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地震序列对基于风险的灾难债券定价的影响
Harsh K Mistry1, Andres Hernandez2, Philippe Guéguen2
1Department of Mechanical, Aerospace and Civil Engineering, University of Manchester, Manchester, UK.
概括
灾难债券 (猫债) 定价模型经常忽视地震余震,导致不准确的风险评估. 这项研究引入了一个依赖时间的模型,计算地震序列,可能会将猫债券价格改变高达45%.
科学领域:
- * 金融数学 金融数学
- * 地震学 关于地震的研究
- * 风险管理 风险管理
背景情况:
- *灾难债券 (cat bond) 是一种将特定风险转移到资本市场的金融工具.
- *目前的猫债券定价模型通常集中在地震主震上,忽视了余震的影响.
- *从地震序列的实证证据 (例如,意大利中部2016-2017年) 显示余震可以造成重大经济损失.
研究的目的:
- *为猫债券定价开发和实施一个依赖时间的总损失模型.
- *将地震性聚类和损害积累效应纳入损失计算.
- * 评估地震序列对猫债券定价的影响.
主要方法:
- * 开发一个依赖时间的总损失模型.
- *使用2016-2017年意大利中部地震序列的地震事件对模型进行校准.
- *将该模型应用于意大利五个市镇,以评估猫债券定价差异.
主要成果:
- * 与标准定价假设相反,余震可能会对整体经济损失做出重大贡献.
- * 拟议的时间依赖模型揭示了猫债券定价的潜在差异.
- * 忽视定价模型中的时间依赖性可能导致价格差异高达45%.
结论:
- * 标准的猫债券定价方法不足,因为它们忽视了地震序列的影响.
- * 在地震活跃地区,依赖时间的模型对于准确定价猫债券至关重要.
- * 准确的风险评估和猫债券定价需要纳入地震序列的全部影响.
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