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巨灾期权定价理论的滞后是阻碍其市场发展的重要原因之一。利用保险精算原理为巨灾期权定价具有一定优势,并可以借鉴寿险精算中的生命表技术来编制巨灾指数分布表。本文首先从保险精算的角度推导出了巨灾期权的理论定价公式;其次利用巨灾指数分布表对巨灾期权进行了保险精算实证定价;最后比较分析了巨灾指数分布表和寿险生命表。
Lagging of catastrophe option pricing theory is one of the important reasons that hinder its market development. The use of actuarial principles for the pricing of catastrophe options has some advantages, and life table technology can be used for life actuarial compilation of catastrophe index distribution table. In this paper, the author first deduces the theoretical pricing formula of catastrophe options from the perspective of actuarial calculation. Secondly, using catastrophe index distribution table, we make actuarial empirical pricing of catastrophe options. Finally, we compare and analyze catastrophe index distribution table and life table.