generate the highest returns for the company under existing pricing practices. We use data envelopment analysis (DEA) and frame the study within an analysis of experiments context. The results of DEA are interpreted in a multivariate statistical analysis context using factor analysis, and property fitting techniques. The impact of risk factors in the efficiency is explored by means of regression analysis with dummy variables. There are consequences for the pricing policy of the company.