| 基于B-K二叉树利率模型的巨灾债券定价研究 |
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| 引用本文： | 侯峰,金大有.基于B-K二叉树利率模型的巨灾债券定价研究[J].数学的实践与认识,2010,40(2). |
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| 作者姓名： | 侯峰 金大有 |
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| 作者单位： | 1. 北方工业大学理学院,北京,100144
2. 北方工业大学经管学院,北京,100144 |
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| 摘 要： | 针对一种巨灾保险风险证券化产品-巨灾债券的定价问题,首次考虑了我国短期利率的期限结构,并在此基础上提出了Black-Karasinski利率二叉树建立方法(B-K模型),以此确定了中国短期无风险利率,最后通过Louberge巨灾债券理论定价方法试着对我国假想台风损失巨灾债券进行了具体定价,为我国进行巨灾保险风险证券化定价方面提供了一种新的尝试.
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| 关 键 词： | 巨灾债券 二叉树 利率期限结构 |
Pricing Cat Bond Based on the B-K Binomial Tree Rate Model |
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| HOU Feng,JIN Da-you.Pricing Cat Bond Based on the B-K Binomial Tree Rate Model[J].Mathematics in Practice and Theory,2010,40(2). |
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| Authors: | HOU Feng JIN Da-you |
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| Institution: | HOU Feng~1,JIN Da-you~2 (1.North China University of technology Science College,Beijing 100144,China) (2.North China University of Technology Economic Management College,China) |
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| Abstract: | This paper is focused on studying the catastrophe insurance risk securitization - the catastrophe bonds pricing.We firstly considerate the short term structure of interest rate,and on this basis,we put forward Black - Karasinski binomial tree rate model and determined the short-term risk-free rate of China;Finally,according to Louberge catastrophe bonds theory and pricing method on the basis of term structure of interest binomial rate in tree,we tried to price our hypothetical typhoon loss catastrophe bonds... |
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| Keywords: | cat bond binomial tree the term structure of interest rate |
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