Extreme Mortality Bond Product Design Research

The occurrence of extreme events caused a large number of casualties,but also a serious threat to the normal operation of life insurance companies.The extreme mortality risk securitization provides a new way for the effective transfer of risk.China is greatly affected by natural disasters.In particular,the Wenchuan earthquake in 2008 caused a lot of casualties and property losses,which caused many scholars to pay attention to and Research on earthquake insurance.There is no doubt that the earthquake insurance plays an important role for disaster recovery and reconstruction and loss compensation.The present study for earthquake insurance mainly concentrated in property insurance,but because of the earthquake death included in ordinary life insurance coverage,it is not a separate insurance product research.Yunnan Province,as a region with the most serious earthquake disaster in China,has a great demand for earthquake death insurance.At the same time,the death of a large number of people makes it difficult for life insurance companies to disperse the risk of extreme earthquake mortality.In the face of pension earthquake disaster medical aid and the families of the victims of excessive dependence on government,the existing insurance products can ease the fiscal expenditure and not meet the insurance needs of the situation.it needs a kind of innovative insurance products play to improve the security level of earthquake deaths and ease the pressure on the parties.Earthquake extreme death bonds with the full capital market funds have the ability to bear the risk of strong advantages,the traditional life insurance market is difficult to bear the risk of extreme earthquake mortality transfer to bond investors.The bond can effectively alleviate the government expenditure pressure,put more money into the service and guarantee the livelihood of the people.On the other hand,it effectively improves the security level of the life insurance company and the kinds of capital market financial products.Also it promotes the coordinated development of the insurance market and capital market.At present,the earthquake bond is in the stage of theoretical research,but it has practical necessity.We should not only learn from foreign successful cases,but also from the actual situation in our country.Firstly,this paper expounds the characteristics of the extreme death rate bonds from the perspective of the concept of extreme death rate bonds,and makes an in-depth analysis of its necessity and feasibility.Secondly,this paper gives a clear explanation of the operation mode of the current extreme mortality bonds.Then,this paper introduces the model for estimating the extreme earthquake mortality and put the ZIP model to fit the death toll of each earthquake.It makes up the traditional fitting distribution of zero inflated count data to estimate the parameters of the bias of the Bayesian estimation method,combined with data missing.Finally,according to the actual situation of Yunnan Province,this paper designs a system of extreme earthquake death rate,which is led by the government and participated by many financial institutions.The Yunnan Province earthquake data and seismic data combined with the number of death ZIP model on mortality were estimated,and the design of trigger conditions is greater than the estimated mortality for actual mortality.According to the different levels of risk bonds,we use the interest rate structure model with Shibor as the benchmark theory of extreme earthquake mortality bond pricing.We determine a variety of bonds on the issue price of the security bond issue the price is 102.04 yuan,the principal guarantee bond issuance price of 101.88 yuan,the principal non guaranteed bond price is 94.05 yuan.At the end of the article,the author puts forward some countermeasures for the problems in the issuance of the extreme death rate in Yunnan.