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巨灾债券作为一种金融创新产品,可以有效解决保险市场巨灾风险非可保性问题,正逐步被一些国家应用于农业保险领域。本文以安徽省棉花年产量数据为样本,以该地区相对于长期平均趋势产量偏差量为损失指数,设计了一种农业巨灾债券。研究结果表明:通过样条回归与Gaussian核密度估计法,以及产量损失分布与利率风险相结合,可以初步构建中国农业巨灾债券的定价模型并付诸实践。
Catastrophe bonds, as a financial innovation product, can effectively solve the problem of insurability of catastrophic catastrophe risk in the insurance market and is gradually being applied by some countries in the field of agricultural insurance. In this paper, annual cotton yield data in Anhui Province as a sample, with the region relative to the long-term average trend of yield deviation as a loss index, designed an agricultural catastrophe bonds. The results show that through the spline regression and Gaussian kernel density estimation method and the combination of yield loss distribution and interest rate risk, the pricing model of China Agricultural Catastrophe Bond can be initially constructed and put into practice.