Considering that short sales are not allowed on risky securties , the author studies optimization model of riskless asset combination investment and presents their caculation formula of investment proportions by means of the utility function 摘要在考虑限制卖空风险证券的基础上，借助用函数，对无风险资产存在时证券投资组合优化模型进行研究，给出了期望效用最大化时无风险资产和风险证券投资权重的解析表达式。
In order to compete with traditional insurance industry and convert risks , western investment banks and insurance companies are actively studying insurance risk securitization , designing and developing risk converting instruments including insurance bonds , insurance derivative products and so on 西方的投资银行、保险公司都在积极研究保险风险证券化,设计开发包括保险债券、保险衍生产品等在内的风险转移工具,来挑战传统的保险业,以达到转移风险的目的。
Although traditional reinsurance is still a major bearer to absorb risk , as a financial method of insurance company to deal with catastrophic risk , insurance risk securities are taking a more and more apparent role in shortening the gap between high catastrophe loss and insurance accepting capability of insurance industry 尽管传统的再保险方式仍然是吸纳风险的主要载体,保险风险证券作为保险公司化解巨灾风险的一种金融方式,在缩短高额巨灾损失与承保能力之间的差距方面,正在发挥着越来越显著的作用。
Reinsurance has long been played an important role in the managing of catastrophe risk of insurers since it came into being . however , reinsurance has weakness of itself . so some insurers began developing a new class of financial instruments that transfer insurance risk to capital market “他山之石,可以攻玉” ,鉴于巨灾风险管理的国际经验,巨灾风险证券化产品的推出为我国防范和化解巨灾风险提供了一条新思路,有利于加快我国保险市场和资本市场融合的进程,并有助于扩大保险资金来源,转移和分散巨灾风险。
The research on the catastrophic risk securitization means a lot since it ’ s a first - time combination of capital market and property insurance company . with the help of catastrophic risk securitization , insurance companies expand into a new market and the unbalanced cash flow is in balance again 但是由于我国的保险市场和资本市场均处于初级阶段,简单的拿来主义并不可取,我们应深入研究国际上巨灾风险证券化的运作方式,在结合我国实际情况的基础上,找到我国发展巨灾风险证券化的有效途径。
In chapter3 , information is divided into two basic types , the marginal equation of bond price and short - term interest variations is established , thus the security price variations and the price equilibrium of other assets ( risk security non - risk security are included ) are analyzed by the implement of portfolio theory . finally the bond value equation which takes equilibrium return as its yield parameter is established through the theory of comparative return . in chapter 4 , the intra - information and the transferable system of price is emphasized and the market - maker model and expected model under non - perfect information market conditions are established , and the disaccord of the influence of extra - information and intra - information on the security price is discussed 第三章将债券的价格均衡划分为两大基本类型，建立了债券与短期利率变动的边际方程，运用组合原理分析债券价格变动与其它资产(包括风险证券和无风险证券)的价格均衡关系，通过比较收益原理建立了债券以市场均衡收益为折现参数的价值方程，并通过实证检验了该模型的合理性；第四章，分析了内部信息与价格的传导原理，建立了非完全信息市场条件下价格传递信息的做市商模型和预期模型，并讨论外部信息与内部信息对股票价格影响的非一致性。
Through issuance the insurance - linked securities , insurance companies can not only acquire large amounts of funds from capital market , but also hedge their exposures by transferring risk to investors , which enhances the capability of insurance industry . investors can gain high yield unaffected by financial market variable because of the characteristic of independence between insurance risk and economic variable 20世纪90年代，通过发行基于巨灾风险的证券，既从资本市场上获得了大量的资金，又可以将保险市场的风险分散到资本市场，即所谓巨灾风险证券化，有效地提高了保险业的承保能力和抵御风险的能力。
