河南大学硕士学位论文中国地震风险债券的定价研究姓名：齐超颖申请学位级别：硕士专业：数量经济学指导教师：董栓成2011-05
햪 튪 뻝죰쪿퓙놣쿕릫쮾뗄튻럝퇐뺿놨룦뷡맻뇭쏷ꎺퟔ20쫀볍70쓪듺틔살ꎬ뻞퓖퓚쫀뷧룷맺놬랢뗄욵싊돊짏짽쟷쫆ꆣ폫듋춬쪱ꎬ평뻞퓖퓬돉뗄뺭볃쯰쪧튲퓚쿔훸퓶볓ꆣ놣쿕릫쮾틲돐놣뻞퓖럧쿕뛸돐쫜뗄쯰쪧튲풽살풽듳ꎬ솬탸벸듎뗄뻞퓖쯷엢뻍폐뿉쓜쪹놣쿕릫쮾쿝죫삧뺳ꆣ평듋퓙놣쿕펦퓋뛸짺ꆣ 퓚놣쿕릫쮾뗄뷰쏦뛔풽살풽뛠뗄뻞퓖쯷엢ힽ뷳볻훢뗄쟩뿶쿂ꎬ뾪쪼폐죋붫쒿맢쿲뻟폐잿듳뷰횧돖뗄놾쫐뎡ꆣ헢튻뻞퓖럧쿕횤좯뮯뗄뷡맻뇣쫇닺짺쇋뫜뛠놣쿕솪뷡횤좯닺욷ꎬ죧뻞퓖웚좨ꆢ뻞퓖웚믵ꆢ뻞퓖햮좯뗈ꆣ 놾컄쫗쿈듓뻞퓖햮좯뗄뷡릹죫쫖ꎬ춨맽럖컶듋샠햮좯뗄폅좱뗣벰웤랢탐뗄뿉탐탔ꎬ돤럖닻쫶쇋퓚뷰죚쫐뎡짏뻞퓖햮좯쓜릻폅쿈폚웤쯻놣쿕솪뷡횤좯뛸뿬쯙랢햹뗄풭틲ꆣ 웤듎ꎬ컄헂쳡벰쇋뗘헰헢튻벸뫵쫀뷧룷맺뚼믡쏦쇙뗄튻훖럧쿕ꎬ틔훐맺캪듳뮷뺳ꎬ틔뗘헰햮좯캪훷쳢ꎬ뻍쒿잰뻞퓖햮좯뚨볛퇐뺿뗄솽룶듺뇭탔랽쏦ꆪꆪ췪좫쫐뎡뫍늻췪좫쫐뎡ꆪꆪퟶ쇋튻킩쾵춳뗄뷩짜뫍ퟜ뷡ꎬ퓚듋믹뒡짏폖쳡돶퓚늻췪좫쫐뎡짏랢탐뗄뻞퓖햮좯뻟폐쓑폚뚨볛헢튻컊쳢ꆣ 퓙듎ꎬ컄헂뛔늻췪좫쫐뎡훐뗄뻹뫢뚨볛샭싛틔벰쏉쳘뾨싞쒣쓢랽램뷸탐쇋퇐뺿ꆣ퓚쏉쳘뾨싞쒣쓢램훐볓죫쇋뻞퓖햮좯뚨볛맽돌훐컞램뫶싔뗄뗀뗂럧쿕틲쯘ꎬ붨솢쇋탂뗄쒣탍ꆣ춬쪱ꎬ놾컄샻폃1979쓪-2010쓪횮볤뿉쫕벯떽뗄컒맺횱뷓뺭볃쯰쪧퓚1틚풪죋쏱뇒틔짏뗄뗘헰쯰쪧쫽뻝ꎬ닉폃Eviews죭볾훐볲떥늢쟒틗닙ퟷ뗄랽램ꎬ쓢뫏뗃돶쇋컒맺뗄뗘헰쯰쪧럖늼럾듓뛔쫽헽첬럖늼ꆣ늢퓋폃CAPM뫍뛾쿮럖늼쒣탍살뛔뻞퓖햮좯뗄뚨볛뷸탐쇋럖컶ꎬ듓쪵횤뗄뷇뛈퓙튻듎횤쪵쇋뻞퓖햮좯쫇뒦폚늻췪좫쫐뎡훐뗄ꎬ늢쟒샻폃볓죫쇋뗀뗂틲ퟓ뗄뛾쿮럖늼쒣탍릹붨쇋컒맺뗄뗘헰뻞퓖햮좯ꎬ늢춬쪱췪돉쇋볛룱쳥쾵뗄훆뚨ꆣ 맘볼듊ꎺ뻞퓖럧쿕횤좯뮯ꎬ뻞퓖럧쿕햮좯ꎬ뗘헰햮좯ꎬ뗀뗂럧쿕 I
ABSTRACT It is shown by the result of one of the study of Swiss Re that the frequency of catastrophe’s outbreaking in the world has been in a rising tendency since 1970s. At the same time, the economic losses caused by the catastrophe have also increased significantly. Insurance companies underwriting such catastrophe risks are suffering growing losses. An insurance company is likely to be in a trouble because of successive catastrophe claims. Thus the reinsurance came into being. Insurance companies’ funds were stretched when they are in the face of a growing number of catastrophe claims. Therefore, some people started to look for a strong financial support from the capital market. The result of securitization of catastrophe risks was the appearance of a lot of insurance linked securities products, such as catastrophe options, catastrophe futures, and catastrophe bonds. Firstly, this paper starts from the structure of this kind of bond. By analyzing the advantages and disadvantages and the feasibility of such bonds, this paper fully explains the reason for the great development rapid that catastrophe bonds take precedence over other insurance linked securities in the financial market. Secondly, this paper mentions earthquake which will be faced with by nearly every country in the world. Seeing China as the background and the earthquake bonds as the theme, this paper make a presentation and summary on complete markets and incomplete markets. A difficult problem about the pricing of catastrophe bonds is also issued on the above basis. Thirdly, the balanced pricing theory based on the incomplete market and Monte Carlo simulation methods are studied in this paper as well. The moral risk factor which cannot be ignored is added to the Monte Carlo simulation and a new model is established. Meanwhile, this paperd collected the data being relevant to the earthquakes between 1979-2010 which suffered direct economic losses of more than 100 billion yuan and used the Eviews software which is quite simple to operate. As a result, the conclusion that the distribution of losses of earthquake catastrophe is Lognormal Distribution is gained. CAPM and the binomial pricing of catastrophe bonds to are also used to analyze the pricing of these bonds. Once again, the point that the market that catastrophe bonds in is not complete is confirmed from an III
empirical view. The Binomial Distribution added with Moral factors is used to design the earthquake catastrophe bond in China and establish the formulation of the price system. KEY WORDS: catastrophe risk securitization, catastrophe bonds, earthquake bonds, moral hazardIV
II
뗚튻헂 틽퇔 뗚튻헂 틽퇔 튻 톡쳢놳뺰 ퟔ듓짏쫀볍70쓪듺틔살ꎬ쫀뷧룷맺뗄뻞퓖ꎨ냼삨ퟔ좻퓖몦뫍죋캪퓖몦ꎩ놬랢욵싊뻹돊쿖짏짽쟷쫆ꎬ틲뻞퓖뛸퓬돉뗄뺭볃쯰쪧뫍죋풱짋췶튲퓚쿔훸퓶볓ꆣ뇈죧ꎬ1979쓪뗄짱뮧듳뗘헰릲쯰쪧500틚쏀풪ꎻ2001쓪쏀맺뗄ꆰ쫂볾ꆱ뿉틔쮵쫇놣쿕쪷짏쯰몦ퟮ캪닒훘뗄죋캪퓖몦쫂맊ꎻ2004쓪뗄펡뛈퇳몣킥퓬돉췲죋쯀췶ꎬ쫇좫쟲뷼200뛠쓪살쯀짋ퟮ닒훘뗄몣킥퓖쓑ꎻ2008쓪컒맺뒨뗘쟸놬랢뗄벶듳뗘헰쯹퓬돉뗄횱뷓뺭볃쯰쪧튲뎬맽쇋8000틚풪죋쏱뇒ꆣ 뻞퓖놬랢욵싊뗄짏짽뫍쯰쪧돌뛈뗄퇏훘틽웰쇋죋쏇뛔폚럧쿕맜샭뗄훘쫓ꆣ럧쿕맜샭ꎨrisk managementꎩ웰풴폚20쫀볍50쓪듺뗄쏀맺ꆣ퓚50쓪듺퓧웚뫍훐웚ꎬ쏀맺듳릫쮾랢짺뗄쫽듎훘듳쯰쪧듙쪹룟닣뻶닟헟죏쪶떽쇋럧쿕맜샭뗄훘튪탔ꎬ떽20쫀볍70쓪듺ꎬ컒맺퓚믖뢴맺쓚놣쿕튵컱뫳튲뾪쪼훘쫓뛔럧쿕맜샭뗄퇐뺿ꆣ 퓚평뻞퓖퓬돉뗄뻞듳뺭볃쯰쪧샯ꎬ훷튪쫇놣쿕릫쮾돐떣쇋웤훐뗄럧쿕ꆣ떫평폚퓖몦퓬돉뗄쯰쪧돌뛈퇏훘ꎬ쯷엢뛮벫룟ꎬ놣쿕ힼ놸뷰뷶쫇놭쮮뎵킽ꎬ튻듎믲솬탸벸듎뗄뻞퓖쯷엢믡룸놣쿕릫쮾듸살퓖쓑탔뗄쯰쪧짵훁웆닺ꆣ평듋퓙놣쿕펦퓋뛸짺ꎬ럖놣릫쮾붫ퟔ짭돐떣뗄럧쿕럖즢룸퓙놣쿕죋믲퓙놣쿕릫쮾ꆣ떫쫇ꎬ퓚튻뚨돌뛈짏ꎬ퓙놣쿕횻쫇삩듳쇋럧쿕뗄럖첯랶캧ꆣ뛔뻞퓖퓙놣쿕탨쟳뗄퓶볓뫍릩룸뗄늻ퟣ쪹룷놣쿕릫쮾믲놣쿕죋뾪쪼뾪뇙탂뗄슷뺶ꆪꆪ붫럧쿕틆훁놾쫐뎡ꎬ쪵쿖놣쿕쫐뎡뫍놾쫐뎡뗄솪뷡ꆣ짏냙틚풪뗄뻞퓖쯰쪧뿉쓜믡쪹놣쿕쫐뎡쿝죫삧뺳ꎬ떫뛔놾쫐뎡좴늻믡퓬돉맽듳짋몦ꆣ 럇뒫춳럧쿕틆ꎨalternative risk transferꎩ쫇뒴탂뗄놣쿕쫐뎡뫍놾쫐뎡쿠뷡뫏뗄럧쿕맜샭랽램ꎬ쯼쫇캪쪵쿖럧쿕맜샭쒿뇪퓚놣쿕쫐뎡뫍놾쫐뎡횮볤틆럧쿕뗄닺욷ꆢ쟾뗀뫍랽낸ꆣ캪쇋훆뚨ퟮ폅뗄믹폚럇뒫춳럧쿕틆뗄럧쿕맜샭볆뮮ꎬ뺭뎣뷡뫏쪹폃뛠훖닺욷ꆢ릤뻟뫍랽낸ꆣ쯼냼삨쿂쇐닺욷ꎺ놣쿕폫퓙놣쿕닺욷ꆢ뛠럧쿕닺욷ꆢ놣쿕솪뷡횤좯ꆢ펦벱놾릤뻟ꆢ놣쿕퇜짺욷ꆣ냼삨쿂쇐릤뻟ꎺ튵ퟔ놣릫쮾뫍럧쿕ퟔ쇴벯췅ꆢ쳘쫢쒿뗄퓙놣쿕죋ꆢ냙쒽듳뇤뮻죋ꆢ놣쿕죋펵폐뗄놾쫐뎡ퟓ릫쮾ꆣ 짏쫀볍90쓪듺ꎬ퓚놣쿕뷰죚뮯뫍뷰죚횤좯뮯뗄쟷쫆듸뚯쿂ꎬ쯦ퟅ뻞퓖럧쿕뛔쫀뷧 1
