| 一类巨灾风险—地震灾害债券的设计 |
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| 引用本文： | 薛成名,刘喜波,党蕊群. 一类巨灾风险—地震灾害债券的设计[J]. 数学的实践与认识, 2008, 38(13) |
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| 作者姓名： | 薛成名 刘喜波 党蕊群 |
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| 作者单位： | 北方工业大学,理学院,北京,100144 |
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| 基金项目： | 北京市属市管高校人才强教计划,北京市教委科技发展计划项目 |
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| 摘 要： | 巨灾保险风险证券化是国际上分散巨灾风险的一项金融保险创新.对我国而言,发展巨灾保险风险证券化最适宜的证券品种是巨灾债券.收集1969~2004年我国地震直接经济损失在9900万元以上的损失数据,利用非寿险精算技术分析我国地震损失分布和次数,并在此基础上利用CAPM和债券定价原理计算地震灾害债券的收益率和价格,从而对地震灾害债券作了初步设计.
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| 关 键 词： | 巨灾债券 地震损失分布 地震灾害债券 |
The Design of a Catastrophe Bond Connected with Earthquake |
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| XUE Cheng-ming,LIU Xi-bo,DANG Rui-qun. The Design of a Catastrophe Bond Connected with Earthquake[J]. Mathematics in Practice and Theory, 2008, 38(13) |
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| Authors: | XUE Cheng-ming LIU Xi-bo DANG Rui-qun |
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| Abstract: | Securitization against catastrophe risk is an important derivation instrument in capital market.Catastrophe bond is the most suitable securities variety for our country.The paper collects loss data resulted from earthquakes between 1969—2004 which is above 99 million yuan, using non-Life insurance actuarial mechanism to analysis distribution and the number of loss,and in such foundation,using CAPM and princing principle of bond to calculate inconme rate of earthquake bond,thus making a preliminary design. |
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| Keywords: | catastrophe bond loss distribution of earthquake a catastrophe bond connected with earthquake |
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