基于极值理论的洪水灾害损失模型研究

巨灾风险具有发生概率低、毁灭性强等特点,其分布的极值与以往的经验分布不同,具有典型的厚尾特征.运用基于GPD分布的POT模型对我国历年洪水的损失数据进行拟合,并对形状参数及尺度参数进行估计,以此研究巨灾损失的尾部特征,得出结论,并提出建议,对巨灾债券产品的设计和定价具有重要的意义.

A study of the flood- loss model based on the extreme value theory

Catastrophe is a small probability event. However,once it occurs,it results in a large number of casualties and huge economic losses to the catastrophe- stricken countries. The loss of a catastrophe has the fat- tailed feature. The paper adopts the POT model based on GPD distribution and analyzes the shape parameters and scale parameters of the flood losses in China,which has much significance to the design and pricing of catastrophe bonds.