巨灾期权

巨灾风险证券化，包括：巨灾债券、巨灾期权、巨灾互换以及或有资本。

Catastrophe risk securitization , including : catastrophe bonds , catastrophe options , catastrophe swaps and contingent capital .

巨灾风险证券化产品主要包括：巨灾债券、巨灾期权、巨灾期货和巨灾互换，其中，巨灾债券和巨灾期权在近年来的国际保险市场上发展迅速，交易日趋活跃。

The main products of catastrophe risk securitization are : catastrophe bonds , catastrophe options , catastrophe futures and catastrophe swaps , among which , the catastrophe bonds and the catastrophe options are developing fast in recent years , the transaction is very active .

论巨灾期权在我国的发展

On the Development of the Catastrophic Option in Our Country

首先，依据动态资产定价理论，将巨灾期权视作双触发原因期权，运用鞅过程原理、随机过程理论，建立基于地震灾害损失分布的巨灾期权定价公式。

Apply the principle of martingale process and stochastic process theory to establish pricing formula of catastrophe option based on losses distribution of earthquake disasters .

巨灾期权是巨灾风险管理发展到一定阶段，保险和金融结合的产物。

With the rapid development of financial and capital markets , catastrophe option has been created , and this product provides much wide space to diversify catastrophe risks .

通过算例实证表明，期权定价公式定价效果比较理想。最后，考虑到模型以外的因素对巨灾期权价格产生影响，提出完善巨灾期权定价模型的措施。

Examples show good effect on option pricing formula . Finally , make pertinent suggestions about catastrophe option pricing formula , considering that factors beyond the model have an impact on price of option .

目前主要的巨灾风险证券化工具有巨灾债券、巨灾互换、应急资本和巨灾期权等。这些产品各有其优势和局限性。

Catastrophe bonds , catastrophe swaps , contingent capital , and catastrophe options are the four main instruments of catastrophe risk securitizations .