摘要
巨灾在全球范围内严重地威胁着人类的生命安全与财产安全,巨灾保险是减少巨灾损失、加速灾后恢复建设工作的有效手段,但是巨灾保险的致损个体具有较强的相关性,因此巨灾保险可能带来巨额赔付责任,这成为发展巨灾保险的限制因素。巨灾债券是巨灾保险承保风险转移的新途径,其将巨灾保险承保风险以证券化的形式在证券市场加以分散,发挥证券市场蓄水池的作用,从而保证巨灾保险业务稳定开展。目前我国已经具备发展巨灾债券的基本条件,但是我国在巨灾债券理论的研究方面处于滞后阶段,这制约着我国巨灾债券业务的发展。在巨灾债券理论的相关研究中,巨灾债券定价是首要研究方向,其对巨灾债券早日发行及巨灾保险体系的建立与完善起到关键性的推动作用,因此具有重要的理论价值与实践意义,所以本文对我国巨灾债券定价模型的构建展开了研究。
任何研究都是遵循于一定的研究范式,研究范式的正确性与先进性保证了研究成果的质量,当前主流巨灾债券定价模型的某些不足也是由于其研究范式的缺陷所造成的,因此,本文首先确立了文中我国巨灾债券定价模型的研究范式。本文对标准金融理论与行为金融理论在巨灾债券定价领域的应用进行了分析,分别指出两种理论在前提假设、价值理论基础与决策工具方面的优势与劣势,并结合分析结果阐明了标准金融理论与行为金融理论在本文的巨灾债券定价模型构建中所解决的具体问题。本部分又对巨灾债券定价的特点进行了技术性分析,这是确立研究范式的一个重要基础环节。在此基础上,本文对不同的研究范式展开比较研究,基于研究结果,最后确立了本文中我国巨灾债券定价模型的研究范式,从而保证了本文研究成果的质量并为下文的研究奠定了基础。
前提假设决定定价模型适用范围的大小与实用性的强弱,在正确的研究范式下,本文利用期望理论对主流巨灾债券定价模型的一般前提假设作出修正,进而确立了构建我国巨灾债券定价模型的基本前提假设。文章对主流巨灾债券定价模型的一般前提假设进行了提取:巨灾债券投资者完全理性假设、巨灾债券投资者拥有完全信息假设、巨灾债券投资者拥有完备知识体系假设与巨灾债券投资者风险态度不变假设。本文认为这些一般前提假设与巨灾债券投资者的真实情况并不相符,因此利用期望理论对其作出深入分析并加以修正,在此基础上,结合我国具体国情,确立了构建我国巨灾债券定价模型的六个基本前提假设,保证了本文构建的巨灾债券定价模型在我国能具有较大的适用范围与较好的实用性。
本文分析了主流巨灾债券定价模型价值理论基础的缺陷,并利用价值函数理论对其作出修正,进而确定我国巨灾债券定价模型的价值理论基础。本文对主流巨灾债券定价模型的价值理论基础做了深入分析后认为,其前提假设、价值判断标准与决策工具的缺陷也是主流巨灾债券定价模型拟合价格与巨灾债券真实市场价格在某些情况下存在异常差异的主要原因之一。因此,本文利用价值函数理论对主流巨灾债券定价模型价值理论基础的前提假设、价值判断标准、决策工具进行修正与替代,基于研究结果确立了我国巨灾债券定价模型的价值理论基础,并且利用我国证券市场的相关数据建立价值函数为模型最终建立时价值理论基础的调整做好准备,本部分的研究保证了我国巨灾债券定价模型的拟合价格能具有更好的精确度。
在前文研究的基础上,文章对巨灾债券双重属性进行了协调,并分析了主流巨灾债券风险与收益匹配方法,进而确定本文中我国巨灾债券定价模型所采用的风险收益匹配方法。巨灾债券双重属性使其定价时要面对两个市场的不同风险,本文根据“求同存异”原则对这些风险进行归类与选择,确定高度偏斜分布的巨灾风险、投资风险、技术风险与竞争风险为我国巨灾债券定价过程中将面对的主要风险,在此基础上,本文根据“外部调整,内部整合”原则对巨灾债券双重属性进行协调。之后,文章分析了主流巨灾债券风险收益匹配方法,在充分借鉴的基础上,结合巨灾债券的双重属性,确定了本文中我国巨灾债券定价模型所采用的风险收益匹配方法,初步构建了我国巨灾债券定价模型的基本内核。最后,文章利用相关数据对选用的风险收益匹配方法进行实证研究,结果表明本文选用的风险收益匹配方法具有较高的科学性,相较于主流传统的风险收益匹配方法具有较大的优势。
风险收益匹配方法确定后,引入投资者投资心理因素将使本文的巨灾债券定价模型具备行为资产定价模型的特征。本文分析了投资者投资心理对我国巨灾债券定价模型构建的影响,并利用参考点效应理论对该问题加以解决。行为资产定价理论认为投资者投资心理对证券产品的定价有重要影响作用。本文依据此观点,分析投资者投资心理对我国巨灾债券定价模型的影响作用后认为,“锚定心理”是投资者决策过程中最稳定的心理效应。因此,本文利用参考点效应理论分析我国投资者的投资心理,并利用德尔婓问卷调查法与层次分析法构建巨灾债券的参考价格,使其与价值函数理论结合使用,解决投资者投资心理影响我国巨灾债券定价模型构建的问题。
最后,本文在综合以上各研究结果的基础上构建我国巨灾债券定价模型。由于巨灾债券尚未在我国发行,因此不存在巨灾债券市场价格,无法对模型进行回归验证,所以本文最后给出相应的释例,进一步解释模型的运算机理与过程,利用再保险理论公平价格、市场隐含再保险价格、精算等方法对模型拟合价格的可行性作出分析,并利用期望理论对模型拟合价格作出了合理解释。希望本文关于我国巨灾债券定价模型的研究能为我国巨灾债券定价理论的发展起到抛砖引玉的作用,能促进我国巨灾债券的早日发行及巨灾保险体系的建立与完善。
Catastrophe bond is one of insurance risk securitization. Catastrophe bond transfers underwriting risk to securities business that can disperse underwriting risk in bigger area. China also has basic conditions to issue catastrophe bonds. But study on interrelated theories of catastrophe bond hangs behind in china, which is the restriction to issue catastrophe bond. In the studies on interrelated theories of catastrophe bond, study on catastrophe bond pricing method is the most important. So the study has important merit of theory and meaning of practice. The paper will study how to construct catastrophe bond pricing model in china.
