英文标题：
《Loading Pricing of Catastrophe Bonds and Other Long-Dated,
Insurance-Type Contracts》
---
作者：
Eckhard Platen and David Taylor
---
最新提交年份：
2016
---
英文摘要：
Catastrophe risk is a major threat faced by individuals, companies, and entire economies. Catastrophe (CAT) bonds have emerged as a method to offset this risk and a corresponding literature has developed that attempts to provide a market-consistent pricing methodology for these and other long-dated, insurance-type contracts. This paper aims to unify and generalize several of the widely-used pricing approaches for long-dated contracts with a focus on stylized CAT bonds and market-consistent valuation. It proposes a loading pricing concept that combines the theoretically possible minimal price of a contract with its formally obtained risk neutral price, without creating economically meaningful arbitrage. A loading degree controls how much influence the formally obtained risk neutral price has on the market price. A key finding is that this loading degree has to be constant for a minimally fluctuating contract, and is an important, measurable characteristic for prices of long-dated contracts. Loading pricing allows long-dated, insurance-type contracts to be priced less expensively and with higher return on investment than under classical pricing approaches. Loading pricing enables insurance companies to accumulate systematically reserves needed to manage its risk of ruin in a market consistent manner.
---
中文摘要：
巨灾风险是个人、公司和整个经济体面临的主要威胁。巨灾（CAT）债券已成为抵消这一风险的一种方法，并开发了相应的文献，试图为这些和其他长期保险类合同提供市场一致的定价方法。本文旨在统一和概括几种广泛使用的长期合同定价方法，重点关注风格化的CAT债券和市场一致性估值。它提出了一种负荷定价概念，将合同理论上可能的最低价格与其正式获得的风险中性价格相结合，而不会产生有经济意义的套利。负荷程度控制正式获得的风险中性价格对市场价格的影响程度。一个关键的发现是，对于波动最小的合同，这种负荷程度必须是恒定的，并且是长期合同价格的一个重要的、可衡量的特征。与传统定价方法相比，加载定价允许长期保险类合同的定价更低，投资回报更高。装货定价使保险公司能够系统地积累必要的准备金，以市场一致的方式管理其破产风险。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
--
一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
--

---
PDF下载：
-->