훐맺뗘헰럧쿕햮좯뗄뚨볛퇐뺿 놣쿕튵듸살뗄뻞듳돥믷ꎬ돶쿖쇋튻훖탂뗄뷰죚뒴탂릤뻟ꆪꆪ놣쿕럧쿕횤좯뮯ꆣ쪵볹뇭쏷ꎬ쯼쫇튻훖춨맽놾쫐뎡살틆놣쿕럧쿕뗄폐킧랽쪽ꆣ쒿잰ꎬ틑퓚쫐뎡짏돉릦붻틗뗄뻞퓖럧쿕횤좯뮯닺욷훷튪폐뻞퓖햮좯ꆢ뻞퓖웚믵ꆢ뻞퓖웚좨ꆢ뻞퓖뮥뮻ꎬ폐ힼ놸뷰웚욱뗈ꆣ평폚햮좯퓚쒳훖돌뛈짏쫇놣쿕릫쮾닺뷡릹뗄훘튪ퟩ돉늿럖ꎬ웤ퟔ짭폅쫆뫍놣쿕뺭펪뗄쳘뗣쪹뗃놣쿕릫쮾뷏캪욫뫃햮좯헢훖춶릤뻟ꎬ틲듋놣쿕릫쮾퓚뷸탐뇘튪뗄뢺햮횤좯뮯쪱ퟔ좻뛸좻뗘붫뻞퓖햮좯ퟷ캪쫗톡ꆣ틲듋ꎬ퓚룷샠뻞퓖럧쿕횤좯뮯닺욷훐ꎬ뻞퓖햮좯뗄랢햹쯙뛈ퟮ뿬ꆣ 쇭췢ꎬ컒맺뷰죚쫐뎡뗄랢햹풶늻죧컷랽랢듯맺볒뗄뷰죚쫐뎡맦랶ꎬ뷰죚믺릹뛔룷샠럧쿕뗄뿘훆쓜솦뮹쿠뛔뷏죵ꎬ뛔뫜뛠뷰죚퇜짺닺욷뗄쪹폃짐퓚뫜돵벶뗄뷗뛎ꎬ쯹틔듓쒿잰컒맺뗄쪵볊뺭볃ힴ뿶살뾴뻞퓖햮좯쫇ퟮ뫏쫊뗄뻞퓖럧쿕횤좯뮯릤뻟ꆣ 좻뛸ꎬ뛔폚뻞퓖햮좯뗄뚨볛좴쫇튻룶쓑쳢ꆣ평폚뻞퓖햮좯뗄쫕틦늻쓜릻춨맽웤쯻횤좯뗄ퟩ뫏살뢴훆ꎬ튲뻍쫇쮵뛔뻞퓖햮좯뗄뚨볛붨솢퓚늻췪좫쫐뎡뗄믹뒡짏ꎬ쯹틔탨튪첽쯷탂뗄랽램살뷢뻶늻췪좫쫐뎡쿂뗄뻞퓖햮좯뗄뚨볛컊쳢ꆣ 쇭췢ꎬ평폚늻춬뗄뻞퓖뻟폐늻춬뗄쳘뗣ꎬ웤랢짺욵싊뫍쯰쪧돌뛈튲룷늻쿠춬ꎬ틲듋헫뛔늻춬뻞퓖뛸짨볆뗄뻞퓖햮좯뿉쓜믡폐늻춬뗄랢탐뫍뚨볛믺훆ꆣ뗘헰쫇룷샠뻞퓖럧쿕훐뷏캪뎣볻뗄튻훖럧쿕ꎬ벸뫵좫쟲쯹폐뗄맺볒뚼믡퓢쫜듋샠퓖몦뗄웆뮵ꆣ뷼쓪살ꎬ풽살풽뛠뗄뗘헰뻞퓖퓚좫쟲룷뗘쟸뫍맺볒놬랢ꎬ퓬돉쇋뻞듳뗄뺭볃쯰쪧뫍죋풱짋췶ꆣ평폚뛔듋샠럧쿕퓬돉뗄쯰쪧뷸탐엢뢶ꎬ놣쿕릫쮾뗄퓋펪튲췹췹쿝죫삧뺳ꆣ틲듋ꎬ붨솢췪헻뗄뗘헰럧쿕햮좯쳥쾵쫇럇뎣뇘튪쟒웈쟐뗄ꎬ뛔뗘헰럧쿕햮좯뗄뚨볛튲쫇뇘탫튪뺡뿬뷢뻶뗄컊쳢ꆣ 뛾 컄쿗ퟛ쫶 쒿잰맺췢맘폚뻞퓖햮좯뚨볛샭싛뗄퇐뺿돉맻훷튪폐ꎺ Cox & Pedersenꎨ1997ꎩ틔듺뇭룶죋샭싛ꎨthe theory of representative agentꎩ캪믹뒡췆떼돶뻹뫢뚨볛쒣탍ꆣ늢춨맽붨솢샻싊웚쿞뷡릹쒣탍폫뻞퓖럧쿕뗄룅싊쒣탍ꎬ췆떼돶쇋뻞퓖햮좯뗄샭싛볛룱ꆣ Briys E.ꎨ1997ꎩ퓚쫐뎡췪좫컞쒦닁ꆢ컞럧쿕샻싊캪뎣쫽뗈뛠쳵볙짨쳵볾쿂췆떼돶쇋퓚t=0쪱뗄뻞퓖햮좯뗄볛룱ꆣ 쏀맺Lane Financial릫쮾뗄ퟜ닃Morton Lane늩쪿퓚뛔뻞퓖햮좯쫐뎡볛룱뷸탐튻2
뗚튻헂 틽퇔 뚨쓪뛈뗄맛달뫳쳡돶쇋LFC쒣탍ꆣ Christofides뫍Smithꎨ2001ꎩ쳡돶쇋튻룶좫쏦뗄럧쿕뚨볛뿲볜ꎬ췆떼돶쇋튻룶룼볓볲떥룟킧뗄릫쪽ꎬ벴Christofides쒣탍ꆣ τꎨ2004ꎩ붫Sharp뇈싊헢튻룅쓮삩햹떽쇋뻟폐욫킱럖늼뗄럧쿕ꎬퟱ톭폃럖늼듺쳦뻟폐캴횪닎쫽뗄뇪쏷헽첬럖늼뗄춳볆돩퇹샭싛ꎬ늢폫Wang뇤뮻쪽쿠뷡뫏뗃떽쇋Wang솽틲쯘쒣탍ꆣ 컒맺퓚뻞퓖럧쿕횤좯뮯랽쏦뗄퇐뺿웰늽뷏췭ꎬ뛔뻞퓖햮좯뚨볛뗄퇐뺿튲쎻폐맺췢짮죫ꎬ떫ퟶ쇋뫜뛠쪵횤탔뗄첽쯷ꎬ폐킧췆뚯쇋컒맺뻞퓖햮좯쳥쾵뗄붨솢ꆣ훷튪릤ퟷ벰퇐뺿돉맻폐ꎺ 훜럼욽ꎨ2001ꎩ뛔뻞퓖럧쿕횤좯뮯뷸탐쇋뷰죚ꆢ놣쿕튻쳥뮯퇐뺿ꆣ 랫ꎨ2001ꎩ뗃돶뷡싛ꆰ놣쿕릫쮾죴붫뻞퓖햮좯쳦듺컞럧쿕횤좯늢놣돖뷏킡뗄럖뛮ꎬ퓚럧쿕벸뫵늻뇤뗄쟩뿶쿂ꎬ쫕틦쿔훸쳡룟ꎬ틲뛸닺ퟩ뫏뗃떽폅뮯ꎻ늢쟒떱뛠훖뻞퓖햮좯뷸탐ퟩ뫏춶쪱ꎬ닺ퟩ뫏컞틉믡뷸튻늽뗃떽폅뮯ꆱꆣ 쯯웮쿩뫍샮몣쳎ꎨ2002ꎩ죏캪ꎬ훐맺놣쿕춶튪폫맺볊뷓맬ꎬ쪵쿖붡뾵솼탔랢햹ꎬ뇘탫듓틔쿂벸룶랽쏦ퟶ뫃믹뒡릤ퟷꎺ튻쫇놣쿕볠맜ꎬ뛾쫇놣쿕튵ퟔ싉ꎬ죽쫇놣쿕릫쮾뗄춶맜샭ꎬ쯄쫇놾쫐뎡뗄붨짨ꆣ 샮폀ꎨ2003ꎩ틔뗘헰캪퇐뺿뛔쿳ꎬ샻폃쪵볊뗄퇹놾쫽뻝뫍럇쫙쿕뺫쯣뗄폐맘풭샭ꎬ릹붨쇋컒맺뗄뗘헰뻞퓖햮좯ꆣ 몫쳬탛뫍돂붨뮪ꎨ2003ꎩ퓚ꆶ뻞퓖럧쿕횤좯뮯닺욷뗄뚨볛컊쳢ꆷ훐횸돶ꎺꆰ컞쳗샻뚨볛샭싛컞램폃폚뻞퓖놣쿕럧쿕횤좯뮯닺욷뗄뚨볛ꆱꆣ쯻쏇볙짨놣쿕죋뛔럧쿕욫뫃횻폐횸쫽킧폃탎쪽ꎬ늢퓋폃Pedersen뫍Cox쳡돶뗄뻹뫢뚨볛샭싛ꎬ룸돶쇋뻞퓖횤좯닺욷뚨볛뗄쿔쪽뇭듯쪽ꎬ쳡릩쇋뿉닙ퟷ뗄뚨볛랽램ꎬ캪룃닺욷뗄짌튵퓋ퟷ쳡릩쇋ힼ놸쳵볾ꆣ 헔쾢뗈ꎨ2004ꎩ뛔뻞퓖햮좯뷸탐쇋뺫쯣퇐뺿ꆣ 캺쏴뷜뫍볍닽쏷ꎨ2004ꎩ춨맽퇐뺿뫩쮮햮좯뗄퓋ퟷ쒣쪽ꎬ럖컶쇋컒맺뫩쮮햮좯뗄랢탐쳵볾폫랢햹쮼슷ꎬ횸돶뫩쮮놣쿕햮좯캪컒맺럀뫩복퓖쳡릩쇋뿉릩뷨본뗄햸탂랽램폫릤뻟ꆣ 쳯쇡뫍쿲량ꎨ2005ꎩ퓚퓋폃잰컄틔쳡떽뗄Lane쒣탍ꆢWang솽틲쯘쒣탍틔벰Christofides쒣탍쪱ꎬ뛔16횻뗤탍뗄뻞퓖햮좯뷸탐쇋쪵횤럖컶ꆣ 훜뫘뻽뫍뷰퇠짺ꎨ2005ꎩ샻폃햮좯뚨볛풭샭볆쯣뗘헰퓖몦햮좯뗄쫕틦싊뫍볛룱ꎬ듓 3
훐맺뗘헰럧쿕햮좯뗄뚨볛퇐뺿 뛸뛔뗘헰퓖몦햮좯ퟷ쇋돵늽짨볆ꆣ 쪩붨쿪폫?폱쇡ꎨ2006ꎩ틔컒맺1985ꆫ2004쓪랢짺뗄98듎첨럧쯰쪧쫽뻝뫍1950ꆫ2004쓪쎿쓪첨럧뗇슽듎쫽뗄쫽뻝캪틀췐ꎬ샻폃럇쫙쿕뺫쯣벼쫵럖컶컒맺첨럧쯰쪧뫍첨럧랢짺듎쫽뗄럖늼ꎬ늢퓚듋믹뒡짏샻폃놾닺뚨볛쒣탍ꎨCAPM쒣탍ꎩ볆쯣돶첨럧햮좯뗄쫕틦뫍볛룱ꎬ듓뛸돵늽짨볆쇋첨럧햮좯ꆣ 십톩뇲뫍헔뷷ꎨ2008ꎩ럖컶쇋뻞퓖햮좯퓚컒맺뗄랢탐헏낭늢퇐뺿쇋쿠펦뛔닟ꆣ 쳯쇡뫍헅퓀ꎨ2008ꎩ쳖싛쇋놣쿕볠맜펰쿬뻞퓖햮좯뗄벸룶춾뺶ꎬ럖컶쇋뻞퓖햮좯뗄릩룸늻믡평폚놾뷰뫍샻쾢놣횤뇈싊뗄쳡룟뛸복짙ꆣ늢춨맽붨쒣뗃돶뷡싛ꎺ쫜뻞퓖햮좯뗄펰쿬ꎬ뻞퓖놣쿕럑싊쓜릻쟷쿲컈뚨뗄쮮욽ꆣ 믆캵뫍컢죍잿ꎨ2008ꎩ죏캪뻞퓖럧쿕횤좯뮯쫇튻룶톭탲붥뷸뗄맽돌ꎬ펦럖늽훨럖뷗뛎랢햹ꎬ퓚쪵볹훐늻뛏ퟜ뷡ꆣ듓컒맺뗄쿖ힴ살뾴ꎬ맺쓚놣쿕믺릹펦틔쪵쿖랢탐뻞퓖럧쿕햮좯ퟷ캪뻞퓖럧쿕횤좯뮯뗄춻웆뿚ꎬ풭틲훷튪퓚폚ꎺ1.뻞퓖햮좯ퟮ캪돉쫬ꎬ2.뻞퓖햮좯틗폚캪춶헟뷓쫜ꎬ3.뻞퓖햮좯짨볆쿠뛔볲떥ꆣ 퇮ꎨ2008ꎩ틔맦랶톧쫓뷇럖컶뻞퓖햮좯뗄뚨볛랽램ꎬ틔뷰죚퇜짺욷뗄컞쳗샻뚨볛랽램좷뚨뻞퓖햮좯뗄볛룱ꆣ춨맽뛔쪵볊뻞퓖햮좯뗄볛룱뷸탐쪵횤럖컶랢쿖뛔폚떥튻쫂볾떥튻웚쿞뗄뻞퓖햮좯ꎬ퓋폃솿틲쯘쒣탍뛔쪵볊볛닮뷸탐쓢뫏뿉틔뗃떽룼뫃뗄뷡맻ꆣ 뷰쇨믔ꎨ2008ꎩ럖컶쇋뷼벸쪮쓪살컒맺평폚첨럧뛸퓬돉뗄쯰쪧뗄럖늼ꆣ퓚욽뫢햮좯랢탐릫쮾뫍춶헟쮫랽뗄샻틦헢튻잰쳡쿂ꎬ짨볆쇋튻훖럻뫏컒맺쪵볊쟩뿶뗄첨럧햮좯ꎬ늢쳖싛쇋웤뚨볛쒣탍ꆣ ?뚷뫍ퟞꎨ2009ꎩ듓럖컶쏀맺뗄뗘헰놣쿕랢햹쒣쪽죫쫖ꎬ쳡돶쇋웤퓚컒맺뗄펦폃붨틩ꆣ 퇮룕ꎨ2009ꎩ퇐뺿쇋뻞퓖럧쿕뛈솿뫍뻞퓖뎬뛮쯰쪧퓙놣쿕뫏춬뗄뚨볛랽램ꎬ늢쳖싛쇋뻞퓖놣쿕퇜짺닺욷뗄뚨볛쳥쾵ꆣ 얷퇴탹뫍탬쯉ꎨ2009ꎩ퓚뎤쫙햮좯뗄뚨볛쳥쾵훐틽죫뻞퓖햮좯뗄쿖뷰쇷솿헛쿖랽램ꎬ릹퓬쇋튻룶볲떥쟒샭쿫뮯뗄쒣탍ꆣ 뫮럥뫍뷰듳폐ꎨ2010ꎩ뾼싇쇋컒맺뛌웚샻싊뗄웚쿞뷡릹ꎬ쳡돶쇋Black-Karasinski샻싊뛾닦쫷뗄붨솢랽ꎨB-K쒣탍ꎩꎬ늢뎢쫔폃Louberge뻞퓖햮좯뚨볛랽램뛔컒맺첨럧햮좯뷸탐뻟쳥뚨볛ꆣ 뿉틔쮵ꎬ뷼벸쓪살ꎬ맺쓚뛔뻞퓖럧쿕횤좯뮯퇐뺿뗄탋좤헽퓚훰붥퓶잿ꎬ퇐뺿쇬폲튲4
뗚튻헂 틽퇔 틑짦벰떽뻞퓖횤좯뮯뗄뛠룶랽쏦ꆣ떫뇊헟죏캪ꎬ맺쓚뛔폚뻞퓖럧쿕횤좯뮯죔좻좱랦튻룶쾵춳뗄ꆢ뷏짮닣쏦뗄퇐뺿ꎬ놾컄튲헽쫇놧ퟅ뛔뻞퓖럧쿕횤좯뮯뷸튻늽쾵춳퇐뺿뗄쒿뗄뷸탐뗄ꆣ 죽 컄헂퇐뺿뗄훷튪쓚죝뫍랽램 컒맺럹풱쇉삫ꎬퟔ좻뮷뺳벰뗘훊릹퓬뢴퓓ꎬ웸뫲뛠뇤ꎬ벸뫵쎿쓪뚼믡랢짺뫩쮮ꆢ룉몵ꆢ뗘헰ꆢ쓠쪯쇷ꆢ늡돦몦ꆢ믰즽놬랢뗈ퟔ좻퓖몦ꆣ뛸쟒ꎬ쯦ퟅ돇쫐뮯뷸돌뗄볓뿬벰죋뿚쏜뛈뗄늻뛏엊짽ꎬ헢킩뻞퓖퓬돉뗄뺭볃쯰쪧뫍죋풱짋췶튲풽살풽듳ꆣ 퓚훚뛠퓖몦훐ꎬ뗘헰쫇뷏캪뎣볻튲쫇쯰쪧뷏캪뻞듳뗄튻훖ꆣ컒맺평폚뚫쇚뮷첫욽퇳뗘헰듸ꎬ컷뷓퇇얷뗘헰듸ꎬ뺳쓚폐뗘뿇뗄뛏닣ꎬ쫇쫀뷧짏퓢쫜뗘헰퓖몦ퟮ캪퇏훘뗄맺볒횮튻ꆣ뻝춳볆ꎬ퓚좫쟲랶캧쓚ꎬ슽뗘짏랢짺뗄7벶틔짏뗄뗘헰훐ꎬ30%ퟳ폒랢짺퓚훐맺ꎬ쯀췶죋쫽뎬맽20췲뗄5듎뗘헰퓲좫늿랢짺퓚훐맺ꆣ훐맺돽맳훝ꆢ헣붭솽쪡췢ꎬ룷쪡뻹랢짺맽6벶틔짏뗘헰ꎬ웤훐랢짺맽7벶틔짏잿헰뗄쪡ꆢퟔ훎쟸ꆢ횱쾽쫐듯19룶ꆣ20쫀볍틔살ꎬ훐맺뗘헰랢짺뗄욵싊뫍잿뛈벱뻧퓶볓ꆣ룹뻝춳볆풤닢뫍맺볒뗘헰뻖폐맘볒뗄에뛏ꎬ쒿잰훐맺듳슽뗄뗘헰믮뚯헽뒦폚뗚5룶믮풾웚ꆣ틲듋ꎬ뗘헰랢짺뗄뿉쓜탔뷏듳ꎬ뗘헰햮좯뗄짨볆튲쿠떱뇘튪ꆣ 평폚좱랦췪짆뗄뗘헰놣쿕뫍퓙놣쿕쳥쾵ꎬ룼펦룃틀뾿놣쿕럧쿕횤좯뮯ꎬ붫뗘헰럧쿕틆훁놾쫐뎡ꆣ헢퇹뿉틔폐킧쳡룟컒맺놣쿕릫쮾벰퓙놣쿕릫쮾뗄돐놣쓜솦ꎬ듙쪹웤헦헽뢺떣웰뛔짧믡뗄놣헏퓰죎ꆣ 놾컄ퟅ쫖폚뛔뻞퓖햮좯뗄쾵춳럖컶ꎬ훘뗣퇐뺿뗘헰햮좯뗄뚨볛컊쳢ꆣ틔컒맺뗘헰퓖몦뗄쪵볊쫽뻝캪틀췐ꎬ퓚샻폃럇쫙쿕뺫쯣샭싛뗄잰쳡쿂ꎬ볓죫뗀뗂럧쿕살짨볆쫊뫏컒맺뗄뗘헰뻞퓖햮좯ꎬ붨솢쇋뷏캪췪짆뗄햮좯뚨볛쾵춳ꆣ 놾컄훷쳥늿럖릲컥헂ꆣ퇐뺿쓚죝벰랽램죧쿂ꎺ 뗚튻헂ꎬ틽퇔ꆣ헢튻헂볲튪탰쫶쇋톡퓱듋뿎쳢뗄놳뺰ꎬ벴좫쟲뻞퓖놬랢욵싊뗄짽룟벰놣쿕뫍퓙놣쿕쳥훆쯹돊쿖돶뗄늻ퟣꎬ춬쪱쇐뻙쇋떱잰듋쇬폲뗄훷튪퇐뺿돉맻벰뷸햹ꆣ 뗚뛾헂ꎬ뻞퓖럧쿕횤좯뮯폫뻞퓖햮좯ꆣ헢튻헂룸돶쇋ꆰ뻞퓖럧쿕횤좯뮯ꆱ뗄룅쓮ꎬ쯼쫇뷢뻶뻞퓖럧쿕놣쿕뗄폐킧쫖뛎ꆣ퓚쇐뻙돶벸훖훷튪뗄뻞퓖럧쿕횤좯뮯닺욷뗄춬쪱튲횸돶쇋뻞퓖햮좯쫇쒿잰랢햹ퟮ뫃ퟮ뿬뗄ꆣ듓럖컶뷡릹죫쫖ꎬ룸돶쇋뻞퓖햮좯뗄퓋ퟷ쒣쪽ꎬ늢럖컶쇋쯼뗄폅쫆ꎬ횸돶쇋랢탐뻞퓖햮좯뗄틦뒦ꆣ놾헂뗄ퟮ뫳ꎬ틔쏀맺USAA럧햮좯 5
훐맺뗘헰럧쿕햮좯뗄뚨볛퇐뺿 캪샽ꎬ뷸튻늽쮵쏷쇋짏쫶샭싛컊쳢ꆣ 뗚죽헂ꎬ뻞퓖햮좯뗄뚨볛퇐뺿ꆣ놾헂쫗쿈쮵쏷쇋뻞퓖햮좯뗄뚨볛쓑쳢ꎬ좻뫳럖뇰쇐뻙쇋췪좫쫐뎡뫍늻췪좫쫐뎡솽훖쟩뿶쿂뗄뚨볛쒣탍ꎬ늢뷸탐쇋뇈뷏뫍쏉쳘뾨싞랽램뗄틽죫ꆣ 뗚쯄헂ꎬ뾼싇뗀뗂럧쿕틲쯘뗄뻞퓖햮좯뚨볛쒣탍ꆣ헢튻헂횸돶쇋횮잰뗄뚨볛쒣탍뗄잷좱ꆪꆪ쎻폐뾼싇떽뛠훖럧쿕틲쯘ꎬ폈웤쫇뗀뗂럧쿕틲쯘ꆣ뛸헢훖틲쯘퓚뻞퓖햮좯뗄뚨볛훐웰ퟅ훁맘훘튪뗄펰쿬ퟷ폃ꎬ퓚뚨볛쪱늻뿉뫶싔ꆣ 뗚컥헂ꎬ컒맺뗘헰럧쿕햮좯뗄짨볆ꆣ헢튻헂쫇놾컄뗄쪵횤늿럖튲쫇ퟮ뫋탄뗄쓚죝ꆣ헢튻늿럖쯑벯쇋컒맺뗘헰퓖몦뗄쿠맘쫽뻝ꎬ늢춨맽뛔쫽뻝뗄뒦샭뫍럖컶ꎬ쓢뫏돶쇋컒맺뗘헰퓖몦돌뛈벰듎쫽뗄럖늼쟩뿶ꎬ듓뛸룸돶쇋폐킧뗄뚨볛쒣탍ꎬ췪돉쇋놾컄ퟮ돵쳡돶뗄뚨볛쓑쳢ꆣ6
