【摘 要】
：
为描述我国台风风暴潮发生时间间隔的记忆特性,采用一类新型风险模型——复合分数泊松模型刻画台风风暴潮风险,并研究台风风暴潮债券的定价问题.通过蒙特卡罗模拟方法,得到累积损失分布的概率解,并运用Wang两因素定价模型给出了我国台风风暴潮灾害债券价格问题.结果表明:随着期限的增加,债券价格出现单调减、先增后减或单调增等多种变化趋势,与记忆参数密切相关.这为更准确地评估我国台风风暴潮巨灾风险及其债券的科学定价提供了理论支持.
【机 构】
：
淮北师范大学 经济与管理学院,安徽 淮北 235000
论文部分内容阅读
为描述我国台风风暴潮发生时间间隔的记忆特性,采用一类新型风险模型——复合分数泊松模型刻画台风风暴潮风险,并研究台风风暴潮债券的定价问题.通过蒙特卡罗模拟方法,得到累积损失分布的概率解,并运用Wang两因素定价模型给出了我国台风风暴潮灾害债券价格问题.结果表明:随着期限的增加,债券价格出现单调减、先增后减或单调增等多种变化趋势,与记忆参数密切相关.这为更准确地评估我国台风风暴潮巨灾风险及其债券的科学定价提供了理论支持.
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