Abstract: This paper establishes four types of catastrophe(CAT) bonds based on hybrid and single trigger mechanisms,floating and fixed payment structures respectively.The results of various CAT bonds are compared to analyze the impact of the trigger mechanism and the payment structure on the pricing.The Monte Carlo simulation is used to realize the synchronous pricing of all types of CAT bonds with the application of the earthquake data in China from 1990 to 2017.The results indicate that both the hybrid trigger mechanism and the floating payment structure can increase the price of CAT bonds,reduce the moral hazard and the investment risk.The combination of them can effectively enhance the investment attractiveness and the market competitiveness of CAT bonds.

Key words: CAT Bonds, Trigger Mechanism, Payment Structure

摘要： 基于混合和单一两类触发机制、浮动和固定两种支付结构,构建4种类型巨灾债券的定价模型,采用我国1990～2017年间的地震灾害数据,通过蒙特卡罗模拟实现对各类巨灾债券的同步定价,并对定价结果进行比较分析。研究发现,应用混合触发机制和浮动支付结构均能提高巨灾债券的价格,降低道德风险和投资风险,将二者结合能有效提高巨灾债券的投资吸引力和市场竞争力。

关键词: 巨灾债券, 触发机制, 支付结构