뗚뛾헂 뻞퓖럧쿕횤좯뮯폫뻞퓖햮좯 뗚뛾헂 뻞퓖럧쿕횤좯뮯폫뻞퓖햮좯 튻 뻞퓖럧쿕횤좯뮯벰웤퓋ퟷ랽쪽 ꆰ뻞퓖럧쿕횤좯뮯ꆱ헢튻룅쓮웰풴폚뗚튻욪퇐뺿놣쿕퇜짺욷뗄싛컄ꆰAn Inquiry into the Feasibility of a Reinsurance Futures Marketꆱꆣ컄헂평쏀맺뗄솽캻뷰죚톧볒폚1973쓪랢뇭ꆣ떫횱떽짏쫀볍90쓪듺헢튻룅쓮닅퓚쏀맺듓샭싛퇐뺿죫쪵볊퓋폃ꆣ쿠뛔폚뒫춳뗄퓙놣쿕ꎬ놣쿕럧쿕횤좯뮯듦퓚튻킩쏷쿔뗄풴ퟔ웤훆뛈짨볆뗄쓚짺폅쫆ꎬ쓜폐킧뗘쳡룟놣쿕릫쮾펦뛔뻞퓖럧쿕뗄쓜솦ꆣ헢킩폅쫆훷튪벯훐퓚틔쿂벸룶랽쏦ꎺ캪놣쿕릫쮾믱뗃돤ퟣ뷰ꎻ쳡룟놣쿕릫쮾뷰쇷뚯탔ꎻ쳡룟쫐뎡킧싊ꎻ붵뗍캥풼럧쿕ꆣ 놣쿕죋춨맽뷰죚횤좯뗄뒴퓬뫍랢탐ꎬ붫돐놣뗄뻞퓖럧쿕틆훁놾쫐뎡ꎬ헢튻맽돌벴뿉놻뚨틥캪뻞퓖럧쿕횤좯뮯ꎬ쯼훷튪평솽룶튪쯘릹돉ꎨ돐놣쿖뷰쇷쿲뿉붻틗뗄뷰죚횤좯뗄틆틔벰돐놣뗄럧쿕춨맽헢킩뷰죚횤좯쿲놾쫐뎡뗄틆ꎩꆣ웤훐ꎬ뗚튻룶튪쯘놾훊짏쫇붫쿖뷰쇷틆캪탂뗄횤좯벴뻞퓖럧쿕횤좯ꎬ뗈춬폚뷰죚릤돌ꎻ뗚뛾룶튪쯘냼삨뻞퓖럧쿕쿲놾쫐뎡뗄틆ꆣ헢튻맽돌뗄췪돉탨튪춨맽뛔뷰죚릤뻟뷸탐싲싴ꎬ듓훐닺짺뗄쿖뷰횧뢶뻶뚨폚놣쿕쫂볾쫇럱랢짺ꆣퟔ듓20쫀볍90쓪듺뫳웚틔살ꎬ쎿쓪놣쿕솪뷡횤좯뗄랢탐솿틑듓틚쏀풪퓶뎤떽틚쏀풪ꆣ듓1994쓪훁뷱ꎬ쿈뫳틑폐50폠룶랢탐헟ꆣ 뻞퓖럧쿕횤좯뮯닺욷쫇튻훖뒴탂탍뗄뷰죚닺욷ꎬ쫇놾쫐뎡폫놣쿕쫐뎡쿠뷡뫏뗄닺컯ꎬ춨맽돶쫛뻞퓖횤좯룸춶헟살믱좡뷰캪뻞퓖럧쿕쳡릩횱뷓놣헏ꆣ헢킩횤좯뗄ퟮ훕믘놨폫뻞퓖놣쿕쯰쪧뗄랢짺폫럱벰쫜퓖돌뛈쏜쟐쿠맘ꆣ쒿잰ꎬ듋샠닺욷뗄욷훖뷏캪럡뢻ꎬ훷튪폐뻞퓖웚믵ꆢ뻞퓖웚좨ꆢ뻞퓖뮥뮻ꆢ뻞퓖햮좯ꆢ펦벱펯폠욱뻝ꆢ뻞퓖좨틦뗄싴좨뗈ꆣ웤훐잰쯄훖햼뻝ퟅ훷튪캻훃ꆣ ꎨ튻ꎩ뻞퓖웚믵ꎨCatastrophe Futureꎩ 뻞퓖웚믵퓚뻞퓖럧쿕횤좯뮯닺욷훐컊쫀ퟮ퓧ꎬ쯼쫇튻훖쳗웚놣횵릤뻟ꆣ웤뫏춬춨뎣짨죴룉붻룮퓂럝ꎬ퓚쎿룶붻룮퓂럝떽웚잰ꎬ놣쿕릫쮾뫍춶놣죋춨맽맀볆퓚듋웚볤뗄뻞퓖쯰쪧싊뗄듳킡살뻶뚨쫐뎡붻틗뗄볛룱ꆣ퓚붻틗맽돌훐ꎬ놣쿕릫쮾냧퇝ퟅ놣횵헟뗄뷇즫ꎬ춨맽싲싴뻞퓖웚믵닺욷살뗖늹뎬맽풤웚뗄퓖몦엢뢶쯰쪧ꆣ퓚횥볓룧웚믵붻틗쯹ꎨCBOTꎩ 7
훐맺뗘헰럧쿕햮좯뗄뚨볛퇐뺿 쓚ꎬ뻞퓖웚믵틔벾뛈캪훜웚뷸탐붻틗ꆣ내헕맦뚨ꎬ쎿럝뫏풼뚼폐웤랢짺웚ꆢ놨룦웚벰ퟮ뫳쟥쯣웚ꆣ랢짺웚벰웤뫳뗄죽룶퓂뻹쫴폚놨룦웚ꎬ떫쯰쪧쫂볾뇘탫쫇퓚랢짺웚쓚랢짺뗄ꎬ놨룦웚뫳뗄뗚3룶퓂뗄뗚5쳬캪ퟮ뫳쟥쯣웚ꆣ쇭췢ꎬ뾼싇떽쫽뻝뒦샭랽쏦뗄훍뫳탔컊쳢ꎬCBOT퓚놨룦웚횮뫳쇭짨쇋3룶퓂뗄퇓뎤웚ꆣ 1985쓪횥볓룧쎳틗톧풺췆돶쇋쫀뷧짏뗚튻럝뻞퓖웚믵ꎬ쯼틔뻞퓖럧쿕횸쫽믲뻞퓖쯰쪧싊캪붻틗뇪뗄ꎬ틔ISO뇠훆뗄뻞퓖횸쫽캪믹뒡ꆣCBOT퓚1990쓪쳡돶쇋솽훖폐맘붡뾵놣쿕뫍웻뎵엶ힲ쿕뗄놣쿕웚믵뫏풼늢뗃떽쇋쏀맺짌욷웚믵붻틗캯풱믡뗄죏뿉ꆣ1992쓪1퓂ꎬCBOT탻늼틔ISO쇏캪뇪뗄컯뗄랿컝놣쿕웚믵폚떱쓪뻅퓂뾪쪼붻틗ꆣ춬쓪8퓂ꎬ퓚쫊뛈뗷헻뫳ꎬCBOT탻늼듓쿂튻쓪돵뾪쪼붻틗랿컝놣쿕웚믵ꆢ붡뾵놣쿕웚믵뫍뻞퓖놣쿕웚믵ꆣퟜ쳥살쮵ꎬ헢쿮닺욷평CBOT짨볆늢폚1992쓪12퓂뾪쪼헽쪽붻틗ꆣ 떫헽죧Cummins & Geman퓚1995쓪뗄퇐뺿놨룦훐쯹횸돶뗄ꎺꆰISO뛔쯰쪧싊탅쾢뗄릫늼늻돤럖ꎬ떼훂춶죋늻쓜릻뛔뻞퓖쫐뎡뗄쪵볊쯰쪧폐헦쪵폐킧뗄쇋뷢폫헆컕ꆣ헢튻쫐뎡짏횻폐놣쿕릫쮾뫍퓙놣쿕릫쮾뗈natural buyersꎬ좴쿠떱?랦natural sellersꎬ헢쪹뗃뻞퓖웚믵뗄붻틗뛠뿕늻욽뫢ꎬ틲뛸컞램쪵쿖ퟮ훕붻룮ꆣ춬쪱ꎬ헻룶놣쿕탐튵뛔웚믵붻틗랽쪽뗄늻쫬쾤튲떼훂쇋뛔폚뻞퓖웚믵붻틗뗄뷏샤떭첬뛈ꆣ쇭췢ꎬ맽룟뗄럧쿕쿷죵쇋춶헟뗄닎폫탋좤ꆣꆱ볓횮뻞퓖웚믵뗄횸쫽뇠훆뗄폐킧탔늻잿ꆣ틲듋ꎬ듋닺욷뗄붻틗솿튻횱뷏킡ꎨ볻뇭2-1ꎩꎬ퓚췲럖볨쓑뗘뷸탐쇋벸쓪횮뫳ꎬ폚1995쓪헽쪽뷡쫸쿠맘붻틗ꆣ 뇭2-1 1992-1995쓪뻞퓖놣쿕웚믵뗄붻틗솿ꎨ떥캻ꎺ럝뫏풼ꎩ 1992 1993 1994 1995 뻞퓖웚믵붻틗솿 212945640ꎨ뛾ꎩ뻞퓖웚좨ꎨCatastrophe Optionꎩ 뻞퓖웚좨틔뻞퓖쯰쪧횸쫽캪믹뒡ꎬ쫇튻훖웚좨뇪ힼ뮯뫏풼ꎬ틔쯹돐놣뗄럧쿕뗄쯰쪧쿞뛮믲쯰쪧횸쫽캪탐쪹볛룱ꎬ뛠캪뎡쓚붻틗ꆣ쯤좻춬쪱냼삨쇋뾴헇웚좨뫍뾴뗸웚좨ꎬ떫평폚훷튪쫇캪쇋냯훺돐놣뻞퓖럧쿕뗄놣쿕릫쮾살맦뇜럧쿕뛸랢탐뗄ꎬ틲듋틔뾴헇웚좨캪훷ꆣ죧맻놣쿕릫쮾싲죫뗄쫇뾴헇뻞퓖웚좨ꎬ쓇쎴떱돐놣쯰쪧룟폚웚좨뗄탐쪹볛룱쪱ꎬ놣쿕릫쮾톡퓱탐쪹룃웚좨ꎬ붫믱뗃뗄쫕틦폫뻞퓖럧쿕랢짺쯹떼훂뗄쯰쪧쿠뗖쿻ꎬ듓뛸좷놣놣쿕릫쮾폐ퟣ릻뗄뎥뢶쓜솦ꆣCBOT췆돶뗄뻞퓖웚좨뻍쫇횴탐뾴헇웚좨뗄볛닮붻틗ꎬ퓚싲뷸튻룶킭틩횸쫽뷏뗍뗄뾴헇웚좨뗄춬쪱싴돶튻룶떽웚죕쿠춬떫킭틩횸쫽쿠뛔뷏룟뗄뾴헇웚좨ꆣ랴횮ꎬ떱쯰쪧뗍폚웚좨뗄탐쪹볛룱쪱ꎬ놣쿕릫쮾뿉틔늻탐쪹룃웚좨ꎬ쓇쎴쯰쪧8
뗚뛾헂 뻞퓖럧쿕횤좯뮯폫뻞퓖햮좯 뗄뻍쫇웚좨럑늢쟒쯰쪧뗄쫽뛮쫇만뚨뗄ꆣ 웤쪵ꎬ듓놾훊짏살붲ꎬ놣쿕뻍쫇튻훖웚좨믲벸훖웚좨뗄ퟩ뫏ꆣ틲듋ꎬ춨맽샻폃웚좨뗄쳘탔살맜샭뫍뿘훆놣쿕릫쮾뗄뺭펪럧쿕ꎬ헢튻ퟶ램쫇럻뫏놣쿕릫쮾뛔뚯첬뎥뢶쓜솦뗄탨쟳뗄ꆣ 쒿잰뿉붻틗뗄듋샠닺욷폐냙쒽듳짌욷붻틗쯹ꎨBCOEꎩ뻞퓖웚좨ꎨ벴GCCI횸쫽웚좨ꎩ뫍쏀맺횥볓룧붻틗쯹ꎨCBOTꎩ뻞퓖웚좨ꎨ벴PCS횸쫽웚좨ꎩ솽훖ꆣ뗚튻럝붻틗뗄뻞퓖놣쿕웚좨뻍쫇1995쓪9퓂퓚CBOT붻틗뗄PCS뻞퓖놣쿕웚좨ꆣ 떫쫇ꎬ퓚뛔뻞퓖웚좨뗄쪵볊닙ퟷ맽돌훐튪헒떽떥룶놣쿕웚좨뗄싴볒늢늻죝틗ꎬ췹췹탨튪춨맽솽룶웚쿞쿠춬떫탐쪹볛룱늻춬뗄웚좨뗄ퟩ뫏닅쓜릻붵뗍웚좨싴랽쯹돐떣뗄럧쿕ꆣ퓚뎣폃뗄솽훖붻틗쒣쪽ꎨ뎡췢붻틗뫍뎡쓚붻틗ꎩ훐ꎬ뎡췢붻틗쯤좻쓜릻뷏죝틗뗘룹뻝놣쿕릫쮾뗄틆럧쿕ힴ뿶짨볆돶뫏쫊뗄웚좨뫏춬ꎬ떫붻틗랽캥풼뗄럧쿕뷏듳ꆣ뷸탐뎡쓚붻틗튲뇘탫럻뫏룷훖뇪ힼ붻틗쳵볾ꎬ떫늻튻뚨쓜릻싺ퟣ떥룶놣쿕릫쮾ퟔ짭럖즢럧쿕뗄탨쟳ꆣ 틔PCS웚좨캪샽ꎬ튻랽쏦ꎬ쯼뗄횸쫽평튻볒뛀솢폚쯹폐놣쿕릫쮾횮췢쟒럇뎣좨췾뗄럇펪샻탔놣쿕럾컱믺릹ꆪꆪPCS떥뛀뇠훆ꎬ헢뻍뷢뻶쇋퓚뻞퓖웚믵붻틗훐죝틗돶쿖뗄뗀뗂럧쿕컊쳢ꆣ쇭튻랽쏦ꎬ뻞퓖웚좨붵뗍쇋뛠춷랽쯹쏦쇙뗄평폚뿕춷랽캥풼뛸퓬돉뗄탅폃럧쿕ꆣ ퟝ쪹뻞퓖웚좨폐뫜뛠폅쫆ꎬ쯼뗄쇓쫆튲쫇늻죝뫶쫓뗄ꆣ뇈죧ꎬ쇷뚯탔뷏닮ꎬ닙ퟷ늻쇩믮뗈ꎬ폐뿉쓜듦퓚뻞뛮뻞퓖엢뎥횮뫳랢짺웚좨좴뮹늻쓜탐좨뗄쟩뿶ꎬ듯늻떽캪놣쿕릫쮾럖즢럧쿕헢튻쒿뗄ꆣ ꎨ죽ꎩ뻞퓖뮥뮻 뻞퓖뮥뮻컊쫀폚1996쓪ꆣ쯼틔놾쫐뎡뗄닎폫헟캪붻틗뛔쫖ꎬ쮫랽풼뚨퓚캴살쒳튻웚볤쓚쿠뮥붻뮻뻟폐뗈솿뺭볃볛횵뗄닺믲쿖뷰쇷ꎨ뇈죧튻룶맺볒쓚늻춬뗘쟸뗄놣떥ꎩꎬ붫놣쿕죋믲퓙놣쿕죋잱퓚뗄뻞퓖엢뎥퓰죎폫붻틗뛔쫖뗄횧뢶쿖뷰쇷뮥뮻ꎬ듓뛸쪹뗃놣쿕죋뿉틔폃만뚨뗄쿖뷰쇷돶쯸뚨캴살늻뿉풤웚뗄쿖뷰쇷돶ꆣ캪쇋럀랶뗀뗂럧쿕ꎬ붻틗맽돌훐늻퓊탭붻뮻ퟔ짭쯹폐뗄럧쿕ꆣ춨뎣쟩뿶쿂ꎬ뻞퓖뮥뮻횻냼삨뻞퓖럧쿕뗄돐떣헟ꎨ놣쿕릫쮾ꆢ퓙놣쿕릫쮾뗈ꎩꎬ훷튪쒿뗄쫇쪵쿖뻞퓖럧쿕퓚뗘폲볤뗄벫듳럖즢ꆣ닎폫죋튻냣춨맽쳘뚨뗄뷰죚훐뷩살쪵쿖쯹닎폫뗄뮥뮻ꎬ늢춨맽뻞퓖럧쿕붻틗쾵춳ꎨCATEXꎩ쪵탐뗧ퟓ뮯붻틗ꆣ 9
훐맺뗘헰럧쿕햮좯뗄뚨볛퇐뺿 뻞퓖럧쿕뮥뮻뗄랶캧놻쿞뚨퓚쮫랽뷸탐뻞퓖럧쿕놩슶뗄붻뮻ꆣ웤훐ꎬ붻뮻틑뺭좷뚨뗄만뚨뫍뢡뚯뗄뢶뿮뷰뛮ꎬ뷓쫜뫏춬뗄ꎨ퓙ꎩ놣쿕릫쮾춬틢퓚뫏춬웚볤틔만뚨뗄쿖뷰쇷룸뢶살붻뮻퓚뻞퓖랢짺쪱뗄뷰죃ꆣ 1996쓪10퓂ꎬ뻞퓖럧쿕붻틗쯹ퟷ캪쫗룶뻞퓖뮥뮻붻틗쯹뾪쪼퓋펪ꆣ죕놾ퟮ듳뗄럇쫙쿕릫쮾ꆪꆪ뚫뺩몣짏ꎬ춨맽Tokio Millenium Re폫죰쪿뷸탐쇋튻듎뻞퓖뮥뮻ꆣ룃뮥뮻뗄헻룶붻틗럑폃캪틚쏀풪ꎬ평ꆰ죕놾뗘헰럧쿕폫쏀맺볓훝뗘헰럧쿕뮥뮻ꆢ죕놾첨럧럧쿕폫런싞샯듯럧럧쿕뮥뮻틔벰죕놾첨럧럧쿕폫램맺럧놩럧쿕뮥뮻ꆱ헢죽룶뛀솢뗄틚쏀풪뗄붻틗ퟩ뫏뛸돉ꆣ쎿룶뮥뮻틲엢뎥쮮욽ꆢ짦벰뗄ퟩ뫏뫍탐튵횸쫽뗄닮틬뛸폐ퟅ늻춬뗄뒥랢뗣ꆣ ꎨ쯄ꎩ뻞퓖햮좯 뻞퓖햮좯쫇떱잰쫐뎡짏쯹폐뗄럧쿕횤좯뮯닺욷훐ퟮ믮풾ꆢ붻틗솿ퟮ듳뗄튻훖ꎬ튲쫇ퟮ돉릦뗄럧쿕횤좯뮯랽쪽ꆣ뻝춳볆ꎬퟔ1994쓪틔살ꎬ좫쟲듳풼폐50뛠볒퓙놣쿕릫쮾뫍춶틸탐랢탐쇋ퟜ볛횵듯165틚쏀풪뗄놣쿕솪뷡횤좯ꎬ웤훐죽럖횮뛾폫뻞퓖럧쿕폐맘ꎬ쟒훷튪퓘쳥뻍쫇뻞퓖햮좯ꆣ 뻞퓖햮좯붫쫕틦뫍횸뚨뗄뻞퓖쯰쪧쿠솪뷡ꎬ붫놣쿕릫쮾쯹돐떣뗄뻞퓖럧쿕뗄튻늿럖틆룸햮좯뗄춶헟ꆣ퓚붻틗뗄맽돌떱훐ꎬ폐튻룶뇘늻뿉짙뗄쳘쫢쒿뗄믺릹ꎬ벴SPVꆣ헢튻믺릹ퟷ캪튻룶뛀솢쯹폐탅췐ꎬ웰ퟅ훐뷩폫뫋탄뗄ퟷ폃ꎬ쯼폫놣쿕릫쮾잩뚩퓙놣쿕뫏춬ꎬ놣쿕죋믲퓙놣쿕죋횧뢶룸듋믺릹튻뚨쫽뛮뗄놣럑ꎬSPV퓚돐떣쿠펦뗄뻞퓖럧쿕뗄춬쪱뛔놣쿕죋뗄놣떥뷸탐횤좯뮯뒦샭ꆣ죧맻뻞퓖랢짺ꎬSPV탨튪붫춨맽돶쫛햮좯믱뗃뗄뷰엢뢶룸놣쿕죋ꎬ웤쯻뷰퓚뿛돽쇋뇘튪뗄럑폃뫳놻략뮹룸춶헟ꎻ죧맻뻞퓖쎻폐랢짺ꎬSPV뻍탨튪쿲춶죋횧뢶햮좯놾뷰뫍샻쾢ꆣ 평듋뿉볻ꎬSPV뗄듦퓚뇜쏢쇋놣쿕릫쮾퓚닺뢺햮뇭훐뢺햮뗄퓶볓ꎬ튲뿛돽쇋놣쿕릫쮾퓚볆쯣뺻놣럑펯폠싊쪱믡폃떽뗄퓙놣쿕럑폃ꆣ 1984쓪죕놾랢탐뗄뿉쫪믘뗘헰햮좯쫇쫀뷧짏ퟮ퓧돶쿖뗄뻞퓖햮좯ꎬ떫평폚훖훖풭틲ꎬ틔쪧냜룦훕ꎬ횮뫳뗄쪮벸쓪쪱볤뻞퓖햮좯뗄랢햹벸뫵춣훍ꆣ횱떽1997쓪돵ꎬHanovr Re릫쮾닅췆돶쇋헦헽뗄뻞퓖햮좯ꆣퟔ듋ꎬ뻞퓖햮좯뗄랢햹죕틦랱죙ꆣ1997쓪폐5룶뻞퓖햮좯췪돉쇋붻틗ꎬ떽2002쓪ꎬ틑폐46룶뻞퓖햮좯춶죫랢탐ꎬ쓪욽뻹랢탐뛮듯10틚쏀풪ꆣ2005쓪ꎬ틲쏀맺뗄뾨쳘샯쓈럧뛸떼훂뗄좫쟲놣쿕쫐뎡쯹쫜떽뗄훘뒴잿쇒듌벤쇋뻞퓖햮좯뗄랢탐쯙뛈뫍맦쒣ꆣ떽2006쓪뗄헢쪮쓪볤ꎬ랢탐솿퓶뎤쇋3놶횮뛠ꎬ2007쓪ꎬ10
뗚뛾헂 뻞퓖럧쿕횤좯뮯폫뻞퓖햮좯 룷놣쿕릫쮾뫍퓙놣쿕릫쮾릲랢탐쇋풼59틚쏀풪뗄뻞퓖햮좯ꎬ뇈2006쓪퓶볓47틚쏀풪ꆣ뻞퓖햮좯죕틦돉캪ꎨ퓙ꎩ놣쿕릫쮾틆ퟔ짭럧쿕뗄훘튪랽쪽횮튻ꆣ 쪱훁뷱죕ꎬ뻞퓖햮좯뗄랶캧틑짦벰뗘헰ꆢ럧ꆢ놩럧톩뗈뛠훖ퟔ좻퓖몦ꎬ뇈죧USAA쏀맺몣췥뚫늿뫍뚫몣낶럧햮좯ꆢWinterhur Re놩럧톩햮좯ꆣ1997쓪4퓂ꎬUSAA췆돶쇋솽훖뻞퓖햮좯ꎨA-1샠뫍A-2샠ꎩꎬퟜ볛횵듯47700췲쏀풪ꆣ헢솽훖햮좯평룟쪢춶릫쮾돐쿺늢틔튻룶탂붨솢뗄USAA뢽쫴릫쮾랢탐ꆣA-1샠햮좯뗄샻쾢캪싗뛘틸탐춬튵닰럅샻싊ꎨLIBORꎩ볓282룶믹놾뗣ꎬ랢탐볛횵31300췲쏀풪ꎻA-2샠햮좯뗄샻쾢캪LIBOR볓575룶믹놾뗣ꎬ랢탐볛횵16400췲쏀풪ꆣ뛾헟횮볤뗄튻룶쟸뇰퓚폚ꎺ뛔폚춶A-1샠햮좯뗄춶헟ꎬ쯤좻웤샻쾢뗄횧뢶놩슶폚럧쿕횮쿂ꎬ떫놾뷰뗄뎥뢶쫇폐놣횤뗄ꎻ뛔폚춶A-2샠햮좯뗄춶헟ꎬ컞싛놾뷰뮹쫇샻쾢뚼쫇췪좫럧쿕놩슶뗄ꆣ 떫쫇ꎬ늻뿉틔냑뻞퓖햮좯폫릫쮾햮좯믬쿽ꎬ틲캪뻞퓖햮좯뻟폐캥풼럧쿕ꆣ햮좯웵풼훐쫂쿈뇪쏷뗄뻞퓖쫂볾뒥랢뫍뿘훆쇋듋샠럧쿕ꆣ퓚춨뎣쟩뿶쿂ꎬ뻞퓖햮좯뗄뒥랢뇪ힼ뷏캪퇏룱ꆣ튻랽쏦ꎬ룟뒥랢뗣뿉틔뚽듙놣쿕릫쮾퓚뺭펪벰럧쿕맜샭뗄맽돌훐쳡룟뺯쳨탔ꎬ튲폐샻폚퓶잿춶헟춶뻞퓖햮좯뗄탅탄ꎻ쇭튻랽쏦ꎬ룟뒥랢뗣쪹뻞퓖햮좯뻟폐복쟡뻞퓖럧쿕뗄ퟷ폃ꆣ틲듋ꎬ뻞퓖햮좯뻍쿱쫇놣쿕릫쮾폫놾쫐뎡잩뚩뗄튻럝퓙놣쿕뫏춬ꎬ쯼쓜릻듙뷸놣쿕릫쮾퓚뷸탐쫐뎡닙ퟷ쪱샻폃뷏캪돉쫬뗄퓙놣쿕랽쏦뗄뺭퇩ꆣ 뛾 뻞퓖햮좯 ꎨ튻ꎩ뻞퓖햮좯뗄볜릹 뻞퓖햮좯튲뫍웤쯻웕춨햮좯튻퇹ꎬ춨맽랢탐햮좯살죚ꎬ늢돐억퓚캴살뗄쒳룶쪱볤맩뮹놾뷰뫍뚨웚횧뢶샻쾢ꆣ떫튲폐늻춬횮뒦ꎬ뇈죧듋샠햮좯뛔놾뷰뫍샻쾢뗄뎥뮹폫쳘뚨뗄뻞퓖쫂볾룸돐놣헢킩뻞퓖럧쿕뗄놣쿕릫쮾듸살뗄쯰쪧ힴ뿶횱뷓쿠맘ꆣ퓚폐킧웚쓚ꎬ죴뻞퓖쫂볾캴랢짺ꎬ퓲춶헟쫕믘놾뷰뫍샻쾢ꎬ살늹뎥뷨돶뗄뷰뫍쯹돐떣뗄럧쿕ꎻ죴뻞퓖죧웚랢짺ꎬ퓲춶헟믡쯰쪧튻늿럖믲좫늿뗄샻쾢뫍놾뷰ꆣ 춼 쫇튻룶볲떥뗄뻞퓖햮좯뗄볜릹ꆣ 11
