湖南师范大学自然科学学报

2020, v.43;No.183(04) 75-79

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洪涝巨灾债券的创新及其定价研究
Research on Innovation and Pricing of Flood Catastrophic Bonds

欧辉;周子雅;
OU Hui;ZHOU Zi-ya;College of Mathematics and Statistics, Hunan Normal University;

摘要(Abstract):

我国是一个巨灾频发的国家,洪涝作为典型的巨灾对我国经济造成了巨大的损失。为了丰富投资者的选择,在考虑风险厌恶因素的基础上,设计了一款两阶段洪涝巨灾债券并对其进行定价。最后,以洪涝灾害频发的湘鄂赣3省为研究对象进行了实证分析。
China is a country with frequent catastrophes. As a typical catastrophe, flooding has caused huge losses to China's economy. It is of practical significance to develop flood catastrophe bonds. In order to enrich investors' choices, in this work, a two-stage flood catastrophe bond was designed and priced based on risk aversion. Finally, empirical analyses were carried out on three provinces, Hunan,Hubei, and Jiangxi, with frequent floods and disasters to validate our pricing design.

关键词(KeyWords): 洪涝巨灾债券;债券定价;矩估计;对数正态分布
flood catastrophe bond;bond pricing;moment estimation;lognormal distribution

Abstract:

Keywords:

基金项目(Foundation): 湖南省哲学社会科学基金资助项目(17YBA291)

作者(Author): 欧辉;周子雅;
OU Hui;ZHOU Zi-ya;College of Mathematics and Statistics, Hunan Normal University;

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