The Price Including American Catastrophe Insurance Futures Options And Its Research Significance

In recent years, as the rapid of world’s economy and finance, risk nature is tending to diversity and especially natural disasters are occurring frequently. It causes great loss amount of ascension.And it makes the insurer has to actively seek a highly efficient risk transfer methods except reinsurance. Facing losses that their insured object suffered serious disasters, they want to reduce and avoid its own risk loss effectively. So the Chicago board of trade pioneered insurance futures which is a financial derivative in 1992.This article firstly introduces the insurance futures characteristics, application in the transfer of risk, advantages analysis. And according to the review of catas-trophe,the Asian option pricing model of logarithmic normal jump diffusion model is established, and application of actuarial method and risk neutral under the mar-tingale method of catastrophe insurance futures and options pricing. It means that it constructs a new equivalent martingale measure to get the formula of European call insurance futures options pricing problem.Finally,the paper introduces the present situation of the insurance market in our country, our country has not yet been implemented catastrophe risk securiti-zation, the catastrophe insurance futures and options as one of risk securitization in our country is not produced. Theauthor gives some suggestions on developmen-t of catastrophe risk securitization in China based on the catastrophe insurance macro advantage and necessity analysis, and the feasibility of the securitization of catastrophe insurance in our country development, according to the securitization of catastrophe risk enlightenment to our country and the formula for pricing as well as the application of this method.