훐맺뗘헰럧쿕햮좯뗄뚨볛퇐뺿 놣럑 뻞퓖햮좯 놣쿕믺릹SPV 놾뷰 춶헟 퓙놣쿕웵풼샻쾢 놾 놣뷰 샻럑 쾢 탅폃헋뮧 춼2-1 뻞퓖햮좯볜릹 쿂쏦뻍폃튻룶쪵볊랢탐뗄뻞퓖햮좯뗄샽ퟓ살뷢쫍뻞퓖햮좯뗄쪵볊퓋폃ꆣ 1997쓪평죰쪿퓙놣쿕릫쮾붨솢뗄SR뗘헰믹뷰쫴폚횸쫽뒥랢쳵볾ꎨ뒥랢쳵볾뗄룅쓮믡퓚쿂컄훐뷩짜ꎩ뗄뻞퓖햮좯ꎬ평닆닺쯷엢쫂컱쯹ꎨPCSꎩ횸쫽좷뚨ꎬ내헕헢튻횸쫽쯹랴펳돶살뗄쯰쪧맦쒣살복짙럝뛮뗄놾뷰ꆣ쯼평뾪싼좺떺뗄튻볒퓙놣쿕릫쮾랢탐ꎬ쫇튻훖뛠럝뛮햮좯ꎬ폃틔뎥뮹틲볓샻뢣쓡퇇뗘헰뛸퓬돉뗄틚쏀풪뗄뺭볃쯰쪧ꆣ죴쯰쪧뎬맽185틚쏀풪ꎬ퓲복짙33%럝뛮뗄놾뷰ꎬ40%뗄놾뷰폐놣횤ꎻ죴쯰쪧뎬맽210틚쏀풪떫뗍폚240틚쏀풪ꎬ퓲복짙66%럝뛮뗄놾뷰ꎬ놾뷰쎻폐놣횤ꎻ죴쯰쪧뎬맽240틚쏀풪ꎬ퓲럝뛮뗄놾뷰좫늿즥쪧ꎬ헢쫴폚듎춶벶뇰ꎬ놾뷰췪좫폐럧쿕ꆣ 뻞퓖햮좯뻟폐웤뛀쳘뗄쳘뗣ꎬ폐쳘뚨뗄뒥랢쳵볾ꆢ랢탐릤뻟뫍럝뛮ꆣ ꎨ뛾ꎩ뻞퓖햮좯뗄뒥랢쳵볾 뒥랢쳵볾쫇뻞퓖햮좯뗄쿠맘샭싛훐튻룶럇뎣훘튪뗄룅쓮ꎬ쯼튲쫇뻞퓖햮좯늻춬폚웤쯻햮좯뗄ퟮ훷튪뗄쳘헷ꆣ쯼맦뚨쇋떱랢짺쪲쎴퇹뗄뻞퓖럧쿕믲쫇럧쿕듯떽쒳훖돌뛈쪱ꎬ뻞퓖햮좯춶헟뗄쫕틦붫랢짺뇤뮯ꆣ퓚쫂쿈풼뚨뗄웚쿞쓚ꎬ죧맻틲뻞퓖뛸퓬돉뗄쯰쪧뎬맽뒥랢쳵볾ꎬ쓇쎴춶헟뿉틔뗃떽평놾뷰뫍샻쾢ퟩ돉뗄쫕죫ꆣ떫죧맻쯰쪧킡폚뒥랢쳵볾ꎬ쓇쎴춶헟뻍뿉쓜쯰쪧좫늿샻쾢틔벰늿럖짵훁좫늿뗄놾뷰ꆣ 죎뫎튻훖뻞퓖햮좯뚼폐뒥랢쳵볾ꎬ폃폚뻶뚨럖돶릫쮾뿉훐횹ꎨ퓝쪱믲폀뻃훐횹ꎩ뛔샻쾢뫍놾뷰뗄횧뢶ꆣ뒥랢쳵볾훷튪폐틔쿂벸훖탎쪽ꎺ 1. 늹뎥뒥랢쳵볾ꆣ벴떱놣쿕죋퓢쫜뗄쪵볊쯰쪧듯떽튻뚨쮮욽쪱ꎬ늻퓙횧뢶놾뷰뫍12
뗚뛾헂 뻞퓖럧쿕횤좯뮯폫뻞퓖햮좯 샻쾢ꎬ튲뻍쫇쮵쫇폃랢웰죋쪵볊뗄쯰쪧쫽뻝살뇭쪾뗄ꆣ떫쫇헢훖샠탍뗄뒥랢쳵볾폐뫜뛠쇓쫆ꎺ튻랽쏦ꎬ뛔폚퓙놣쿕뗄럖돶릫쮾뛸퇔ꎬ쯼쏇튪쿪쾸뗘엻슶놻놣헏럧쿕뗄쿪쾸탅쾢ꎬ쿪쾸떽쒳킩틲뺺헹믲웤쯻풭틲뛸늻쾣췻놻릫뾪뗄탅쾢ꆣ쇭튻랽쏦ꎬ죧맻햾퓚춶헟뗄뷇뛈ꎬ뇘탫좫쏦돤럖쇋뷢럖돶릫쮾뗄샭엢돐놣벼쫵벰럧쿕ퟩ뫏ힴ뿶뗈ꆣ쯻쏇튪뛔럖돶릫쮾뗄럧쿕ퟩ뫏쟩뿶ꆢ샭엢돐놣벼쫵뗈폐좫쏦뗄쇋뷢ꆣ떫헢킩릤ퟷ쪵볊닙ퟷ웰살쫇쿠떱삧쓑뗄ꎬ틲듋헢훖샠탍뗄뒥랢쳵볾뷶퓚뻞퓖햮좯랢햹뗄퓧웚뷏캪뎣폃ꆣ 2. 횸쫽뒥랢쳵볾ꆣ벴떱튻룶죏뿉뗄뗚죽랽횸쫽ꎨ튻냣캪탐튵쯰쪧횸쫽ꎩ듯떽쒳훖뷧쿞뗄쪱뫲ꎬ늻퓙횧뢶놾뷰뫍샻쾢ꆣ퓚헢훖샠탍뗄뒥랢쳵볾훐ꎬ쒳훖쳘쫢뗄횸뇪폃폚뇭쪾쿠뛔쯰쪧쮮욽ꎬ뇈죧탐튵쯰쪧횸쫽뻍쫇폃살맀볆뻞퓖뛔헻룶놣쿕탐튵퓬돉뗄쯰쪧뗄ꆣPCS횸쫽ꆢGCCI횸쫽ꆢSIGMA횸쫽뫍RMS횸쫽뗈뚼쫇뷏캪뎣폃쟒훷튪뗄탐튵쯰쪧횸쫽ꆣ웤훐ꎬ잰솽훖뗄쪹폃랶캧ퟮ맣쟒훘튪돌뛈ퟮ룟ꆣ 3. 닎쫽뒥랢쳵볾ꆣ떱쳘뚨뗄쯰쪧닎쫽듯떽쒳튻뚨뗄쫽횵쪱ꎬ늻퓙횧뢶놾뷰뫍샻쾢ꆣ헢튻샠탍뗄뒥랢쳵볾훐뺭뎣폃떽맘폚뻞퓖뗄쒳룶좷뚨뗄ퟔ좻닎쫽ꎬ뇈죧럧쯙ꆢ붵폪솿ꆢ뗘헰뗄헰벶ꆢ럧훐탄뗄톹솦뗈ꎬ쪹폃웰살뷏캪볲떥ꆣ웤쪵헢킩닎쫽뿉틔뫍2훐뗄탐튵쯰쪧횸쫽춬쪱맩캪횸쫽뒥랢쳵볾ꆣ 쇭췢ꎬ뒥랢쳵볾튲뿉평1ꆫ3훐뗄튻훖믲벸훖ퟩ뫏뛸돉ꎬ듓뛸복짙믹닮럧쿕ꆣ 죧맻듓춶죋쫕틦뗄뷇뛈살뾴ꎬ뎣폃뗄뒥랢믺훆폐틔쿂벸훖ꎺ 1. 랢웰죋뗄뻞퓖쯰쪧ힴ뿶ꆣ벴떱랢웰죋뗄뻞퓖쯰쪧듯떽쫂쿈풼뚨뗄쮮욽쪱ꎬ춶죋뗄쫕틦믡쫜떽펰쿬ꆣ 2. 헻룶놣쿕튵뗄뻞퓖쯰쪧ힴ뿶ꆣ벴떱헻룶놣쿕튵뗄뻞퓖쯰쪧듯떽튻뚨돌뛈쪱ꎬ춶죋뗄쫕틦믡쫜떽펰쿬ꆣ 3. 쳘뚨뻞퓖쫂볾ꆣ벴떱뫏춬풼뚨뗄쳘뚨뻞퓖쫂볾랢짺쪱ꎬ춶죋뗄쫕틦믡쫜떽펰쿬ꆣ1997쓪ꆰ뚫뺩몣짏ꆱ믰퓖놣쿕릫쮾쯹랢탐뗄뻞퓖햮좯ꎬ뻍틔10쓪쓚뚫뺩뗘쟸랢짺벶틔짏뗄뗘헰캪뒥랢쳵볾ꆣ 4. 뻞퓖춳볆횸뇪ꆣ벴폃뻞퓖쯰쪧뗄춳볆횸뇪살좷뚨춶죋뗄쫕틦ꆣ1997쓪평죰쪿퓙놣쿕릫쮾랢탐뗄뗘헰햮좯뻍쫇틔쏀맺볓훝뗘쟸뗄뗘헰PCS쯰쪧횸쫽캪뒥랢쳵볾ꆣ 춬퇹뗄ꎬ뒥랢믺훆튲뿉틔평틔짏쯄훖쳵볾훐뗄벸룶ퟩ뫏뛸뗃떽ꆣ ꎨ죽ꎩ뻞퓖햮좯뗄랢탐 1. 뻞퓖햮좯뗄랢탐릤뻟 13
훐맺뗘헰럧쿕햮좯뗄뚨볛퇐뺿 랢탐뻞퓖햮좯튻냣뚼춨맽SPV살뷸탐ꆣSPV뢺퓰폫럖돶릫쮾잩뚩퓙놣쿕뫏춬ꎬ늢좡뗃퓙놣쿕놣럑ꆣ돽쇋잩뚩퓙놣쿕뫏춬ꎬSPV튲쿲춶헟랢탐횤좯ꎬ냑퓙놣쿕놣럑쫕죫붻룸쫜췐죋춶ꎬ늢낲업뇘탫횧뢶춶헟뗄쾢욱횧뢶뗴웚ꆣSPVퟷ캪랢탐뻞퓖햮좯뗄릤뻟ꎬ웤퓋ퟷ믺훆죧춼2-2쯹쪾ꎺ 쫜췐죋맺뿢좯쫐뎡 쫕죫 놾뷰/샻쾢놾 뷰놣쫕샻럑죫 쾢뢽놾뷰뫍 샻쾢횤좯 뗴웚틸탐SPV 놾쫐뎡춶헟만뚨/뢡뚯 쫕죫 뗴웚 퓙놣놣럑 쿕 럖돶릫쮾 춼2-2 SPV뗄퓋ퟷ믺훆 2. 랢탐뻞퓖햮좯뗄뿉탐탔럖컶 틔튻쓪웚뗄퓙놣쿕뫏풼캪샽살럖컶랢탐뻞퓖햮좯뗄뿉탐탔ꆣ죧맻퓚튻쓪쓚랢짺쇋뫏춬풼뚨뗄뻞퓖쫂볾ꎬ쓇쎴퓙놣쿕죋쿲풭놣쿕죋횧뢶엢뿮LꎬL캪틑횪뗄만뚨횵ꎻ죧맻쎻폐랢짺뻞퓖ꎬ튲뻍쎻폐죎뫎엢뢶ꆣ탨튪폃떽뗄뇤솿벰ퟖ쒸뇭쪾죧뇭2-2쯹쪾ꎺ 뇭2-2 듋늿럖탨튪폃떽뗄뇤솿벰ퟖ쒸뇭쪾 뻞퓖랢짺뗄룅싊q 1춶헟맀볆햮좯캥풼룅싊q 2 튻웚컞럧쿕샻싊 r q×L1퓙놣쿕볛룱 p= 11+r듓퓙놣쿕쫐뎡쫕떽뗄놣럑p 2 돯벯뷰솿 C 햮쾢솿 R=L−C R쾢욱싊c= C14 /
뗚뛾헂 뻞퓖럧쿕횤좯뮯폫뻞퓖햮좯 웤훐ꎬC싺ퟣ p+C×1+r=L()() ꎨ2-1ꎩ 1볙짨춶헟ퟮ돵뗄춶뛮캪1ꎬ쓇쎴튻쓪뫳죴뻞퓖쫂볾쎻폐랢짺뻍쓜릻뗃떽1+cꎬ1+c1−q()()2헛쿖풤웚쿖뷰쇷ꎬ햮좯쫐뎡좷뚨뗄햮좯떥캻쏦횵랢탐볛룱쫇 1+r1+c1−q()()2늢쟒폐 =1 ꎨ2-2ꎩ 1+rc−r 쯹틔 q= ꎨ2-3ꎩ 21+c틲캪쎻쫕놾뷰뗈볛폚뻞퓖랢짺ꎬ쯹틔폐 c−rLqL()2p== ꎨ2-4ꎩ 21+r1+c1+r()()ퟮ쫊뫏놣쿕릫쮾뗄죚랽램쫇췪좫죚ꎬ튲뻍쫇퓙놣쿕릫쮾뗄뷰뒢놸뇘탫뎬맽Lꎬ헢퇹닅쓜좷놣뻞퓖랢짺쪱퓙놣쿕릫쮾뗄뷰ퟣ틔싄탐놣쿕뫏춬ꆣ 퓙놣쿕릫쮾뿉틔랢탐뿉캥풼뗄햮좯살돯ꎬ틔쟳퓚돶쫛퓙놣쿕놣떥횮잰돯벯떽쯹탨뷰ꆣ뺡맜헢킩햮좯폐뿉쓜컞램퓚웚싺쪱뗃틔뛒쿖ꎬ떫캥풼뗄뿉쓜탔뮹쫇뫜킡뗄ꎬ뛸쟒폐뫜룟뗄춶쫕틦ꎬ퓚춶헟훐폐튻뚨뗄쫐뎡ꆣ 뺡맜퓚샭싛짏뻞퓖랢짺폫뻞퓖햮좯캥풼쫇춬튻볾쫂ꎬ떫쫇퓚쪵볊붻틗훐ꎬ퓙놣쿕릫쮾쓜릻뇈춶헟헆컕룼뛠뗄맘폚뻞퓖뗄탅쾢ꆣ퓙놣쿕릫쮾쫇퇡뛱럧쿕뗄ꎬ뛔뻞퓖랢짺뗄룅싊맀볆욫룟ꎬ틲듋닉좡뷏캪놣쫘뗄첬뛈ꆣ떫춶헟뛔ퟔ벺뗄춶탐캪뚼쫇쿠뛔샖맛뗄ꎬ쯻쏇쾲뫃럧쿕ꎬ죏캪햮좯늻믡폐캥풼ힴ뿶랢짺ꎬ듓뛸쯹맀볆뗄햮좯캥풼룅싊믡뗍폚쪵볊뻞퓖랢짺룅싊ꆣ헢튻탅쾢늻뛔돆ힴ뿶ꎬ뿉틔폃릫쪽뇭쪾캪ꎺ q≥q ꎨ2-5ꎩ 12평ꎨ2-5ꎩ뿉뗃ꎺp≥pꎬ쓇쎴 12p+C1+r≥p+C1+r()()()()12 ꎨ2-6ꎩ 컒쏇횪뗀ꎬ 15
훐맺뗘헰럧쿕햮좯뗄뚨볛퇐뺿 p+C1+r()()2c−rL()=+C1+r()1+cR−rCL()=+C1+r()C+R=R+C =L평듋뿉볻ꎬ뷰ퟜ솿ꎨP+Cꎩ퓚뺭맽튻웚춶뫳늻믡뗍폚Lꎬ듋쪱놣쿕릫쮾퓋펪쮳샻ꎬ벴춨맽랢탐뻞퓖햮좯살돯벯뷰쫇뿉탐뗄ꆣ 3. 뻞퓖햮좯돉릦랢탐뗄뇘탫쳵볾 튻냣살쮵ꎬ뻞퓖햮좯뗄랢탐쫇럱돉릦튪춨맽쯼뛔퓚럖즢붻틗럧쿕랽쏦쯹웰뗄ퟷ폃살움볛ꆣ짦벰떽뗄럧쿕폐풭놣쿕죋뗄돐놣럧쿕ꆢ퓙놣럧쿕ꆢ횤좯릺싲헟뗄춶ퟩ뫏럧쿕뗈ꆣ뻞퓖햮좯랢탐횮뫳튪쓜릻쪹랢탐헟믱뗃탂뗄쇷뚯탔쟾뗀ꎬ쪹춶헟뿉틔뷸탐춶뛠퇹뮯ퟩ뫏ꎬ듓뛸럖즢럧쿕ꆣ룹뻝맺볊짏뻞퓖햮좯뗄쪵볊랢탐뺭퇩ꎬ뻞퓖햮좯튪믱뗃돉릦ꎬ펦떱싺ퟣ틔쿂쳵볾ꎺ ꎨ1ꎩ놾쫐뎡튪랢듯ꆢ쫐뎡닎폫헟뗄쫽솿튪듯떽튻뚨뇪ힼꆢ룷샠폃폚맦랶닎폫헟탐캪뗄램싉램맦튪붡좫쟒맦랶ꆣ ꎨ2ꎩ뛔뻞퓖럧쿕닢쯣뷏캪뺫ힼꆣ폐쿪뺡뗄샺쪷쯰쪧볇슼뫍쓢뫏솼뫃뗄쯰쪧룅싊쒣탍ꎬ뿉틔냯훺ꎨ퓙ꎩ놣쿕릫쮾ힼ좷뗘맀쯣웚췻쯰쪧뫍떼훂늻춬쯰쪧뷡맻뗄뿉쓜탔뗄듳킡ꆣ ꎨ3ꎩ컞싛쫇뛔랢탐헟뗄틆럧쿕뮹쫇뛔춶헟뗄탨쟳뚼탨튪폐튻뚨뗄벤샸믺훆ꆣ ꎨ4ꎩ뛔쯰쪧뷸탐움맀볆쯣뗄놨룦죋튪뗃떽웕뇩뗄죏뿉ꎬ탅움맀믺릹닉폃뗄움맀뇪ힼ뫍움맀랽램튲뇘탫튪캪룷랽쯹뷓쫜ꆣ 4. 뻞퓖햮좯뗄랢탐돌탲 틔쿂쇹룶쿠뢨쿠돉쿠뮥솬뷓뗄뷗뛎릹돉쇋뻞퓖햮좯뗄랢탐돌탲ꆣ 뗚튻뷗뛎ꎺ쪶뇰/움맀럧쿕ꆣ헢튻뷗뛎훷튪쫇폃폚뷧뚨햮좯랢탐쯹튪돐떣뗄뻞퓖럧쿕ꎬ늢톡퓱뫏쫊뗄럧쿕맀볆쒣탍ꎬ튻냣평튵뗄럧쿕움맀릫쮾살췪돉듋쿮릤ퟷꆣ 뗚뛾뷗뛎ꎺ짨볆횤좯랢탐뷡릹ꆣ룹뻝틆럧쿕헟뗄쳘뇰탨쟳ꎬퟱ헕랢탐헟쯹퓚맺볒뗄폐맘뷰죚램싉맦뚨ꎬ짨볆돶뫏쫊뗄햮좯랢탐뗄뷡릹폫탎첬ꆣ 뗚죽뷗뛎ꎺ짳닩움뚨ꆣ퓚랢탐뻞퓖햮좯횮잰ꎬ믡볆쪦믲싉쪦믡움뚨럖놣릫쮾뗄닆컱ힴ뿶ꆢ풭돐놣릫쮾뗄뺭펪쟩뿶ꆢ탨튪럖놣뗄럧쿕뗄쓚죝뫍SPV뗄닆컱ꎬ늢룸돶쿪쪵뗄움뚨놨룦ꆣ 16
