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中国管理科学

中国管理科学 ›› 2010, Vol. 18 ›› Issue (5): 34-39.

• 论文 • 上一篇    下一篇

中国地震巨灾期权定价机制研究

丁波1, 巴曙松2   

  1. 1. 中国银行总行稽核部, 北京 100818;
    2. 国务院发展研究中心金融研究所, 北京 100010
  • 收稿日期:2009-05-06 修回日期:2010-08-27 出版日期:2010-10-30 发布日期:2010-10-30
  • 作者简介:丁波(1984- ),男(汉族),江苏常州人,中国银行总行稽核部,助理经理,研究方向:金融理论与实务.

Empirical Study on Mechanism of the Earthquake Catastrophe Option Pricing in China

DING Bo1, BA Shu-song2   

  1. 1. Internal Audit Department, Head Office, Bank of China, Beijing 100818, China;
    2. Institute of Finance, the State Council Development Research Center, Beijing 100010, China
  • Received:2009-05-06 Revised:2010-08-27 Online:2010-10-30 Published:2010-10-30

PDF (PC)

1015

被引次数

8

摘要： 中国是遭受地震灾害最严重的国家之一,青海玉树地震将巨灾风险管理的课题再次摆到了研究者和决策者的面前.本文在剖析中国地震巨灾期权发展现状的基础上,借鉴并改进了海内外相关研究结论,构建了中国地震巨灾期权的定价模型,并对其进行了实证计量和讨论.通过对其定价机制的实证研究,本文对推动中国地震巨灾期权的发展提出了必要的政策建议.

关键词: 地震巨灾期权, 定价机制, 实证研究

Abstract: China is one of the countries suffering most serious earthquake disasters.Earthquake in Yushu,Qinghai Province makes the issue of catastrophe risk management be placed in front of the researchers and policy makers once again.This paper analyzes the development status of the earthquake catastrophe options in China,builds the China's earthquake catastrophe option pricing model and carries out some relevant empirical measurement and discussion,by referring to and improving research findings home and abroad.Through the empirical research of pricing mechanism,this papermakes the necessary policy recommendations to promote development of the earthquake catastrophe options in China.

Key words: earthquake catastrophe options, pricing mechanism, empirical study

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