《保险研究》20200406-《传染病风险的资本市场解决方案流行病巨灾债券及其定价分析》（李晓翾、常笑迎）

［摘   要］随着社会和经济的不断发展,巨灾债券逐渐成为金融市场中一种重要的金融产品。巨灾债券的存在,一方面满足了社会对巨灾风险的经济保障需求,另一方面又为投资者提供了一种高收益的且风险分散性较好的投资产品。同时,随着社会的发展,巨灾债券的保障范围也开始逐渐扩大,从自然灾害扩展到人为事故,再到流行病风险。2020年初的新型冠状病毒肺炎疫情对流行病巨灾债券的市场价格造成了巨大的影响。本文对传染病巨灾债券的市场价格波动及其定价原理进行了深入的研究与分析,从定价的角度看,流行病巨灾债券的市场价格的剧烈变化,反映了市场对定价公式中几个重要参数的态度。

［关键词］巨灾债券；传染病；定价

［作者简介］李晓翾,高级经济师,中国精算师,英国精算师(FIA),北美产险精算师(FCAS),中国财产再保险有限责任公司总精算师；常笑迎,中国精算师,中国财产再保险有限责任公司精算部精算师。

A Capital Market Solution to the Epidemic Risk-Epidemic Catastrophe Bonds and Their Pricing

LI Xiao-xuan,CHANG Xiao-ying

Abstract：With the socio-economic development,catastrophe bonds have gradually become an important financial product in the financial market. On the one hand,catastrophe bonds meet the economic protection demands against catastrophe risks,and on the other hand they also provide investors with an investment product with high yields and good risk diversification. Meanwhile,along with the development of the society,the scope of coverage of catastrophe bonds has extended from not only natural disasters but also man-made ones as well as epidemics. However,the outbreak of coronavirus pneumonia in early 2020 has exerted a huge impact on the price of epidemic catastrophe bonds. This paper conducted an in-depth study on the market price volatility and pricing mechanism of epidemic catastrophe bonds. From the pricing perspective,the huge price change of the bond reflects the market’s attitude to several important metrics in the pricing formula.

Key words：Cat Bond;epidemic;pricing