مدلی برای قیمت گذاری سواپ زلزله و تحلیل حساسیت آن در ایران

محورهای موضوعی : مهندسی مالی

نصرالله محمودپور ¹ ( گروه مالی و بانکداری، دانشکده مدیریت و حسابداری، دانشگاه علامه طباطبایی، تهران، ایران )
عبدالساده نیسی ² ( گروه ریاضی، دانشکده علوم ریاضی و رایانه، دانشگاه علامه طباطبائی، تهران، ایران )
مسلم پیمانی ³ ( گروه مالی و بانکداری، دانشکده مدیریت و حسابداری، دانشگاه علامه طباطبایی، تهران، ایران )

تاریخ دریافت : 1398/05/06 تاریخ پذیرش : 1398/07/09 تاریخ انتشار : 1398/10/01

کلید واژه: تحلیل حساسیت, قیمت گذاری سواپ فاجعه, خسارت زلزله در ایران, روش تفاضل محدود,

چکیده مقاله :

افزایش خسارت‌های اقتصادی ناشی از وقایع طبیعی طی سال‌های اخیر، یکی از بزرگتر‌ین چالش‌های پیش روی صنعت بیمه و پژوهشگران برای یافتن ابزارهای نوین مالی جهت انتقال ریسک فجایع و کاهش زیان‌های اقتصادی می‌باشد. در این مقاله مدلی برای قیمت‌گذاری سواپ فاجعه با نوسان خسارت ثابت جهت کاهش ریسک شرکت‌های بیمه و بیمه اتکایی در ایران ارائه می شود، طرح تحقیق گذشته‌نگر و تحقیق کاربردی است، روش گردآوری داد‌ها کتابخانه‌ای و ابزار استفاده از اسناد و مدارک مورد بهره‌برداری قرار می‌گیرد، برای استخراج کل داده‌ها از روش همبستگی استفاده می ‌شود و تمام شماری خسارت کل زلزله‌های دارای تلفات، مخرب و تاثیر‌گذار در بازه زمانی 1288 الی 1397 در ایران مورد بررسی قرار گرفته است. احتمال وقوع و شدت خسارت ثابت و به صورت یک حرکت براونی پرش انتشار در نظر گرفته می شود، مدل دیفرانسیلی، انتگرالی استخراج شده با گسسته سازی به مدل دیفرانسیل معمولی تبدیل شده و با روش تفاضل محدود و نرم ابزار متلب جواب‌ها تخمین زده می‌شود، تغییرات مدل ارائه شده با تحلیل حساسیت لاندا مورد بررسی قرار می گیرد و سرانجام با داده‌های واقعی خسارت های زلزله در ایران، که از پایگاه داده ئی ام دات دیتا بیس و نتایج رگرسیون استخراج شده است، مدل اجرا می‌شود. بر اساس نتایج تحقیق قیمت اوراق سواپ فاجعه به ازای خسارت کمتر از آستانه ، روند افزایشی منظمی دارد، اما به محض رسیدن و رد شدن خسارت از آستانه، قیمت ها به شدت کاهش خواهند یافت

چکیده انگلیسی:

In recent years, increasing economic losses as a result of natural disasters are one of the main challenges fronting the insurance industry and researchers to discover original financial instruments so as to transmit disaster risks and minimize economic losses. In the present article, a model is suggested for catastrophe swap pricing with deterministic loss fluctuations in order to decrease the risk of insurance and reinsurance companies in Iran. The research is retrospective and applied; the data collection method is the library, and for the data collection use the documents. For the full data extraction, the correlation method is applied, For the purpose of extracting the complete data, the correlation method is used, all damages of earthquakes that have been fatal, destructive and affecting in the period 1927 to 2018 in Iran, have been investigated. The probability of the deterministic loss occurrence and severity are regarded to be Brownian motion of jump-diffusion. The extracted integral-differential model is converted into the standard differential one, and the answers are estimated via finite difference method and Matlab software. The changes to the suggested model are explored through the Lambda sensitivity analysis. As a final point, the model is implemented with real data of earthquake losses in Iran, which is extracted from the EM-DAT database and the regression results. Based on the results of the study, the price of catastrophe swap securities for less loss than the threshold has regular upward trend; however, once loss reached and passed the threshold, prices will drop dramatically.

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