Research On Pricing Of Marine Catastrophe Bonds In China Based On Risk Zoning

Because marine disasters have the characteristics of small probability of occurrence and huge losses,the traditional insurance system does not cover the risk of marine catastrophe.At present,the means of dealing with marine catastrophe mainly include government rescue and donations from all walks of life,which brings huge financial burden to the government.In order to effectively disperse and manage the risk of marine catastrophe,this paper studies the pricing of marine catastrophe bonds based on catastrophe risk zoning.The main work is as follows:(1)Marine catastrophe loss distribution fitting.Taking the storm surge disaster,which accounts for the vast majority of marine catastrophe losses,as an example,the basic statistical analysis of direct economic losses is carried out.For the thick tail characteristics of the data,the POT model is used to study the loss data.Parameter estimation is performed on the generalized Pareto distribution subject to the loss value,and the distribution of the loss data is obtained.Estimate the high quantiles under multiple confidence levels to predict the probability of direct economic losses caused by the next marine catastrophe in each interval.(2)Marine catastrophe risk zoning.Considering that marine disasters are seriously affected by geographical location,the degree of risk varies greatly in different regions.Risk indicators,vulnerability indicators,and moisture-proof and disaster-reducing indicators are selected for risk zoning in 11 coastal provinces affected by marine disasters.Firstly,the entropy method and the grey correlation method are used to quantitatively analyze the risk degree of each province,and the risk degree scores of each province are calculated.Then,the provinces are divided into three types of areas,namely high-risk area,medium-risk area and low.Risk area.Each type of area is given a corresponding weight.(3)Analysis of marine catastrophe bonds.Firstly,with the catastrophe loss as the trigger condition,a three-year marine catastrophe bond was designed.In order to meet the different risk preferences of investors,the two types of bonds,the principal guarantee type and the principal confiscation type,were designed.Secondly,the Poisson distribution was used.Based on the number of occurrences of marine catastrophe,the cash catastrophe bond is used to price marine catastrophe bonds,and the bond price is revised according to the degree of risk of each province.Finally,the scale of bond issuance is calculated,and corresponding countermeasures are proposed.