뗚뛾헂 뻞퓖럧쿕횤좯뮯폫뻞퓖햮좯 뗚쯄뷗뛎ꎺ컄볾뇠킴ꆣ헢튻뷗뛎뗄훷튪릤ퟷ뻍쫇뇠킴햮좯뫏춬뗄쓚죝ꆣ 뗚컥뷗뛎ꎺ햮좯탅폃움벶ꆣ뻞퓖햮좯뗄뗈벶탅쾢평맺볊탅폃움벶릫쮾쳡릩ꎬ폃살룸춶헟돐냼뫍릺싲햮좯떱ퟷ닎뾼ꆣ 뗚쇹뷗뛎ꎺ짏쫐랢탐ꆣ춨뎣쟩뿶쿂평춶틸탐믲횤좯릫쮾살뢺퓰헢튻뷗뛎뗄릤ퟷꆣ ꎨ쯄ꎩ뻞퓖햮좯뗄럝뛮 뻞퓖햮좯틔뛠훖럝뛮랢탐ꎬ춶헟뿉틔ퟔ평톡퓱뫏쫊뗄럧쿕뫍믘놨쮮욽ꆣ샽죧ꎬ쳗웚놣횵믹뷰뿉틔릺싲뗍탅폃벶뇰뫍룟럧쿕뗄럝뛮ꆣ뿉틔틔ퟩ뫏랽쪽낲업럝뛮ꎬ틔랴펳늻춬쮮욽뗄샻쾢뫍놾뷰뗄퇓동횧뢶ꆣ쯤좻쎿훖쎻폐떣놣뗄럝뛮뚼듦퓚ퟅ럧쿕ꎬ튲뻍쫇쮵죧맻쎻폐뗚죽랽쳡릩떣놣ꎬ쓇쎴놾뷰뫍샻쾢뚼쫇쎻폐놣헏뗄ꆣ놾뷰뫍샻쾢컞놣헏뗄럝뛮럧쿕듳ꎬ떫믘놨룟ꆣ쯼뗄샻싊춨뎣뇈LIBOR룟250떽750룶믹뗣ꆣ ꎨ컥ꎩ뻞퓖햮좯뗄럖샠 뻞퓖햮좯ퟔ닺짺틔살ꎬ늻떫퓚맦쒣짏늻뛏삩듳ꎬ퓚욷훖짏튲죕틦럡뢻ꆣ내헕늻춬뗄뇪ힼꎬ뿉뛔웤뷸탐늻춬뗄럖샠ꆣ뇈죧ꎺ뿉틔내헕럧ꆢ뗘헰벰웤쯻랢짺욵싊뗍쟒쯰쪧돌뛈듳뗄ퟔ좻퓖몦살럖샠ꎬ뛸쎿훖뻞퓖햮좯믲헟럝뛮폖뿉틔룹뻝떥훖믲뛠훖쯰쪧풭틲뷸튻늽쾸럖ꆣ 1. 내놾뷰뗄쫜놣헏돌뛈럖샠 뻞퓖햮좯냼삨놾뷰놣헏탍뻞퓖햮좯뫍놾뷰쫜쿕탍뻞퓖햮좯ꆣ죧맻춶헟릺싲쇋놾뷰놣헏탍햮좯ꎬ쓇쎴퓚뫏춬맦뚨뗄쪱볤쓚ꎬ컞싛뻞퓖쯰쪧쫇럱랢짺ꎬ햮좯뗄랢탐죋뚼뇘탫붫놾뷰뎥뮹룸춶헟ꎬ튲뻍쫇쮵헢훖뎥뮹폫뻞퓖쯰쪧뗄랢짺폫럱컞맘ꆣ뿉볻ꎬ죧맻릺싲쇋헢훖햮좯ꎬ춶헟쯰쪧뗄뷶뿉쓜캪뻞퓖햮좯뗄샻쾢ꆣ죧맻춶헟릺싲쇋놾뷰쫜쿕탍뻞퓖햮좯ꎬ쓇쎴죧맻퓚뫏춬풼뚨뗄쪱볤쓚폐풼뚨뗄뻞퓖럧쿕랢짺ꎬ춶헟뻍폐뿉쓜늻횻쯰쪧샻쾢ꎬ뮹뿉쓜쯰쪧튻늿럖짵훁좫늿뗄햮좯놾뷰ꆣ 2. 내뒥랢쳵볾늻춬럖샠ꎨ내쿠맘뗄뛔쿳럖샠ꎩ ꎨ1ꎩ틔랢웰죋뗄뻞퓖쯰쪧ힴ뿶캪틀뻝뗄뻞퓖햮좯ꆣ뇈죧USAA뻞퓖햮좯뻍맦뚨떱3벶틔짏뗄럧룸룃릫쮾퓬돉뎬맽10틚쏀풪뗄쯰쪧쪱ꎬ폐튻늿럖놾뷰뫍샻쾢쫇컞램략뮹룸춶헟뗄ꆣ ꎨ2ꎩ틔헻룶놣쿕튵뗄뻞퓖쯰쪧ힴ뿶캪틀뻝뗄뻞퓖햮좯ꆣ뇈죧죰쪿퓙놣쿕릫쮾폚1997쓪7퓂랢탐뗄튻훖뻞퓖햮좯뻍틔떥튻뗄볓샻뢣쓡퇇뗘헰룸헻룶놣쿕탐튵퓬돉뗄뻞 17
훐맺뗘헰럧쿕햮좯뗄뚨볛퇐뺿 퓖쯰쪧쟩뿶캪뒥랢쳵볾ꆣ듋훖햮좯럖캪A-1벶ꆢB벶뫍C벶죽샠ꆣ잰솽훖뗄ꆰ뒥랢쳵볾ꆱ쫇쯰쪧뎬맽185틚쏀풪ꎬC벶뗄ꆰ뒥랢쳵볾ꆱ쫇쯰쪧뎬맽120틚쏀풪ꆣ ꎨ3ꎩ틔쳘뚨뻞퓖쫂볾캪틀뻝뗄뻞퓖햮좯ꆣ뇈죧1997쓪12퓂평뚫뺩몣짏믰퓖놣쿕릫쮾ꎨTokyo Marine & Fireꎩ랢탐뗄뻞퓖놣쿕햮좯뗄뒥랢쳵볾뻍쫇10쓪쓚뚫뺩뗘쟸랢짺헰벶룟폚벶뗄뗘헰ꆣ ꎨ4ꎩ틔뻞퓖춳볆횸뇪캪틀뻝뗄뻞퓖햮좯ꆣ 3. 내싄풼랽쪽럖샠 ꎨ1ꎩ뻞퓖솪뷡햮좯ꎨCatastrophe Linked Bondsꎩꆣ뛔폚듋샠햮좯놾뷰뗄뎥뮹솪뷡폚풼뚨뗄뻞퓖쫂볾쫇럱랢짺ꆣ죧맻랢짺쇋뫏춬풼뚨뗄뻞퓖쫂볾ꎬ뻍뿉틔퇓동짵훁좡쿻뛔놾뷰뗄뎥뮹ꆣ ꎨ2ꎩ뻞퓖뿉뮻햮좯ꎨCatastrophe Convertible Bondsꎩꆣ쯼폫뻞퓖솪뷡햮좯뗄늻춬횮뒦훷튪퓚폚ꎺ죧맻랢짺쇋풼뚨뗄뻞퓖쫂볾ꎬ햮좯믡틔풤쿈짨뚨뗄뇈샽뮻캪랢햮릫쮾뗄막욱ꆣ 4. 내뛔놾뷰뗄뎥뮹쳵볾럖샠 ꎨ1ꎩ놾뷰뇤뚯탍햮좯ꎨPrinciple at Risk Bondsꎩꆣ뻞퓖쯰쪧뗄듳킡뻶뚨쇋듋샠햮좯뛔놾뷰뗄뎥뮹뛮뛈ꆣ죧맻쯰쪧뎬맽쇋뫏춬풼뚨뗄뛮뛈ꎬ쓇쎴퓙놣첯엢뛮뻍놻듓햮좯뗄놾뷰훐늻뛏뿛돽ꎬ횱훁놾뷰좫늿뿛췪ꎬ헢튻릤ퟷ평SPV췪돉ꆣ죧맻퓚햮좯떽웚쪱ꎬ놾뷰뮹쎻폐췪좫뿛췪ꎬ쓇쎴춶헟뻍뿉틔뗃떽쪣폠뗄놾뷰ꆣ평듋뿉볻ꎬ듋샠햮좯뛔놾뷰뗄뎥뮹쫇뇤뚯뗄ꆢ쎻폐놣헏뗄ꆣ떫쯼뗄쫕틦뷏룟ꎬ쯹틔폐쫐뎡ꆣ ꎨ2ꎩ놾뷰췪좫놣헏탍햮좯ꎨPrinciple Protected Bondsꎩꆣ췪좫놣헏뗄틢쮼뻍쫇랢탐죋뛔햮좯춶죋뗄놾뷰뎥뮹폫뻞퓖뗄랢짺폫럱컞맘ꎬ벴튻뚨믡뎥뮹놾뷰ꆣ떫놾뷰뎥뮹뗄웚쿞좴폫뻞퓖뗄랢짺쟩뿶맒릳ꆣ죧맻횱떽햮좯떽웚ꎬ뻞퓖뚼쎻폐랢짺ꎬ춶죋돽쇋뿉틔뗃떽랢탐죋뛔웤놾뷰뗄뎥뮹췢ꎬ뮹쓜릻믱뗃샻쾢ꆣ떫죧맻퓚웚쿞쓚뻞퓖랢짺ꎬ춶죋횻쓜뗃떽놾뷰ꎬ샻쾢좫늿쯰쪧ꆣ평듋뿉볻ꎬ듋훖햮좯뇈웰놾뷰뇤뚯탍햮좯쫕틦싊뷏뗍ꎬ떫럧쿕튲뗍ꆣ ꎨ3ꎩ놾뷰늿럖놣헏탍햮좯ꎨGuaranteed Minimum Principle Bondsꎩꆣ듋훖햮좯평놾뷰뇤뚯탍햮좯랢햹뛸살ꆣ죧맻뻞퓖랢짺ꎬ춬퇹탨튪평SPV듓놾뷰훐붫퓙놣첯엢뛮뿛돽ꎬ떫늻춬뗄쫇ꎬ뷶뿛돽튻뚨뗄뇈샽ꆣ내헕듋뇈샽뿛돽췪돉횮뫳ꎬ춶헟뗃떽쪣폠뗄놾뷰ꆣ 18
뗚뛾헂 뻞퓖럧쿕횤좯뮯폫뻞퓖햮좯 ꎨ쇹ꎩ뻞퓖햮좯뗄쳘탔 1. 뻞퓖햮좯뗄폅뗣 쫗쿈ꎬ평폚뻞퓖햮좯쳘뚨뗄붻틗쇷돌ꎬ웤랢탐돯뗄놾뷰쫇놻듦럅퓚뗚죽랽췐맜믺릹훐뗄ꎬ횻폐떱햮좯떽웚늢쟒랢짺쇋쿠펦뗄뻞퓖럧쿕쪱ꎬ랢탐랽닅믡뗃떽늹뎥ꆣ폐쇋놾쫐뎡뗄횧돖ꎬ튲뻍폐쇋탛뫱뗄뷰뫳뛜ꎬ헢퇹뻍뇜쏢쇋퓚붻틗웚쓚뷰놻쮽ퟔ얲폃뗄쟩뿶ꎬ쳡룟쇋낲좫탔ꎬ틲릫쮾컞솦뎥뮹뛸떼훂뗄탅폃럧쿕믲캥풼럧쿕튲뗃떽쇋폐킧붵뗍ꆣ 웤듎ꎬ내헕십뿂캬듄뗄닺ퟩ뫏샭싛ꎨER=R+βER−Rꎩꎬ춶헟퓚()()ifimf닺ퟩ뫏훐틽죫뻞퓖햮좯쫇쓜릻붵뗍웤춶럧쿕뗄ꆣ폐퇐뺿뇭쏷ꎬ평폚ꆰ뒥랢쳵볾ꆱ퓚뫏풼웚쿞쓚랢짺뗄룅싊쿠떱킡ꎨ늻뎬맽1%ꎩꎬ뻞퓖햮좯뗄욽뻹쫕틦싊뻍뎬돶쇋춬뗈럧쿕돌뛈뗄릫쮾햮좯3%ꆫ4%ꆣ헢뻍쪹뗃뻞퓖햮좯뻟폐뷏룟뗄춶쫕틦싊ꆣ룟쫕틦뗍럧쿕쫇쯼뗄쳘헷ꎬ뻞퓖햮좯쫇뫜뫃뗄춶릤뻟ꆣ 퓙듎ꎬ뫜뛠막욱뫍햮좯뗄쫕틦싊뚼폫뺭볃탎쫆쏜쟐쿠맘ꎬ떫뻞퓖햮좯뗄랢탐횻폫쒳튻쿮뻞퓖럧쿕뗄랢짺폫럱뛸럇뺭볃탎쫆쿠맘ꎬ헢쪹뗃뻞퓖햮좯돉캪튻훖β=0뗄춶릤뻟ꎬ춬쪱튲퓶볓쇋춶뻞퓖햮좯뗄쫕틦뗄컈뚨탔ꆣ죧맻춶헟붫웤퓋폃떽춶ퟩ뫏떱훐ꎬ쓇쎴춶ퟩ뫏뗄럧쿕튲믡뗃떽폐킧뗄붵뗍ꆣ헢튻뗣틑듓1997쓪쾮믷쇋퇇훞ꆢ삭뚡쏀훞뫍뛭싞쮹뗄뷰죚럧놩훐뗃떽쇋쿠떱돤럖뗄펡횤ꆣ 쇭췢ꎬ뻞퓖햮좯뗄릺싲헟뚼뿉틔쯣ퟷ쫇럧쿕럖떣헟ꆣ럖떣헟풽뛠ꎬ쫐뎡뇣풽뷓뷼폚뺺헹쫐뎡ꎬ놣쿕쫐뎡짏뗄볛룱늨뚯뻍풽쓜뗃떽폐킧뗄뮺뷢ꎬ뷡맻풽뷓뷼폚컈뚨뗄뺺헹볛룱ꆣ 2. 뻞퓖햮좯뗄좱뗣 춬웤쯻뷰죚뒴탂릤뻟튻퇹ꎬ뻞퓖럧쿕햮좯튲늢늻췪쏀ꆣ뗚튻ꎬ뺡맜뻞퓖햮좯춨맽웤ퟔ짭뛀쳘뗄퓋ퟷ쇷돌붵뗍쇋캥풼럧쿕ꎬ떫쯼뗄랢탐짦벰뛠룶붻틗훷쳥ꎨ뇈죧춶틸탐ꆢ럧쿕움맀믺릹ꆢ탅폃움벶믺릹ꆢ싉쪦뗈ꎩꎬ튲짦벰떽쇋훐뷩믺릹뗄뚨볛폫볠뚽뗈ꎬ튲탨튪쳡릩듳솿뗄쿠맘탅쾢룸춶헟ꎬ틲듋퓚룷샠뻞퓖럧쿕횤좯뮯닺욷훐폐ퟅퟮ룟뗄붻틗돉놾ꆣ뗚뛾ꎬ뻞퓖햮좯뗄랢탐맦쒣킡ꎬ쇷뚯탔뷏닮ꎬ폖쎻폐돉쫬뗄뛾벶쫐뎡ꎬ헢킩뚼퓶볓쇋뻞퓖햮좯뗄죃뫍뇤쿖쓑뛈ꆣ뗚죽ꎬ뻞퓖햮좯뗄랢탐볓훘쇋놣쿕릫쮾뗄뢺햮ꎬ폐뿉쓜뛔놣쿕릫쮾뗄퓋펪퓬돉펰쿬ꆣ튲뻍쫇쮵ꎬ뻞퓖햮좯퓶볓쇋놣쿕릫쮾뗄햮컱돉놾ꆣ뗚쯄ꎬ 19
훐맺뗘헰럧쿕햮좯뗄뚨볛퇐뺿 죴춶헟쿫튪믱뗃뻞퓖햮좯ꎬ쯻늻쓜폃놣횤뷰살횧뢶뛸쫇뇘탫좫뛮뢶뿮ꎬ벴뻞퓖햮좯탨튪뷏룟뗄춶돉놾ꎬ헢뻍뛔춶헟뗄뷰쓜솦쳡돶쇋뷏룟뗄튪쟳ꎬ듓뛸업돢쇋훚뛠뗄훐ꆢ킡탍춶헟ꆣ 쇭췢ꎬ평폚뻞퓖럧쿕쫇춨맽놾쫐뎡볞떽춶죋뗄ꎬ쓇쎴짙쫽놣쿕릫쮾뻍폐뿉쓜춨맽쳡룟놣떥볛횵ꆢ붵뗍놣쿕죋놣쿕퓙뢶뛮믲늻떱샭엢뗈쫖뛎살퓶볓뻞퓖쯰쪧ꎬ틔붫뢺떣틆룸춶죋ꎬ벴뻞퓖햮좯훐듦퓚ퟅ뗀뗂럧쿕ꆣ 죽 뻞퓖햮좯뗄쪵볊샽ퟓꎺUSAA럧햮좯 캻폚쏀맺뗂뿋죸쮹훝뗄USAA놣쿕릫쮾훷튪틔뺭펪룶죋튵컱캪훷ꎬ춬쪱튲쫇쏀맺뗚웟듳웻뎵놣쿕릫쮾뫍뗚쇹듳볒춥닆닺놣쿕릫쮾ꆣUSAA햮좯폚1997쓪쫗듎랢탐ꎬ떱쪱폐틔쿂솽떵ꎺ 뗚튻떵햮좯폐LIBOR+%뗄샻쾢싊뫍룟듯틚쏀풪뗄랢탐ퟜ솿ꆣ떫쯼쯹햼폐뗄놾뷰ퟜ솿뷶캪랢탐ퟜ솿뗄튻냫ꎨ8200췲쏀풪ꎩꎬ웤폠뗄튻냫놻춶떽쇋쏀맺뗄맺뿢좯떱훐ꆣ헢떵햮좯뗄튻룶춻돶쳘뗣뻍쫇쯼뷶뷶폐쾢욱놩슶퓚럧럧쿕쿂ꆣ캪쇋놣횤뷶폐쓜솦릺싲놾뷰췪좫놣헏탍뻞퓖햮좯뗄춶헟튲쓜릻닎폫뷸살ꎬ듋떵햮좯맦뚨ꎺ죧맻퓚풼뚨웚볤뒥랢쫂볾캴랢짺ꎬ쓇쎴퓚웚쿞뷡쫸뫳놾뷰펦떱솢벴좫뛮략뮹룸춶헟ꆣ 뗚뛾떵햮좯뗄샻쾢싊캪LIBOR+%ꆣ돽쇋쾢욱ꎬ웤놾뷰튲쫇놩슶퓚럧쿕훐뗄ꆣ듋떵햮좯폐틚쏀풪뗄놾뷰ퟜ솿ꎬ쫴폚BB벶햮좯ꆣ뒥랢쫂볾평떱쓪6퓂뾪쪼뗄튻쓪쓚쏀맺몣췥뫍뚫몣낶뗄놻놣쿕뗄닆닺쯰쪧살쿞뚨ꆣ죧맻쯰쪧뗍폚10틚쏀풪ꎬ퓲USAA럧쿕ퟔ쇴ꎻ죧맻뎬맽쇋10틚ꎬ쓇쎴춶헟믡룹뻝뫏춬뗄늻춬풼뚨쯰쪧쾢욱뫍ꎨ믲ꎩ놾뷰ꆣ ퟔ1997쓪쫗듎랢탐틔살ꎬUSAA쎿쓪뚼믡랢탐튻듎ꆣ쯹틔컞싛쫇랢탐듎쫽ꎬ틖믲놾ퟜ솿ꎬUSAA뻞퓖햮좯뚼쫇ퟮ퓧뛔쫐뎡닺짺펰쿬늢좡뗃훘듳돉뻍뗄뻞퓖햮좯ꎬ뾰돆뻞퓖햮좯쫐뎡뗄ퟮ듳쇬떼헟뫍믽벫췆뚯헟ꆣ뻝춳볆ꎬ퓚좫늿쯼쯹쫜떽뗄놣헏훐ꎬ폐%살ퟔ폚럧쿕횤좯뮯ꆣ20
뗚죽헂 뻞퓖햮좯뗄뚨볛퇐뺿 뗚죽헂 뻞퓖햮좯뗄뚨볛퇐뺿 튻 뚨볛쓑뗣 춨뎣쟩뿶쿂ꎬ뚼쫇쿈볙짨쫐뎡췪좫ꎬ좻뫳퓙뛔퇜짺횤좯뷸탐뚨볛ꎬ헢퇹컒쏇뻍뿉틔샻폃놾쫐뎡훐틑폐뗄웤쯻횤좯살뢴훆췪돉퇜짺횤좯뗄쿖뷰쇷ꆣ틲듋ꎬ죧맻폃틑폐뗄횤좯살뢴훆췪돉쇋쯹탨쿖뷰쇷ꎬ쓇쎴튲뿉틔폃헢킩횤좯뗄ퟩ뫏뗄볛룱살뻶뚨놻뢴훆뗄퇜짺횤좯뗄볛룱ꆣ 볙짨폐떥웚햮좯뫍솽웚햮좯헢솽훖햮좯ꎬ늢쟒쾢욱싊뻹캪쇣ꆣ죧맻떱잰쫐뎡짏뗄샻싊캪5%ꎬ뺭맽튻웚뗄붻틗뫳샻싊뿉쓜짏짽믲쿂붵ꆣ캪볆쯣랽뇣ꎬ볙짨짏짽캪6%뫍쿂붵캪4%뗄룅싊뻹캪ꆣ쓇쎴솽훖햮좯뗄볛룱뚼ퟱ톭놴얬샯쒣탍ꎬ죧춼3-1쯹쪾ꎺ 11≈+5% 1 1≈+6% 111×+××≈1+6%14%1+5% 1≈+4% 춼3-1 떥웚뫍솽웚햮좯뗄볛룱 볙짨폐튻룶평m룶떥웚햮좯뫍n룶솽웚햮좯ퟩ뫏뛸돉뗄춶ꆣ퓚쪱뿌1ꎬ웤평샻싊뻶뚨뗄볛횵뿉춨맽쿂쏦뗄뻘헳볆쯣뗃떽ꎺ 1n1m+m1+6%×= 1nn1m+1+4%쯹틔헢룶ퟩ뫏뛸돉뗄춶퓚웚돵뗄쫕틦돉놾뿉틔볆쯣죧쿂ꎺ 21
훐맺뗘헰럧쿕햮좯뗄뚨볛퇐뺿 nm+×≈+ 1+5%1+5%m+11111+6%틲캪−≠0ꎬ벴뻘헳쫇튻룶싺훈뻘헳ꎬ쯹틔퓚쪱뿌1뻍뿉틔1+4%1+6%111+4%폃튻뚨쫽솿뗄떥웚믲솽웚햮좯믲헟뛾헟뗄ퟩ뫏뢴훆뗃떽죎틢뗄쿖뷰쇷쿲솿ꆣ헢뻍틢캶ퟅ짏쫶뗄튻웚햮좯쒣탍쫇췪좫뗄ꆣ 떫죧맻틽죫뻞퓖럧쿕늢볙짨뻞퓖뗄랢짺폫럱폫뷰죚쫐뎡뗄ힴ뿶컞맘ꎬ쟩뿶뻍믡폐쯹늻춬ꆣ듋쪱ꎬ뺭맽튻웚뗄붻틗횮뫳ꎬ뿉쓜믡쏦쇙쯄훖늻춬뗄ힴ뿶ꎺ 샻싊짏짽ꎬ폐뻞퓖랢짺샻싊짏짽ꎬ컞뻞퓖랢짺{}ꎻ{} ꎻ샻싊쿂붵ꎬ폐뻞퓖랢짺샻싊쿂붵ꎬ컞뻞퓖랢짺{}ꎻ{} ꎻ춬퇹뗄ꎬ볙짨폐m룶떥웚햮좯뫍n룶솽웚햮좯릹돉뗄춶ퟩ뫏ꎬ웤쿖뷰쇷뿉평죧쿂뻘헳볆쯣뗃떽ꎺ 1n1m+1+6%1m+m1+6%×= 1nn1m+1+4%1n1m+1+4%11111+6%1+6%11111+6%1+6%뻘헳훈캪2ꎬ벴뻘헳늢럇싺훈뻘헳ꆣ쓇쎴죧맻뷶폐틔짏솽훖11111+4%1+4%11111+4%1+4%햮좯ꎬ늢늻쓜릻뢴훆돶붻틗훐믡돶쿖뗄쯹폐쿖뷰쇷ꆣ돶쿖헢튻뷡맻뗄룹놾풭틲퓚폚틽죫쇋뻞퓖럧쿕ꎬ듋쪱뗄튻웚쒣탍폫캴틽죫뻞퓖럧쿕쪱늻춬ꎬ쯼퓚듋쪱쫇늻췪좫뗄ꆣ 틲캪ꎬ뻞퓖햮좯뗄쿖뷰쇷컞램춨맽웤쯻쿖폐햮좯뗄쿖뷰쇷ퟩ뫏살뢴훆뗃떽ꆣ쿠펦뗄ꎬ22
