摘要
由于传统多事件触发巨灾债券的触发事件之间具有一定的相关性,投资者损失的可能性和收益波动性较大.为了减小这一弊端带来的影响,本文以地震巨灾债券为例,在考虑风险反馈情况下重新构造了多事件触发巨灾债券的支付函数,并在最大化保险公司对冲效率的目标下,通过蒙特卡洛模拟给出了全部风险事件触发后债券现金流支付的最优折扣系数.研究表明,在新的支付函数下,投资者期望收益率增加,收益波动性减小,该债券更具市场吸引力.最后,本文重点分析了巨灾触发参数值对最优折扣系数的影响.
Due to the correlation between the trigger events of traditional multi-event catastrophe bonds,investors are more likely to suffer losses and their returns are more volatile.In order to reduce the impact of this disadvantage,taking earthquake catastrophe bond as an example,this paper reconstructs the payment function of multi-events catastrophe bond considering risk feedback.Under the objective of maximizing the hedging efficiency of insurance companies,we obtain the optimal discount coefficient of the cash flow payment after triggering all risk events by Monte Carlo simulation.The results show that under the new payment function,the expected return of investors increases and the volatility of return decreases,which makes the bond more attractive to the market.Finally,we focuses on the analysis of the impact of catastrophe triggering parameters on the optimal discount coefficient.
作者
孙振涛
姚定俊
程恭品
SUN Zhentao;YAO Dingjun;CHENG Gongpin(School of Finance,Nanjing University of Finance and Economics,Nanjing,210023,China;School of Economics,Nanjing University of Finance and Economics,Nanjing,210023,China)
出处
《应用概率统计》
CSCD
北大核心
2021年第5期461-477,共17页
Chinese Journal of Applied Probability and Statistics
基金
国家自然科学基金项目(批准号:71671082、11801265)
江苏省高校自然科学基金项目(批准号:18KJB110011)资助.
关键词
巨灾债券
风险反馈
多事件触发
蒙特卡洛模拟
对冲效率
折扣系数
CAT bonds
risk feedback
multi-events trigger
Monte Carlo simulation
hedging efficiency
discount coefficient
