期权在保险中的应用研究
摘要
期权是20世纪国际金融市场创新实践的一个成功典范，它给保险理论的发展注入了勃勃生机。被比喻为“一个姗姗来迟的婴儿”———保险期权的诞生给保险理论和实践带来了巨大的冲击和影响。现代保险业运用期权技术，开始突破传统保险业的基本功能，资金由保险市场向资本市场渗透，将保险风险转移到实力雄厚的资本市场，从而缓解承保能力和赔付能力不足的困境。目前，世界各国的保险业都在寻求转移保险风险和提高保险公司偿付能力的有效途径和方式，其中保险证券化寻求资本市场的支持是保险业发展的一种必然趋势，而保险期权作为这一趋势中出现的成功产物，使保险业的风险管理进入了一个崭新的阶段。本文首先从保险业的风险与期权的关系入手，研究了保险风险的概念与分类和期权的产生与内在价值，分析了利用期权进行保险风险管理的避险原理和基本特征，提出如何利用期权对保险风险进行有效的控制。接着，对保险期权进行深刻地阐述，详细分析了保险期权的含义、保险期权与再保险的区别、保险期权产生的原因、保险期权的可行性和保险期权产品的特点以及保险期权发展的障碍。然后，研究期权定价理论在保险中的运用，主要从三个方面对保险期权的定价进行探讨：基于利率的保险期权的定价理论、基于指数的保险期权定价理论以及基于小概率事件的保险期权的定价理论，并分别进行实证分析。最后是研究保险期权在我国保险业中的发展与挑战，主要是分析我国发展保险期权的潜在因素以及目前推进保险期权市场建立和发展存在的种种障碍，并在借鉴国际保险市场上发展保险期权的成功经验的基础上，结合我国保险市场和资本市场发展的现实国情，从完善我国金融保险体系的必要性出发，提出现阶段我国加强保险期权市场基础建设的一系列对策，最终为在我国建立一个有序健康的保险期权市场提供有益的参考。
As a successful derivative of the financial innovation in the international financial markect ,option has livened up the development of the insurance theoty . The birth of insurance option, compared into "a delayed baby ", has brought a tremendous impact into the theory and practice of the insurance and has had a great effect on the insurance industries.Modern insurance industry is beginning to infiltrate the foudamental functions of the traditional insurance industry by the technology of option .The risk for insurance is transferred into the rich capital markect by means of the fund penetration from the insurance markect to the capital markect so that the dilemma in the deficits of the insurance and payment abilities could be alleviated .The insurance industries all over the world are pursuing the effective methods and ways to transfer the insurance risk and to improve the ability of the insurance companies'payment .The securitization of insurance risk is a trend of the development of the insurance industry by gaining the support of the capital markect .Insurance option ,a successful product emerged in the trend ,lets the management of the risk in the insurance industry enter into a newly stage . Firstly ,on the basis of the relation between the risks in the insurance industry and option, this paper explains the concepts and classification of insurance risks,as well as the generationand internal value of option .Secondly ,the article analyzes the theoty of averting risk and the prime characters of the management of the insurance risks by application of option and puts forward how to apply to option to control the insurance risks availably .Thirdly ,the article foundly illustrates the insurance option ,describes the implications of the insurance risks in detail,studies the differences between the insurance option and reinsurance ,and argues the causes and probability of the insurance option ,as well as the feature of the products of the insurance option .Then the paper studies the application of the option pricing theoty in the insurance ,mainly probing into the theoty of the insurance option from three aspects : the pricing theoty of the insurance option on the basis of the interest rate,the pricing theoty of the insurance option on the basis of the indexes and the pricing theoty of the insurance option on the basis of small-probability incidents.At the same time ,it respectively analyzes them with examples.Finally ,the article studies the development and challenges of the insurance option in Chinese insurance industry,mainly analyzing the potential factors in developing the insurance option in China and all kinds of obstacles in setting up the insurance option markect .On the basis of the reference to the successful experience of developing the insurance option in the international insurance markets and in combination with the truth of the development of the insurance markect in China ,this paper puts forward a series of countermeasuresfor the foundamental construction of the insurance option markect at present in China in the light of the necessary of improving the systems in Chinese insurance and financy, ends with the beneficial references eventually provided with to set up a sound and orderly insurance option markect.
As a successful derivative of the financial innovation in the international financial markect ,option has livened up the development of the insurance theoty . The birth of insurance option, compared into "a delayed baby ", has brought a tremendous impact into the theory and practice of the insurance and has had a great effect on the insurance industries.Modern insurance industry is beginning to infiltrate the foudamental functions of the traditional insurance industry by the technology of option .The risk for insurance is transferred into the rich capital markect by means of the fund penetration from the insurance markect to the capital markect so that the dilemma in the deficits of the insurance and payment abilities could be alleviated .The insurance industries all over the world are pursuing the effective methods and ways to transfer the insurance risk and to improve the ability of the insurance companies'payment .The securitization of insurance risk is a trend of the development of the insurance industry by gaining the support of the capital markect .Insurance option ,a successful product emerged in the trend ,lets the management of the risk in the insurance industry enter into a newly stage . Firstly ,on the basis of the relation between the risks in the insurance industry and option, this paper explains the concepts and classification of insurance risks,as well as the generationand internal value of option .Secondly ,the article analyzes the theoty of averting risk and the prime characters of the management of the insurance risks by application of option and puts forward how to apply to option to control the insurance risks availably .Thirdly ,the article foundly illustrates the insurance option ,describes the implications of the insurance risks in detail,studies the differences between the insurance option and reinsurance ,and argues the causes and probability of the insurance option ,as well as the feature of the products of the insurance option .Then the paper studies the application of the option pricing theoty in the insurance ,mainly probing into the theoty of the insurance option from three aspects : the pricing theoty of the insurance option on the basis of the interest rate,the pricing theoty of the insurance option on the basis of the indexes and the pricing theoty of the insurance option on the basis of small-probability incidents.At the same time ,it respectively analyzes them with examples.Finally ,the article studies the development and challenges of the insurance option in Chinese insurance industry,mainly analyzing the potential factors in developing the insurance option in China and all kinds of obstacles in setting up the insurance option markect .On the basis of the reference to the successful experience of developing the insurance option in the international insurance markets and in combination with the truth of the development of the insurance markect in China ,this paper puts forward a series of countermeasuresfor the foundamental construction of the insurance option markect at present in China in the light of the necessary of improving the systems in Chinese insurance and financy, ends with the beneficial references eventually provided with to set up a sound and orderly insurance option markect.
引文
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