뗚죽헂 뻞퓖햮좯뗄뚨볛퇐뺿 듋샠햮좯뗄쫕틦튲컞램춨맽웤쯻햮좯뗄쫕틦ퟩ뫏살뢴훆ꎬ벴뻞퓖햮좯쫇붨솢퓚늻췪좫쫐뎡뗄믹뒡짏뗄ꆣ헢룶튲쫇뻞퓖햮좯뗄뚨볛쓑쳢ꎺ뛔폚뻞퓖햮좯뗄뚨볛늻쓜닉좡뫍웤쯻햮좯쿠춬뗄쒣탍믲랽램ꎬ탨튪첽쯷탂뗄쒣탍벰랽램쪹웤뗃틔폐킧뷢뻶ꆣ 뛾 췪좫쫐뎡뚨볛쒣탍뷩짜 ꎨ튻ꎩLFC쒣탍 퓚쏀맺ꎬ폐튻룶튵훂솦폚럧쿕횤좯뮯뗄릫쮾ꆪꆪLane Financialꎬ룃릫쮾뗄ퟜ닃Morton Lane늩쪿뛔뻞퓖햮좯쫐뎡뗄볛룱뷸탐쇋뛠쓪뗄맛달뫍퇐뺿ꎬퟮ훕퓚쯰쪧욵싊뫍쯰쪧돌뛈뗄믹뒡짏쳡돶쇋LFC뚨볛쒣탍ꆣ훷튪풭샭캪ꎺ 뛔폚쯰쪧욵싊ꎨ튲뷐ꆰ뗚튻쏀풪쯰쪧욵싊ꆱꎩꎬ폃p뇭쪾쯰쪧캪0벴쎻폐뻞퓖랢짺뗄0룅싊ꎬ랴횮떱쒳튻듎뻞퓖랢짺ꎬ퓬돉뗄쯹폐뿉쓜뗄쯰쪧뗄룅싊뻍캪1−pꎬ벴0PFL=p=1−pi>0ꆣ ()∑i0뛔폚쯰쪧돌뛈ꎬ평폚쳵볾웚췻쯰쪧ꎨCELꎩ퓚뛈솿럖늼캪럇뛔돆탎쪽뗄럧쿕뗄뇣샻탔뫍뿬뷝탔ꎬ쯼뻍놻폃살뫢솿믲뇭쪾쯰쪧돌뛈ꆣ죴룅싊럖늼쫇샫즢뗄ꎬ쓇쎴piCEL=×LꎨL쫇햮좯닺짺뗄뿉쓜뷡맻ꎩꆣ웚췻쯰쪧EL=pLꎬ쯹틔뿉틔폃∑∑iiii1−p0EL/PFL살듺쳦CELꆣ 쯤좻뺭맽뛠듎쪵볹늢뺭맽쇋쫽듎뗷헻ꎬ폃폫뻞퓖햮좯쿠맘뗄쫽뻝뷸탐믘맩뗈뒦샭뗃αβ떽쇋α,β,γ뗈닎쫽폃틔볆쯣뻞퓖햮좯뗄볛룱ꎨEL+γ∗PFL∗CELꎩꎬ떫2000뫍2001()()솽쓪뗄쫽뻝늢늻쫊뫏듋쒣탍ꆣLFC쒣탍놩슶돶쇋컞램뇜쏢뗄좱뗣ꆣ떫뇘탫횵뗃뿏뚨뗄쫇ꎬLFC쒣탍뛔폚튻킩벫캪폐틢틥뗄뷡싛뫍럖컶뷢뻶뚨볛컊쳢뗄랽램뗄랢쿖뫍랢햹웰떽쇋훘튪뗄췆뚯ퟷ폃ꎬ늢쯦ퟅ뻞퓖햮좯쫐뎡뗄랢햹뛸늻뛏췪짆뫍돉쫬ꆣ ꎨ뛾ꎩWang솽틲쯘쒣탍 2002쓪ꎬWang캪쇋붫Sharp뇈싊뗄룅쓮췆맣떽뻟폐욫킱럖늼뗄럧쿕ꎬ쳡돶쇋죧쿂뗄Wang뇤뮻릫쪽ꎺ *−1Sx=ϕSx+λ()()()() ꎨ3-1ꎩ 웤훐ꎬSx=PrX>xꎬ벴뻞퓖쯰쪧뛮X뎬맽x뗄룅싊ꎬ튲뿉틔뷐ퟶ짺듦룅싊ꆣ (){}헢룶뇤뮻릫쪽닺짺쇋튻쳵볛룱쟺쿟ꎨ튲뿉틔돆캪ꆰ쯰쪧뎬풽쟺쿟ꆱꎩꎬ늢쟒쫇뺭맽뗷 23
훐맺뗘헰럧쿕햮좯뗄뚨볛퇐뺿 헻뗄볛룱쟺쿟ꎬ벴Sxꆣ ()헢킩릫쪽믲쟺쿟뗄잰쳡뚼쫇볙짨뻞퓖랢짺뗄룅싊틑횪ꎬ떫퓚쪵볊훐ꎬ뛔폚럧쿕뗄룅싊럖늼ꎬ죋쏇늢늻쫇췪좫좷뚨뗄ꎬ뛸횻쓜춨맽뿉믱뗃뗄벴쪹뿉쓜듳솿떫죔좻쿠뛔폐쿞뗄쫽뻝살뛔웤뷸탐쓢뫏폫맀볆ꆣ틲듋ꎬ쫇듦퓚ퟅ닎쫽늻좷뚨탔뗄틲쯘뗄ꆣ 2004쓪ꎬWangퟱ톭쳘뚨뗄춳볆돩퇹샭싛ꎬ벴폃t−럖늼듺쳦뻟폐캴횪닎쫽뗄뇪뗄헽첬럖늼ꎬ뛔Sx뷸탐쇋죧쿂뗄닎쫽늻좷뚨탔뗷헻ꎺ ()*−1Sx=ψϕSx()()()() ꎨ3-2ꎩ 릫쪽ꎨ3-2ꎩ쯹쪾뗄뗷헻톸쯙퓶볓쇋뻹퓈럖늼폚솽뛋뗄룅싊쏜뛈ꎬ뛸쪹훐볤쟸폲뗄쏜뛈놣돖늻뇤ꎬ헢퇹뻍볓잿쇋뇪뗄럖늼뗄럥뛈ꆣ 붫릫쪽ꎨ3-1ꎩ뫍ꎨ3-2ꎩ뷡뫏ꎬ뻍뗃떽쇋Wang솽틲쯘쒣탍ꎺ *−1Sy=ψϕSy+λ()()()() ꎨ3-3ꎩ ꆰ솽틲쯘ꆱ벴횸룅싊돋믽뫍닎쫽늻좷뚨탔뗷헻ꆣ 뿉볻ꎬ춨맽룅싊뇤뮻횱뷓붫럧쿕틧볛쿲럧쿕뗷헻틧볛ꎬ춬쪱붫럧쿕뢽볓늿럖틾몬폚쯹룸릫쪽횮훐ꆣ헢룶쒣탍쫇튻훖싟벭췆샭ꎬ쫴폚샭싛쒣탍ꎬ쿠랴뗄ꎬLFC쒣탍쫴폚쪵횤쒣탍ꆣ쪵횤쒣탍뻍튻뚨믡쏦쇙뫜뛠쪵횤컊쳢ꎬ뇈죧훜웚탔뫍믽벫탔뗷헻뗈ꎬ떫Wang솽틲쯘쒣탍뻍뇜쏢쇋헢킩쓑쳢ꆣ늢쟒ꎬ뻍뛔쫐뎡볛룱뗄헻쳥뷓뷼돌뛈뛸퇔ꎬ쯼뇈LFC쒣탍펵폐룼뫃뗄뺫좷뛈ꎬ퓚쪵쿖벼쫵랽쏦튲폐쯹볲뮯ꆣ ꎨ죽ꎩHenri Louberge쒣탍 Henri Louberge쫇퓚B-S쒣탍뗄믹뒡짏랢햹뛸살뗄ꆣ쯼뗄볙짨쳵볾훷튪폐ꎺꎨ1ꎩ뷰죚쫐뎡췪좫쟒쎻폐쳗샻뗄믺믡ꎻꎨ2ꎩ샻싊r솬탸ꎻꎨ3ꎩ쇣쾢욱뻞퓖햮좯ꎻꎨ4ꎩ뻞퓖쯰쪧뗄횸쫽럾듓늼샊퓋뚯ꎻꎨ5ꎩ쪱뿌t=0쪱쏦횵캪Fꎻꎨ6ꎩ폐킧웚캪Tꆣ짦벰떽뗄뇤솿벰쿠펦ퟖ쒸뇭쪾죧뇭3-1쯹쪾ꎺ 뇭3-1 듋늿럖짦벰떽뗄뇤솿벰쿠펦ퟖ쒸뇭쪾 ''뻞퓖훜웚 T쟒T<T 쪱뿌t쪱햮좯뗄볛룱 I(t) 떽웚죕뗄횸쫽볛룱 I(T) 캥풼볛룱 K 떽웚죕뗄햮좯쫕틦VT ()얷훞싲좨볛닮뗄볛횵 CE 24
뗚죽헂 뻞퓖햮좯뗄뚨볛퇐뺿 퓚쪵볊붻틗훐ꎬVT뗄ퟮ훕뷡맻뿉쓜믡폐틔쿂죽훖쟩뿶ꎺ ()ꎨ1ꎩ죴I(T)<Kꎬ퓲V(T)=F ꎨ2ꎩ죴K<I(T)<K+(F−B)ꎬ퓲V(T)=F−[I(T)−K]>B ꎨ3ꎩ죴I(T)>K+(F−B)ꎬ퓲V(T)=B 뿉틔뗃떽ꎬ햮좯쫕틦뗄ퟮ킡횵캪Bꆣ틲듋ꎬ햮좯퓚쪱뿌0뗄볛횵캪ꎺ −rT V(0)=Fe−CE(I(0),K,T)+CE(I(0),K+F−B,T) ꎨ3-4ꎩ 퓚떽웚죕벴쪱뿌T뗄볛횵캪ꎺ V(T)=F−Max[0,I(T)−K]+Max[0,I(T)−(K+F−B)] ꎨ3-5ꎩ 죧맻웤훐뗄닎쫽BꆢFꆢTꆢK뗄횵룸뚨ꎬ쓇쎴뻍뿉틔룹뻝릫쪽ꎨ3-5ꎩ살볆쯣뗃돶햮좯퓚췪좫뗄뷰죚쫐뎡뫍컞쳗샻믺믡쳵볾쿂뗄볛룱ꆣ 퓚뎬맽폐킧웚뗄쪱뿌tꎨ벴t>Tꎩꎬ폐 −r(T−t)''−r(T−t)'−r(T−t)'V(t)=Fe[1−N(d)]−I(t)[N(d)−N(d)]+Ke[N(d)−N(d)]+BeN(d)211222 ꎨ3-6ꎩ 2I(t)σln+r+(T−t)K2웤훐ꎬꎬd=d−σT−t d=211σT−t2I(t)σln+r+(T−t)K+F−B2'''d=ꎬd=d−σT−tꆣ 121σT−t죧맻짏컄훐쳡떽뗄늼샊퓋뚯놻뷏뎣폃뗄뒿늴쯉맽돌믲쳸풾삩즢맽돌살듺쳦ꎬ쓇쎴뻍뿉틔뗃돶룼튻냣뗄쒣탍ꆣBriys퓚1997쓪쳡돶뗄뻞퓖햮좯뚨볛쒣탍뻍폫듋쒣탍뗄탎쪽럇뎣뷓뷼ꆣ뺡맜Henri Louberge쒣탍뛔뻞퓖햮좯뗄튻킩쳘헷룸폨쇋뷏듳춻돶ꎬ떫쯼폐ퟅ뷏뛠뗄볙짨믲잰쳡쳵볾ꎬ듓뛸쿞훆쇋룃쒣탍퓚쪵볊붻틗훐뗄펦폃ꆣ 죽 늻췪좫쫐뎡뚨볛쒣탍뷩짜 ꎨ튻ꎩ뻹뫢뚨볛샭싛쒣탍 듋쒣탍볙짨쫐뎡컞쳗샻ꎬ폚쫇럧쿕훐탔룅싊닢뛈듦퓚ꎬ폃Q뇭쪾ꎬ늢쟒Q폫뻞퓖랢짺뗄쪱뿌쿠뮥뛀솢ꆣ뿉틔샻폃Q뗄웚췻살쟳돶쪱뿌0쪱쎿튻룶늻좷뚨뗄쿖뷰쇷ck|k=1,2,",T뗄볛룱ꎺ {()} 25
훐맺뗘헰럧쿕햮좯뗄뚨볛퇐뺿 T1EQck()()∑ ꎨ3-7ꎩ 1+r01+r1"1+rk−1()()()k=1 짨튻뷗뛎샻싊쯦믺맽돌캪rk|k=1,2,",TꎬP0,n뇭쪾쏦횵1쟒떽웚쪱뿌캪n{()}()뗄컞캥풼럧쿕쟒쾢욱캪쇣뗄햮좯퓚쪱뿌0쪱뗄볛룱ꎬ쓇쎴 1P0,n=EQ()() 1+r01+r1"1+rn−1()()() ꎨ3-8ꎩ볙짨뻞퓖쫗듎랢짺폚쪱뿌τꎬ쪱뿌T횮잰뻞퓖쫇럱랢짺쫇늻좷뚨뗄ꎬ벴τ∈1,2,",Tꆣ볙짨쯹춶뗄뻞퓖햮좯뗄놾뷰뫍샻쾢뚼놩슶폚럧쿕횮쿂ꎬ쓇쎴햮좯돖폐{}죋벴춶헟뗄쿖뷰쇷뿉캪 cl+f(c+1)lk=1,2,",T−2{τ>k}τ=kc(k)= (c+1)l+f(c+1)lk=T{τ>K}τ=T ꎨ3-9ꎩ퓙틔듺뇭탔샭싛캪릤뻟ꎬ뻍뿉틔뗃돶튻룶훘튪뷡싛ꎺ쎿튻웚쒩쿖뷰쇷뗄웚췻폫떽웚쪱뗄쇣쾢욱햮좯뗄돋믽횮뫍벴캪뻞퓖햮좯뗄볛룱ꆣ ꎨ뛾ꎩ뛾쿮럖늼쒣탍 폐튻훖샭싛죏캪뻞퓖햮좯폈웤쫇뗘헰햮좯쫴폚놾뷰놣헏탍뫍횸쫽뒥랢탍뻞퓖햮좯ꆣ벴컞싛뻞퓖쫇럱랢짺ꎬ놾뷰놣횤뎥뮹ꎬ떫죧맻쯰쪧듯떽짵훁뎬맽쇋뒥랢쳵볾ꎬ쓇쎴늻횧뢶샻쾢ꆣ틔쒳룶뗘쟸죴룉쓪뗄뗘헰뻞퓖쫽뻝캪퇹놾ꎬ샻폃11훖룅싊럖늼쒣탍뛔헢킩쫽뻝뷸탐쓢뫏ꎬ뛔뷡맻뷸탐뇈뷏럖컶ꎬ뻍뿉좷뚨돶룃뗘쟸뗄뗘헰쯰쪧쯹럻뫏뗄뷏캪샭쿫뗄럖늼ꆣ 퓙샻폃룃뛾쿮럖늼쒣탍ꎬ틔룃뗘쟸컞럧쿕햮좯뗄쫕틦싊캪닎헕ꎬ뛔룃뗘쟸뗄쫐뎡샻싊뷸탐맀쯣ꆣ짦벰떽뗄뇤솿벰쿠펦뗄ퟖ쒸죧뇭3-2쯹쪾ꎺ 뇭3-2 듋늿럖짦벰떽뗄뇤솿벰쿠펦뗄ퟖ쒸뇭쪾 햮좯웚쿞 T 뗘헰퓖몦퓚쪱뿌tퟩ돉뗄쯰쪧뷰뛮It ()뒥랢쮮욽 K 햮좯떽웚쫇놣횤략뮹뗄뷰뛮F r쪱뿌t뗄횧뢶뷰뛮Pt ()폐ꎺ 26
뗚죽헂 뻞퓖햮좯뗄뚨볛퇐뺿 떱t=0쪱ꎬI(t)=0 FI(t)<Kr떱0<t<T쪱ꎬP(t)=, 0I(t)≥K ꎨ3-10ꎩF+BI(t)<Kr떱t=T쪱ꎬP(t)=, BI(t)≥K ꎨ3-11ꎩ떱룸뚨TꆢKꆢB벰F뗄횵뇣뿉쟳뗃룷쪱웚뗄PIt<K벴쾢욱횧뢶뗄컞쳵볾룅{()}r싊ꆣ PI<K()t뛔폚캴떽쪱뿌t뗄쪱뿌s벴s<tꎬ폐PI<K|I<K=ꆣ샻폃컞쳵볾룅싊()tsPI<K()s폫샻싊뷡릹ꎬ붨솢뛾쿮럖늼뗄쒣탍ꆣ훘뢴듋늽훨벴뿉볆쯣돶늻춬샻싊쿂뗄뻞퓖햮좯퓚룷쪱웚뗄볛룱ꆣ ꎨ죽ꎩ쏉쳘뾨싞맩쓉뚨볛랽램 붫쯹튪붻틗뗄뷰죚닺욷뗄짺쏼훜웚0,T럖캪n뛎ꆣ평웚돵볛횵S뾪쪼ꎬ샻폃쯦믺[]0뗼듺랽돌뗄랽램벴ISE뗄랽램뗃돶뗄웤뫳룷쪱웚뗄볛횵S,S,",Sꎬ뛸헢킩볛횵폖탎돉12T1쇋뛔쿠펦닺욷뗄볛룱뇤뮯맽돌뗄뚯첬퇹놾믲맬벣뗄쒣쓢ꎬ폃S뇭쪾ꆣ 11폃fS듺뇭S맬벣횮쿂쯹탨뗄뛔볛룱뗄횧뢶ꎬr캪컞럧쿕샻싊ꎬ춬퇹뗘튲뿉틔뗃()12m23m돶뛀솢춬럖늼맬벣S,S,",S쿂쯹탨뗄뛔볛룱뗄횧뢶fS,fS,",fSꎬ쓇쎴퓚()()()늻뾼싇뻞퓖쯰쪧뗄쟩뿶쿂ꎬ벴횻헫뛔튻냣뗄햮좯살쮵ꎬ쳹쿖욽뻹횵캪ꎺ m1m−rTiC=e fS()∑mi=1 ꎨ3-12ꎩm평듳쫽뚨싉컒쏇뿉틔횪뗀ꎬ떱m→∞쪱ꎬC벸뫵뒦뒦쫕솲폚뎣쫽Cꆣ 떫죧맻볓죫뻞퓖럧쿕ꎬ쟩뿶뇣믡폐쯹늻춬ꆣ평폚뻞퓖햮좯쫇튻훖뫜쳘쫢뗄햮좯ꎬ웤ii볛횵늻뷶평S튲탨튪평X벴뻞퓖랢짺뗄쟩뺰살뻶뚨ꆣ틲듋ꎬ퓚퓋폃쏉쳘뾨싞랽램뛔뻞iii퓖햮좯뷸탐뚨볛쪱ꎬ펦떱붫X폫Sퟛ뫏웰살뾼싇ꆣX쫇평튻룶쯦믺뇤솿χ믲헟튻룶쯦믺맽돌χ살닺짺뗄ꆣ잰쏦뗃떽뗄쳹쿖욽뻹횵릫쪽퓚듋쪱뇤뮯캪ꎺ im1m−rTiiC=efS,X()∑mi=1 ꎨ3-13ꎩ 27
훐맺뗘헰럧쿕햮좯뗄뚨볛퇐뺿 m1m−rTii 믲C=eFVfS,X ()∑Tmi=1 ꎨ3-14ꎩm춬퇹뗘ꎬ평듳쫽뚨싉뿉뗃떱EfS,X<∞쟒VarfS,X<∞쪱ꎬC쫇쫕솲뗄()()쟒벸뫵뒦뒦쫕솲폚튻룶뎣쫽Cꆣ 평듋뿉볻ꎬ쏉쳘뾨싞랽램쫇샻폃쪵볊뗄춳볆쇏ꎬ춨맽뛔맩쓉랽램뗄퓋폃살뛔뻞퓖햮좯뷸탐뚨볛뗄튻훖랽램ꆣ웤훐ꎬMacije Romaniuk뗄퇐뺿돉맻뻟폐쿠떱뗄듺뇭탔ꆣ28