Firstly, the paper affirms research paradigm of chinese catastrophe bond pricing model. Any research should follow some research paradigm. Correctness and advanced nature of research paradigm let research work have good research conclusions. Because of research paradigm having defects, traditional catastrophe bond pricing model’s stimulant price has exceptional difference with actual price of catastrophe bond. The paper has analysis on advantage and disadvantage of standard finance theory and behavioral finance theory being used in catastrophe bond pricing technology field. On the base, the paper has comparative study on the research paradigm of catastrophe bond pricing according to catastrophe bond pricing’s characteristics. At last, the paper affirms research paradigm of chinese catastrophe bond pricing model, that let the paper have good research conclusions.
Secondly, the paper amends the hypothesis of traditional catastrophe bond pricing model based on prospect theory, and affirms the basic hypothesis of Chinese catastrophe bond pricing model. Hypothesis has important affection on using range of pricing model. One reason that traditional catastrophe bond pricing model’s stimulant price has exceptional difference with actual price of catastrophe bond on some conditions because of is that hypothesis based on standard finance theory doesn’t accord with the facts. The paper has analysis on and amends the hypothesis of traditional catastrophe bond pricing model based on prospect theory, and affirms the basic hypothesis of Chinese catastrophe bond pricing model. It lets Chinese catastrophe bond pricing model have better stimulant price and bigger using range.
Thirdly, the paper has analysis on defects of traditional catastrophe bond pricing model’s value theoretics base, and uses value function theory to amend these defects. On the base, the paper affirms Chinese catastrophe bond pricing model’s value theoretics base. The paper thinks that hypothesis, value estimation criterion and decision-making tool of traditional catastrophe bond pricing model’s value theoretics base have defects. It is one reason that traditional catastrophe bond pricing model’s stimulant price has exceptional difference with actual price of catastrophe bond on some conditions because of. So the paper uses value function theory to amend hypothesis, value estimation criterion and decision-making tool of traditional catastrophe bond pricing model’s value theoretics base, and affirms Chinese catastrophe bond pricing model’s value theoretics base. It lets Chinese catastrophe bond pricing model’s stimulant price have better precision.
Fourthly, harmony of catastrophe bond’s dual attributes is carried out. And the paper has analysis on the matching method of deflective risk distributing and income. On the base, the paper affirms the matching method of deflective risk distributing and income that Chinese catastrophe bond pricing model should adopt. The paper analyzes systemic risk and non-systemic risk of catastrophe bonds’dual attributes. On the base, the paper filtrates and incorporates the systemic risk and non-systemic risk, and confirms that investment risk, technology risk and competition risk have important influence on catastrophe bond’s dual attributes. So harmony of catastrophe bond’s dual attributes is carried out. The paper draws useful lessons from traditional catastrophe bond pricing model’s matching method of deflective risk distributing and income, and affirms Chinese catastrophe bond pricing model’s matching method of deflective risk distributing and income based on catastrophe bond’s dual attributes. Basic frame of Chinese catastrophe bond pricing model has been constructed.
Fifthly, the paper has analysis on affection of investor’s investment mentality on constrction of Chinese catastrophe bond pricing model, and solves the problem with reference point effect theory. Behavioral asset pricing theory thinks that investor’s investment mentality has important affection on securities product’s pricing. Based on behavioral asset pricing theory’s point, anchorage mentality is the most stable mentality in investment process. The paper analyzes Chinese investor’s investment mentality with reference point effect theory, and constructs catastrophe bond’s reference price. The paper uses catastrophe bond’s reference price and value function theory to solve affection of investor’s investment mentality on constrction of Chinese catastrophe bond pricing model.
At last, the paper constructs Chinese catastrophe bond pricing model based on the above research conclusions. Because catastrophe bonds haven’t been issued in china, there are not market prices of catastrophe bonds. And regression test can’t be done. The paper does two examples to explain how to use the catastrophe bond pricing model of china that is constructed in the paper. The paper uses reinsurance theoretical fair price, market implicated reinsurance price and actuarial theory to analyze feasibility of Chinese catastrophe bond pricing model’s stimulant price, and gives reasonable explanation to Chinese catastrophe bond pricing model’s stimulant price based on prospect theory.The author hopes that the paper can make significative research for development of catastrophe bond pricing theory in china, and accelerate issue of catastrophe bonds in china.
引文
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