뗚쯄헂 뾼싇뗀뗂럧쿕틲쯘뗄뻞퓖햮좯뚨볛쒣탍 뗚쯄헂 뾼싇뗀뗂럧쿕틲쯘뗄뻞퓖햮좯뚨볛쒣탍 튻 뗀뗂럧쿕 퓚맽좥뛔뻞퓖햮좯뗄퇐뺿벰랢햹훐ꎬ죋쏇붨솢쇋뫜뛠훖뚨볛쒣탍믲랽램ꎬ떫좴뫜짙폐죋붫뛠훖럧쿕틲쯘볓죫뛔뻞퓖햮좯뚨볛컊쳢뗄뾼싇ꆣ좻뛸퓚쿖쪵뗄뷰죚벰놣쿕쫐뎡짏ꎬ뻞퓖햮좯컞램뇜쏢뗘믡쏦쇙뛠훖럧쿕틲쯘뗄ퟛ뫏펰쿬ꆣ Jin-Ping Lee뗄컄헂ꆶPricing default-risks CAT bonds with moral hazard and basis riskꆷ퓚헢룶잷좱뗄랽쏦폐쯹춻웆ꎬ쯻뗄퇐뺿뷡맻쿔쪾돶ꎺ뻞퓖햮좯뗄볛룱틲믹닮럧쿕뫍탅폃럧쿕뗄펰쿬뛸듳럹붵뗍ꆣ뿉볻ꎬ헢솽룶틲쯘퓚뚨볛맽돌훐쫇컞램놻뫶싔뗄ꆣ뺡맜Jin-Ping Lee뗄헢욪컄헂쏖늹쇋틔췹뚨볛쒣탍훐뛔뛠훖럧쿕뾼싇잷좱뗄슩뚴ꎬ떫죔좻뫶싔쇋튻룶퓚햮좯뗄쯹폐뮷뷚훐뚼럇뎣훘튪뗄럧쿕틲쯘ꆪꆪ뗀뗂럧쿕ꆣ 훚쯹훜횪ꎬ떱믽샛뗄쯰쪧쟷뷼폚뒥랢쳵볾쪱ꎬ뻞퓖햮좯뗄랢탐랽캪쇋쳓뇜뛔햮좯돖폐죋뗄샻쾢짵훁놾뷰뗄횧뢶ꎬ춶놣죋캪쇋믱뗃쿠펦뗄놣쿕엢뎥ꎬ뛾헟뚼믡뿌틢뗘뿤듳ퟔ벺뗄쯰쪧ꆣ떱뿤듳떽폫춶놣뛮뷓뷼뗄쮮욽쪱ꎬ놣쿕릫쮾뇣믡틬뎣ꆰ뾶뾮ꆱꎬ틲캪쯻쏇폐쪲쎴쯰쪧ꎬ퓙놣쿕릫쮾튲늻폃퓙횧뢶룸햮좯돖폐죋샻쾢짵훁놾뷰ꆣ헢뻍돶쿖쇋뗀뗂럧쿕ꎬ쯹틔뗀뗂럧쿕틲쯘뇘탫ퟷ캪퓚뛔뻞퓖햮좯뷸탐뚨볛쪱짷훘뾼싇뗄틲쯘ꆣ 잰쏦쳡떽ꎬ떱쯰쪧믽샛떽뷓뷼뒥랢쳵볾쪱ꎬ쯰쪧믡놻뿌틢뿤듳ꎬ믡돶쿖뗀뗂럧쿕ꆣ틲듋캪쇋뇣폚럖컶뫍붨쒣ꎬ컒쏇볙짨횻폐떱쯰쪧샛볆듯떽쇋뒥랢쮮욽뗄쒳튻룶쳘뚨뇈샽ꎨ늻럁짨캪1−βꎩ쪱닅믡랢짺뗀뗂럧쿕ꆣ랢짺뗄맽돌뇭쪾죧쿂ꎺ αLC≤1−βK,C≤A−αL()index,Ti,Ti,TPO=rpL1KCAL()i,TindexTiT otherwiseMaxA−C,0{}i,Ti,T ꎨ4-1ꎩ볈좻춶놣죋캪믱뗃엢뎥뛸뿌틢뿤듳쯰쪧ꎬ쯹틔뛔쯰쪧랢짺룅싊뗄뿘훆쫇럇뎣맘볼뗄ꆣ떫퓚쪵볊뗄붻틗맽돌훐ꎬ쫇뫜쓑뿘훆놣쿕죋뗄샛볆쯰쪧뗄ꎬ돶쿖뗄쯰쪧쫽뛮벸뷼쪧헦ꎬ틲듋짏쫶쒣탍맽폚샭쿫뮯ꆣ뇈죧ꎬ퓚늻뾼싇놣쿕죋쫜샭쯷엢뗄볙짨쿂ꎬ맦뚨떱튻쓪웚뗄뗘헰햮좯뗄샛볆쯰쪧뛮듯떽15틚쪱뻍돉캪놾뷰50%놣횤뗄늿럖놾뷰탍햮좯ꆣ쓇쎴ꎬ퓚뚨볛뗄쪱뻍뇘탫맀볆튻쓪횮뫳쯰쪧뿉틔샛볆떽15틚풪ꎬ돶폚뛔뗀뗂럧쿕틲쯘뗄뾼싇ꎬ 29
훐맺뗘헰럧쿕햮좯뗄뚨볛퇐뺿 뻍튪퓚맀볆쯹뗃룅싊뗄믹뒡짏쫊떱볓듳ꆣ 뛾 뗀뗂럧쿕폫쏉쳘뾨싞랽램뷡뫏 짏컄쿪쾸뷩짜쇋Monte Carlo랽램훐뷏폐듺뇭탔뗄Maciej Romaniuk뗄퇐뺿돉맻ꎬ쯼뷏캪폐킧뗘뷢뻶쇋뻞퓖햮좯뗄뚨볛쓑쳢ꆣ헢훖랽램뗄쫊폃랶캧뷏맣늢쟒뿉춨맽EDGE죭볾볆쯣돶냼삨뻞퓖햮좯퓚쓚뗄쿠맘뷰죚닺욷뗄볛룱ꆣ떫쫇ꎬ춬Jin-Ping Lee뗄ꆶPricing Default-risks CAT Bonds with Moral Hazard and Basis Riskꆷ튻퇹ꎬ헢훖뚨볛랽램늢쎻폐붫뗀뗂틲쯘뾼싇뷸좥ꎬ뮹탨튪ퟶ튻뚨돌뛈뗄뗷헻ꆣ 놾컄훷튪쫇퓚뗘헰햮좯쟒평쯰쪧뛮뻶뚨뗄햮좯훐볓죫뗀뗂럧쿕ꎬ뛔웤뷸탐뚨볛럖컶ꆣ R짨헰벶캪뗄뗘헰ꎬ퓚뺭맽쪱볤GenEarthquakeTime(R)횮뫳햮좯뗄볛횵늻뢴듦퓚ꎬ튲뻍쫇쮵GenEarthquakeTime(R)듺뇭쇋듯떽듋헰벶탨튪뺭맽뗄쪱볤ꆣ춬잰쏦뗄볙짨튻퇹ꎬ뻞퓖햮좯뗄짺쏼훜웚0,T놻럖캪n뛎ꎬΓ=t=0,t,",t=Tꎬt−t=∆tꎬ[]{}01ni+1ii=1,2,",n−1ꆣ늢쟒컞럧쿕샻싊캪rꆣ평웰돵볛횵S뾪쪼ꎬ싺ퟣ쿂쇐쯦믺뗼듺랽돌ꎺ 012S=S⋅expr−σ∆t+σ∆tεꎨ4-2ꎩ i+1ii2 웤훐ꎬ쯦믺쫽ε,ε,",ε쿠뮥뛀솢쟒럾듓뇪ힼ헽첬럖늼ꆣ 01n−1평ꎨ4-3ꎩ벴뿉뗃돶룷쪱뿌햮좯뗄볛횵ꎺS,S,",Sꎬ헢킩볛횵튲뻍탎돉쇋쒣쓢햮12T1ii좯뗄볛룱뇤뮯맽돌뗄뚯첬맬벣믲퇹놾Sꆣ붫뻞퓖랢짺뗄쟩뺰X폫Sퟛ뫏뾼싇ꎬ춨맽iifS,X볆쯣쳹쿖욽뻹횵 ()m1m−rTiiC=efS,X ()∑mi=1 ꎨ4-3ꎩ본폚쫖뚯볆쯣럇뎣랱쯶늢쟒죝틗돶듭ꎬ퓋폃MATLAB죭볾살뷸탐닙ퟷꆣ늻뾼싇뗀뗂럧쿕틲쯘쪱ꎬ쯹뇠돌탲죧쿂ꎺ average=0 for i=1:m X=GenEarthquakeTime(R) Y=floor(X) S=S 30
뗚쯄헂 뾼싇뗀뗂럧쿕틲쯘뗄뻞퓖햮좯뚨볛쒣탍 for j=1:Y S=S*exp((*sigma^2)*j+sigma*sqrt(j)*normrnd(0,1,1,1)); end; average=average+S; end; average=average/m; price=exp(-r*Y)*average; 볓죫뛔뗀뗂럧쿕뗄뾼싇뫳ꎬ돌탲룄뇠캪ꎺ average=0; A=0; for i=1:m S=S; 0for j=1:n S=S*exp((*sigma^2)*j+sigma*sqrt(j)*normrnd(0,1,1,1)); X=GenCumLossAmount(j); If K⇒X>(1-a)K break Max(j); end end; average=average+S; A=A+Max(j); end; A=A/m; average=average/m; price=exp(-r*A)*average; 훁듋ꎬ퓚뒫춳뗄쏉쳘뾨싞쒣쓢뚨볛랽램훐볓죫뗀뗂럧쿕틲쯘ꎬ뾪뇙쇋튻훖탂뗄뻞퓖햮좯뗄뚨볛랽램ꆣ 31
뗚컥헂 컒맺뗘헰럧쿕햮좯뗄짨볆 뗚컥헂 컒맺뗘헰럧쿕햮좯뗄짨볆 튻 컒맺뻞퓖럧쿕맜샭뗄쿖ힴ 컒맺쏦쇙ퟅ훚뛠ퟔ좻퓖몦뗄쟖쾮ꎬ떫평폚뻞퓖럧쿕놣헏쳥쾵뗄늻붡좫ꎬ떼훂뻞퓖랢짺뫳놣쿕엢뢶뗄뇈샽맽뗍ꎬ쯹틔평듋샠럧쿕뛸퓬돉뗄뺭볃쯰쪧쿠떱퇏훘ꆣ쒿잰살쮵ꎬ맺볒뛔퓖뫳쯰쪧늹뎥훷튪뾿뚯폃닆헾뷰ꆣ떫쫇ꎬ죋뿚퓶볓ꆢ닆뢻벯훐뛈뗄쳡룟틔벰컯훊짺믮뗄럡뢻뗈풭틲쪹뗃춬뗈웆뮵솦돌뛈뗄뻞퓖뿉쓜퓬돉풽살풽듳뗄뺭볃쯰쪧ꎬ짵훁믡뎬맽헾뢮뗄닆헾쓜솦ꆣ뛸컒맺쒿잰뗍랢햹쮮욽뗄놣쿕튵튲룸놣쿕릫쮾뗄돐놣쓜솦듸살쇋뫜듳쿞훆ꆣ쯹틔ꎬ쒿잰컒맺뷶쓜쪵쪩킡랶캧ꆢ뗍닣듎뗄뻞퓖럧쿕맜샭랽램ꎬ펦뛔뗍랢짺욵싊ꆢ잿쯰쪧돌뛈뗄뻞퓖럧쿕짐쿔뗃솦늻듓탄ꆣ 쒿잰컒쏇쯹쳖싛뗄뻞퓖훷튪횸ퟔ좻퓖몦ꆣퟔ좻퓖몦퓚컒맺랢짺뗄욵싊뷏룟ꎬ늢쟒컒맺벸뫵퓢쫜맽쯹폐훖샠뗄ퟔ좻퓖몦뗄쟖쾮늢쟒쯰쪧닒훘ꆣ퓚맽좥뗄40쓪훐ꎬ컒맺욽뻹쎿쓪랢짺듎뷏듳뗄웸쿳퓖몦ꎬ짏쫀볍90쓪듺틲퓖몦뛸퓬돉뗄쯰쪧룟듯1200틚ꆣ쒿잰ꎬ컒맺럧쿕맜샭쳥쾵늻릻췪짆ꎬ뛸놣쿕퓚헢룶쳥쾵훐쯹햼뗄럝뛮룼쫇짙횮폖짙ꆣ떱헾뢮늹쳹맽듳짵훁컞솦돐떣퓖뫳훘붨쯹듸살뗄톹솦쪱죋쏇뇣믡쇭뇙뺶ꆣ떫쒿잰훐맺뗄퓙놣쿕쫐뎡짏릩탨늢늻욽뫢ꆣ룹뻝맺볊짏뗄뺭퇩ꎬ떱헢훖쟩뿶돶쿖쪱ꎬ뻞퓖럧쿕횤좯뮯늻쪧캪튻훖돉릦뗄뷢뻶랽쪽ꆣ뛸퓚룷훖뻞퓖럧쿕횤좯뮯닺욷훐ꎬ뻞퓖햮좯컞틉쫇펰쿬ퟮ듳튲쫇ퟮ돉릦뗄튻훖ꆣ 뛾 랢햹뻞퓖햮좯튵컱뗄틦뒦 뻞퓖럧쿕맜샭뗄맺볊뺭퇩룦쯟컒쏇ꎺ뻞퓖햮좯쓜릻폐킧뗘틆뫍럖즢뻞퓖럧쿕ꎬ뛔놣쿕뷰살풴뗄삩듳웰떽췆뚯ퟷ폃ꎬ늢쓜릻쪹뗃컒맺놾ꆢ놣쿕솽쫐뎡뗄죚뫏뷸돌볓뿬ꆣ뻞퓖햮좯뗄랢탐쓜릻캪컒맺붨짨췪짆뗄뻞퓖럧쿕맜샭쳥쾵뾪뇙튻훖탂뗄쮼슷ꆣ 튪랢탐튻훖탂뗄뷰죚닺욷ꎬ짨볆돶럻뫏쯹퓚쫐뎡쪵볊쟩뿶뗄쒣쪽쫇럇뎣맘볼뗄ꎬ뻞퓖햮좯뗄랢탐튲믡쏦쇙춬퇹뗄컊쳢ꆣ떫쯼폫웳튵햮좯뫜쿠쯆ꎬ뛸웳튵햮좯퓚컒맺틑뺭랢햹뗃쿠뛔돉쫬ꎬ쯹틔뻞퓖햮좯퓚짨볆랽쏦뿉틔뷨본웳튵햮좯뗄돉릦뺭퇩ꆣ뛸쟒ꎬ뺡맜뻞퓖햮좯튲믡폐쯰쪧놾뷰뗄럧쿕ꎬ떫헢훖럧쿕뇈웰춬캪뻞퓖럧쿕횤좯뮯닺욷뗄뻞퓖웚믵뫍뻞퓖웚좨뮹쫇늻ퟣ캪뻥뗄ꆣ춬쪱ꎬ뛔웤쯻햮좯샠닺욷뗄쫬쾤튲믡냯훺쳡룟뻞퓖햮좯퓚춶 33
훐맺뗘헰럧쿕햮좯뗄뚨볛퇐뺿 헟훐뗄쫜뮶펭뛈ꆣ쇭췢ꎬ쯼폫퓙놣쿕퓚닙ퟷ짏뗄쿠쯆뛈늻뷶룸풭놣쿕죋듸살쇋뫜듳뇣샻ꎬ튲놣횤쇋붻틗뗄낲좫탔ꆣ웤훐SPV쯹웰뗄ퟷ폃퓚잰컄훐틑폐쿪쾸뗄싛쫶ꆣ 랢햹뻞퓖햮좯뮹폐튻룶뫜듳뗄폅쫆뻍퓚폚웤쯹뇘탫뻟놸뗄쳵볾쿠뛔웤쯻뻞퓖럧쿕횤좯뮯닺욷튪뗍뗃뛠ꆣ춨뎣쟩뿶쿂ꎬ튻룶펵폐튻뚨쫽솿뗄믺릹춶헟뫍볠맜훆뛈뷏뫃쟒틑랢햹떽튻뚨쮮욽뗄뷰죚쫐뎡ꎬ퓙볓짏폐맘뗄럾컱믺릹ꎨ햮좯움벶믺릹ꆢ뻞퓖럧쿕움맀믺릹뗈ꎩꎬ뻍뿉틔랢햹뻞퓖햮좯ꆣ뛸컞싛쫇싺ퟣ짏쫶쳵볾뗄뷰죚쫐뎡ꎬ뮹쫇쿠맘뗄럾컱믺릹퓚뛌웚쓚뚼쫇뿉틔쪵쿖뗄ꆣ 죽 훐맺뗘헰놣쿕훆뛈뗄쿖ힴ 평폚놻뮷첫욽퇳뗘헰듸뫍퇇얷뗘헰듸쯹냼캧ꎬ쯄쳵훷튪뗄뗘헰듸뗄뢲룇쏦믽뎬맽쇋컒맺맺췁쏦믽뗄2/3ꆣ퓚ퟔ좻퓖몦쯹퓬돉뗄죋풱짋췶훐ꎬ폐튻냫뚼폫뗘헰폐맘ꆣ뿉틔쮵ꎬ뗘헰틑뺭돉캪뛔컒맺캣몦ퟮ듳뗄뻞탍ퟔ좻퓖몦ꆣ뻝춳볆ꎬꆰ좫쟲쯀췶죋뿚뎬맽5췲뗄17듎뗘헰훐ꎬ폐13듎랢짺퓚훐맺ꎻ뛸쯀췶죋쫽뎬맽20췲뗄4듎뗘헰퓲좫늿랢짺퓚훐맺ꆣꆱ짏룶쫀볍ꎬ컒맺욽뻹쎿쓪랢짺19듎5벶틔짏뗘헰ꎬ듎6벶틔짏뗘헰ꆣ놾쫀볍ꎬ컒맺폖랢짺쇋헰벶룟듯벶뗄뒨듳뗘헰ꎬ쯰쪧짋췶벫캪닒훘ꆣ 뺡맜뗘헰럧쿕죧듋쯁얰ꎬ웹뷱캪횹컒맺좴짐캴붨솢웰췪짆뗄뗘헰놣쿕쳥쾵ꆣ훐맺죋쏱놣쿕릫쮾쎻폐짨솢떥뛀뗄헫뛔뗘헰뗄놣쿕놣떥ꎬ튲쎻폐폃폚뗘헰뗄뛀솢쳵뿮뫍놣럑럑싊ꆣ 듓쒿잰훐맺뗄놣쿕릫쮾뗄돐놣쓜솦살뾴ꎬ튪돐놣뗘헰럧쿕뮹쫇쿠떱폐쳴햽탔뗄ꎬ뿉쓜쒳튻듎믲솬탸벸듎뗄쯰쪧뷏듳뗄뗘헰뻍믡쪹놣쿕릫쮾짵훁헻룶놣쿕탐튵뗄퓋펪쿝죫붩뻖뫍삧뺳ꆣ쯹틔ꎬ뗘헰랢짺뫳ꎬ퓖쟸훘붨뗄뷰믹놾살풴폚헾뢮늹쳹벰짧믡뻨퓹ꆣ퓚뷢뻶쇋릫릲짨쪩탞뢴벰ퟮ삧쓑좺훚냯훺뫳ꎬ쪣폠뷰틑쇈쇈컞벸ꎬ튻냣릫훚뫍웳튵뗄뺭볃쯰쪧뻍횻쓜ꆰ쳽쳬평쏼ꆱꆣ뛸웤쯻뗄짌튵놣쿕릫쮾ꎬ틲캪좱랦살ퟔ폚헾뢮뗄횧돖ꎬ튲뾼싇떽뗘헰럧쿕뺭뎣뇈뷏벯훐뛸쟒믡퓬돉뻞듳뗄쯰쪧ꎬ퓚쏦뛔뗘헰럧쿕뗄첬뛈폫닟싔랽쏦췹췹쫇ꆰ뷷짷놣쫘ꆱ벴퇡뛱럧쿕뗄ꆣ 쇭췢ꎬ컒맺웕춨쏱훚쯤틑뺭뛔놣쿕폐쇋돵늽뗄쇋뷢폫죏쪶ꎬ떫뛔틢췢쯰쪧폈웤쫇뗍욵싊뗄럧쿕룼쫇늻릻훘쫓ꎬ틲듋뛔폚뗘헰놣쿕헢튻룅쓮뗄춶놣틢쪶뮹쿠떱놡죵ꆣ뛸쟒ꎬ훐맺죋췹췹쾲뮶폃놾뷰뗄뎥뮹폫럱살에뛏쒳훖놣쿕닺욷뗄폅쇓ꎬ헢훖틢쪶탎첬뷸튻늽복킡쇋뗘헰놣쿕뗄쫐뎡ꆣ 34
뗚컥헂 컒맺뗘헰럧쿕햮좯뗄짨볆 쯄 컒맺뗘헰퓖몦뗄쯰쪧럖늼 ꎨ튻ꎩ쯰쪧럖늼붨쒣랽램 뻞퓖놣쿕쯹맘탄뗄뫋탄컊쳢쫇뾼싇쯰쪧럖늼뗄뫱캲쟩뿶ꎬ틲듋퓚좷뚨뗘헰퓖몦뗄쯰쪧럖늼쪱ꎬ펦내헕춼5-1쯹쪾뗄맽돌뷸탐ꎺ 뺭퇩쪣폠 웚췻몯쫽횵 쟷쫆에뛏 돵맀럖늼 몯쫽뫍닎쫽 샭싛폫뺭퇩 쪣폠웚췻몯쫽횵 쓢뫏폅뛈 볬퇩 좷뚨 럖늼몯쫽 춼 5-1 좷뚨뗘헰퓖몦쯰쪧럖늼뗄맽돌 룹뻝평쪵볊쫽뻝ퟷ돶뗄즢뗣춼벰웤폫벸훖훘튪뗄룅싊럖늼뗄춼쿱뗄뇈뷏ꎬ뿉돵늽에뛏돶룃ퟩ쫽뻝쯹뷼쯆럾듓뗄럖늼샠탍ꆣ짨쯹뾼싇뗄쯰쪧럖늼뗄쯦믺뇤솿캪Xꎬ 35
훐맺뗘헰럧쿕햮좯뗄뚨볛퇐뺿 X,X,",X캪튻ퟩ쮳탲춳볆솿ꎬ쟒맛달횵캪x,x,",xꎬ쓇쎴뺭퇩몯쫽캪 12n12nx+"+xk+1n eX,x=−x ꎨ5-1ꎩ []kn−k죧맻쫇럖ퟩ쫽뻝ꎬ릫쪽ꎨ5-1ꎩ뇤캪 fX+"+fXmmk+1k+1 eX,c=−c ꎨ5-2ꎩ []nkkf+"+fmk+1웤훐ꎬXꆪꆪ뗚kퟩ뗄욽뻹쫽ꎬfꆪꆪ뗚kퟩ뗄욵쫽ꎬcꆪꆪ뗚kퟩ뗄짏쿞 kkk돵늽췪돉뛔쟷쫆뗄에뛏뫳ꎬ벴뿉춨맽Eviews죭볾늢샻폃ퟮ킡뛾돋뗼듺랽램뛔쯹톡쒣탍뷸탐닎쫽맀볆ꎬ늢퓚듋믹뒡짏볬퇩쒣탍뗄뿉뾿탔ꆣ ꎨ뛾ꎩ뛔뗘헰쫽뻝뗄럖컶 늻춬뗄뻞퓖맜샭쳥쾵뛔뻞퓖폐ퟅ늻춬뗄뚨틥뫍뇪ힼꎬ떫컒맺쒿잰짐좱랦듋샠맦뚨ꆣ틲듋캪쇋랽뇣쯑벯ꆢ헻샭뫍럖컶뇈뷏쫽뻝ꎬ놾컄횻뛔뺭볃쯰쪧뎬맽1틚풪뗘헰쿠맘쫽뻝뷸탐럖컶ꆣ 뇭5-1훐쿔쪾쇋컒맺1979-2010쓪횱뷓뺭볃쯰쪧퓚1틚풪틔짏뗄뗘헰쿠맘쫽뻝ꆣ뿉틔뾴돶ꎬ컒맺뗘헰쯰쪧뷰뛮뗄럖늼뫜늻뻹퓈ꆣ 뇭5-1 1979-2010쓪컒맺뺭볃쯰쪧맽틚풪뗄뗘헰퓖몦튻샀뇭ꎨ떥캻ꎺ틚풪ꎩ 탲횱뷓뺭볃쯰쪧 춨맽CPI횸쫽뷸탐죕웚 뗘뗣 헰벶 뫅 ꎨ떱쓪볛룱ꎩ 뮻쯣뫳뗄뺭볃쯰쪧1 1979-7-9 붭쯕鶚퇴 2 1983-11-7 즽뚫뫊퓳 3 1985-3-29 쯄뒨ퟔ릱 4 1985-8-23 탂붮컚잡 5 1986-8-16 뫚쇺붭뗂뚼 6 1988-11-6 퓆쓏삽닗 7 1989-4-16 쯄뒨냍쳁 8 1989-9-22 쯄뒨킡뷰 9 1989-10-19 즽컷듳춬 10 1989-11-20 훘쟬 11 1990-2-10 붭쯕뎣쫬 12 1990-4-26 쟠몣릲뫍 36
뗚컥헂 컒맺뗘헰럧쿕햮좯뗄짨볆 13 1990-10-20 룊쯠뺰첩 14 1992-11-26 뢣붨쇺퇒 15 1993-9-16 첨췥몣쾿 16 1995-7-12 퓆쓏쏏솬 17 1995-10-24 퓆쓏커뚨 18 1996-2-3 퓆쓏샶붭 19 1996-3-19 탂붮?쪦 20 1996-5-3 쓚쏉맅냼춷 21 1997-1-10 탂붮?쪦 22 1997-4-11 탂붮?쪦 23 1998-1-10 뫓놱헅놱 24 1998-8-27 탂붮?쪦 25 1998-11-19 퓆쓏ꆢ쯄뒨 26 1998-12-1 퓆쓏탻췾 27 1999-11-1 즽컷듳춬 28 2000-1-15 퓆쓏튦낲 29 2000-1-27 퓆쓏쟰놱 30 2001-2-23 쯄뒨퇅붭 31 2001-4-10 퓆쓏쪩뗩 32 2001-10-27 퓆쓏폀쪤 33 2003-2-24 탂붮?쪦 2003-7-21 34 퓆쓏듳튦 2003-10-16 35 2003-8-18 쓚쏉맅돠럥 36 2003-10-27 룊쯠쏱샖 37 2003-11-15 퓆쓏헑춨 탂붮틁샧헑38 2003-12-1 쯕 39 2005-2-15 탂붮컚쪲 40 2005-8-5 퓆쓏믡퓳 41 2005-11-26 붭컷뻅붭 42 2006-1-12 퓆쓏쒫붭 43 2006-3-31 벪쇖재낲 37
훐맺뗘헰럧쿕햮좯뗄뚨볛퇐뺿 44 2006-7-22 퓆쓏퇎뷲 45 2006-8-25 퓆쓏퇎뷲 46 2007-6-3 퓆쓏웕뛽 47 2007-7-20 탂붮틁샧 48 2008-3-21 탂붮폚쳯 49 2008-5-12 쯄뒨뒨 50 2008-8-20 퓆쓏펯붭 51313 51 2008-8-30 쯄뒨죊뫍 52 2008-10-6 컷님떱탛 53 2008-11-10 쟠몣몣컷 54 2008-12-26 퓆쓏죰샶 55 2009-7-9 퓆쓏튦낲 56 2009-8-28 쟠몣몣컷 57 2010-4-14 쟠몣폱쫷 쫽뻝살풴ꎻ훐맺뗘헰췸 폃늻뗈뻠럖ퟩ랽램붫짏뇭훐뗄풭쪼쫽뻝뷸탐헻샭ꎬ뗃떽뇭5-2ꎺ 뇭5-2 쯰쪧럖늼뗄럖ퟩ쫽뻝 쯰쪧뷰뛮ꎨ틚풪ꎩ 랢짺듎쫽 랢짺욵싊 샛볆욵싊 욵싊쏜뛈 1ꆫ2 14 2ꆫ3 ꆫ4 5 4ꆫ7 ꆫ10 3 10ꆫ20 ꆫ30 2 30ꆫ40 ꆫ50 1 50ꆫ60 ꆫ70 0 70ꆫ8824 뫏볆 57 38
뗚컥헂 컒맺뗘헰럧쿕햮좯뗄짨볆 죴붫c럖뇰좡캪1ꎬ2ꎬ3ꎬ4ꎬ7ꎬ10ꎬ20ꎬ30ꎬ40ꎬ50ꎬ60ꎬ70ꎬ8824ꎬ퓲룹뻝릫k쪽ꎨ5-2ꎩ벴뿉뗃돶e럖뇰캪ꎺ ꎬ ꎬ ꎬ ꎬ ꎬ ꎬ ꎬ ꎬ ꎬ ꎬ ꎬ 샻폃Spss죭볾ퟶ돶룃뺭퇩쪣폠웚췻몯쫽뗄즢뗣춼뫳벴뿉뾴돶쯰쪧틔헽뗄킱싊퓶뎤ꎬ2C2()lnt−µ()−Cx1()122σ폫Pareto럖늼ꎨY=1−ꎩ뫍뛔쫽헽첬럖늼ꎨFx=edtꎩ()∫−∞X+C1()2πσt뷏캪뷓뷼ꎬ폚쫇뿉틔돵늽맀볆뗘헰쯰쪧럖늼뿉쓜럻뫏헢솽훖럖늼훐뗄튻훖ꆣ쿂쏦틀듎퇩횤ꆣ ꎨ죽ꎩPareto럖늼맀볆 룹뻝뻘맀볆램늢쇐돶뻘헳랽돌ퟩꎬ평듋뿉뗃Pareto럖늼뗄닎쫽뗄돵쪼맀볆횵2nx⋅m2s1222ˆˆλ==ꎬα==ꎬ웤훐m=x=s+xꆣ뺭맽13듎뗼()∑i2222s−xs−xni=12ˆ듺뫳듯떽쫕솲ꎬ춬쪱뿉뗃떽솽룶닎쫽뗄맀볆횵캪λ=ꎬˆα=ꎬ뗷헻뫳뗄R횵캪ꆣ 떫쫇Pareto럖늼뗄X뗄샭싛쪣폠웚췻몯쫽캪 λ+x eX,x= ꎨ5-3ꎩ []α−1룹뻝헢룶쪽ퟓ볆쯣돶샭싛쪣폠웚췻몯쫽뫳ꎬ웤폫뺭퇩쪣폠몯쫽횵뗄뇈뷏죧쿂뇭ꎺ 뇭5-3 샭싛쪣폠몯쫽뫍뺭퇩쪣폠몯쫽뗄뇈뷏 e '' e n'' e 뿉틔랢쿖ꎬ뛔펦뗄쫽횵쿠닮뷏풶ꎬ뿉볻Pareto럖늼뗄쓢뫏킧맻늢늻샭쿫ꎬ틲듋믹놾뿉틔업돽뗘헰쯰쪧럖늼럾듓Pareto럖늼뗄뿉쓜탔ꆣ 39
훐맺뗘헰럧쿕햮좯뗄뚨볛퇐뺿 ꎨ쯄ꎩ뛔쫽헽첬럖늼맀볆 뛔쫽헽첬럖늼뗄럖늼몯쫽캪 2lnt−µ()−x122σFx=edt()∫−∞2πσt ꎨ5-4ꎩ 뿉틔뾴떽ꎬ1988쓪뗄퓆쓏삽닗뗘헰ꆢ2008쓪뗄뒨뗘헰ꆢ2010쓪뗄쟠몣폱쫷뗘헰헢죽뗘헰뗄뺭볃쯰쪧벫캪닒훘ꎬ룟돶웤쯻쓪럝뗘헰뗄뺭볃쯰쪧쿠떱뛠ꆣ틲듋헢죽듎뗘헰뗄쫽뻝쫴폚퇹놾쫽뻝훐뗄쳘쫢뗣ꎬ퓚뷸탐쯰쪧럖늼쒣쓢뗄쪱뫲펦떱업돽ꎬ럱퓲믡뛔쒣쓢벰맀볆뷡맻닺짺늻솼펰쿬ꆣ 퇹놾쫽뻝뗄튻ꆢ뛾뷗풭뗣뻘뿉볆쯣죧쿂ꎺ nxf∑×14+×6+"+55×1i=1µ=EX===()1n57 f∑ii=1n2xf∑×14+×6+"+5×12i=1µ=EX== ()2n57f∑ii=1뛔폚뛔쫽헽첬럖늼뛸퇔ꎬ폐 12µ+σ2EX=e () ꎨ5-5ꎩ22µ+σ()EX=e () ꎨ5-6ꎩ쯹틔뿉틔붨솢쿠펦뗄뻘헳랽돌ퟩꎺ 12µ+σ2e= 22µ+σ()e= ꎨ5-7ꎩ뷢뗃 µˆ= 2σˆ=틲캪럾듓닎쫽캪µ뫍σ뗄뛔쫽헽첬럖늼ꎨx>0ꎩ뗄샭싛쪣폠웚췻몯쫽캪ꎺ 40
뗚컥헂 컒맺뗘헰럧쿕햮좯뗄짨볆 22σlnx−µ−σexpµ+1−φ2σ eX;x=x ꎨ5-8ꎩ []lnx−µ1−φσ''붫평듋볆쯣돶뗄뛔쫽헽첬럖늼뗄샭싛쪣폠웚췻몯쫽횵ꎨeꎩ폫뺭퇩쪣폠웚췻몯쫽횵ꎨeꎩ뇈뷏죧뇭5-4쯹쪾ꎺ n뇭5-4 샭싛쪣폠몯쫽뫍뺭퇩쪣폠몯쫽뗄뇈뷏 '' e '' e 뿉틔뾴돶ꎬ뛔쫽헽첬럖늼뗄쓢뫏킧맻뇈뷏뫃ꆣ퓙뷸탐쓢뫏폅뛈뗄볬퇩ꎬ퓚뗄2쿔훸탔쮮욽쿂ꎬχ=>ꆣ쯹틔ꎬ뿉틔죏캪컒맺뗄뗘헰쯰쪧돌뛈럾듓닎쫽캪92ˆµ=ꎬˆσ=뗄뛔쫽헽첬럖늼ꆣ 컥 뗘헰럧쿕햮좯뗄뚨볛 ꎨ튻ꎩ뗘헰햮좯랢탐맦쒣뗄좷뚨 볙짨컒맺뗘헰퓖몦놣쿕뗄춶놣싊캪30%ꎬ튲뻍쫇쮵뗘헰놣쿕뷰뛮햼틲뗘헰쯹퓬돉뗄쯰쪧Y뗄30%ꎬ퓲듋샠놣쿕뷰뛮뻍쫇쯼뗄ퟜ쯰쪧ꆣ죧맻퓚놣떥풼뚨웚볤틲뗘헰랢짺뛸틽i웰쇋nꎨn≥0ꎩ듎엢뿮ꎬ뗚듎뗄엢뿮뛮캪xꎨi=1,2,",nꎩꎬ쓇쎴ퟜ엢뢶솿뿉뇭쪾캪 inS=x+x+"+x=x 12n∑ii=1 ꎨ5-9ꎩ틲캪n,x,x,",x헢n+1룶뇤솿쿠뮥뛀솢ꎨ풭틲퓚폚쎿듎뗘헰퓖몦뗄랢짺뻟폐늻좷12n뚨탔폫쯦믺탔ꎩꎬ쓇쎴ퟜ엢뢶솿뗄웚췻횵캪 ES=EES/n=EnEX=EnEX()()()()()()() ꎨ5-10ꎩ EX=E30%Y=30%EY ()()() ꎨ5-11ꎩ웤훐ꎬX폃폚뇭쪾엢뿮뛮쯦믺뇤솿ꆣ 41
훐맺뗘헰럧쿕햮좯뗄뚨볛퇐뺿 맊폐 ES=30%EnEY ()()() ꎨ5-12ꎩ퓚잰컄훐ꎬ틑뺭뗃돶뷡싛컒맺뗘헰쯰쪧럾듓뛔쫽헽첬럖늼늢쟒 12µ+σ2EY=e= () ꎨ5-13ꎩ쇭췢폖폐 En=14×+6×+"+3×=≈9 ()벴퓚놣떥풼뚨웚볤듳풼랢짺9듎쯷엢ꆣ 쯹틔ꎬES=30%EnEY=30%×=ꎨ틚풪ꎩ ()()()헢룶뷡맻틢캶ퟅꎺ죧맻놣쿕릫쮾횻폐랢탐뗘헰햮좯헢튻훖럖즢뻞퓖럧쿕뗄랽쪽ꎬ쓇쎴웤쯹랢탐뗄뻞퓖햮좯맦쒣뇘탫놣횤햮좯랢탐횮뫳놣쿕릫쮾펵폐늻짙폚틚풪뗄뷰폃폚뎥뮹쯷엢ꆣ ꎨ뛾ꎩ샻폃CAPM쒣탍뷸탐뚨볛 짦벰떽뗄뇤솿벰쿠펦뗄ퟖ쒸뇭쪾죧뇭5-5쯹쪾ꎺ 뇭5-5 듋늿럖짦벰떽뗄뇤솿벰쿠펦뗄ퟖ쒸뇭쪾 웚췻쫕틦싊ER ()i 컞럧쿕쫕틦싊R f놴쯾쾵쫽ββ=0 ()ii쫐뎡ퟩ뫏웚췻쫕틦싊ER ()m튻쓪웚뻞퓖햮좯뗄욱쏦샻싊 r p 뻞퓖랢짺뗄룅싊 듓뇭5-3훐뿉틔뾴돶ꎬ뻞퓖햮좯쫇튻훖쇣놴쯾횵닺벴β=0ꎬ쓇쎴쯼뗄웚췻쫕틦싊뗄짨훃펦룃폫컞럧쿕쫕틦싊쿠쫊펦ꆣ춬쪱ꎬ죧맻뻞퓖쎻폐랢짺ꎬ쓇쎴춶헟믱뗃뗄쫕틦싊폫햮좯뗄욱쏦샻싊쿠뗈ꎬ벴뚼캪rꆣ쇭췢ꎬ뛔폚CAPM쒣탍ꎬ뗘헰햮좯뗄쫕틦싊뫍볛룱뚼뿉틔춨맽릫쪽ER=R+βER−R살볆쯣뗃떽ꆣ ()()ifimf내헕뻞퓖햮좯룹뻝놾뷰뎥뮹쟩뿶뗄죽훖럖샠ꎬ룷ퟔ럖뇰톡좡쯰쪧뷰뛮퓚쟸볤10,15ꆢ40,50ꆢ50,+∞짏뗄뗘헰햮좯ꎬ늢붫헢죽룶쟸볤럖뇰ퟷ캪놾뷰놣횤탍ꆢ50%()()()42
뗚컥헂 컒맺뗘헰럧쿕햮좯뗄짨볆 놾뷰놣횤탍뫍놾뷰쎻쫕탍뗘헰햮좯뗄뒥랢뗣ꆣ쓇쎴폐틔쿂뷡싛ꎺ P10<X<15=F15−F10=Φ−Φ=−=()()()()()ꎻ P40<X<50=F50−F40=Φ−Φ=−=()()()()()ꎻ PX>50=F∞−F50=1−Φ=1−=()()()() 볙짨R=4%ꎬ쓇쎴ER()=12%ꎬβ=0.ꎬ헢퇹죽훖뗘헰햮좯뗄욱쏦샻싊럖뇰캪ꎺ mfiꋙ 놾뷰놣횤탍햮좯 ER=R1−p+0⋅p=R()()f ꎨ5-14ꎩ 퓲 R4%fR==≈% 1−p1−ꋚ 50%놾뷰놣횤탍햮좯 E(R)=R(1−p)+(−)p=Rf ꎨ5-15ꎩ 퓲 R+%+∗==≈%1−p1− ꋛ 놾뷰쎻쫕탍햮좯 E(R)=R(1−p)+(−1)p=Rf (5-16) 퓲 R+p4%+==≈% 1−p1−볙뚨랢탐쏦횵캪100풪뗄떥튻쪱웚뗘헰햮좯ꎬ쓇쎴춨맽짏쏦뗄쪽ퟓ뿉틔볆쯣돶틔짏3훖샠탍뗄햮좯뗄볛룱뻹캪100ꆣ쿔좻ꎬ헢룶뷡맻맽폚듖퓯ꎬ쟸럖뛈늻릻ꎬ늻럻뫏쪵볊ꆣ틲듋ꎬ늻쓜폃CAPM쒣탍뛔뻞퓖햮좯뷸탐뚨볛ꎬ헢룶뷡맻퓙튻듎쮵쏷쇋뻞퓖햮좯쫇뒦폚늻췪좫쫐뎡훐뗄ꆣ ꎨ죽ꎩ폃샻싊뗄뛾쿮쒣탍뷸탐뚨볛 1. 샻싊뗄룟뗍 샻싊쫇릹붨뻞퓖햮좯쳥쾵뗄맽돌훐튻쿮쪮럖훘튪뗄쓚죝ꎬ튲쫇쓜릻쫗튪펰쿬햮좯볛 43
훐맺뗘헰럧쿕햮좯뗄뚨볛퇐뺿 룱뇤뮯뗄틲쯘ꆣ횻폐쿈좷뚨쇋샻싊ꎬ닅쓜폐킧뗘볆쯣돶뻞퓖햮좯뗄볛룱ꆣ 볙뚨뷰죚쫐뎡짏뗄샻싊뫍뻞퓖럧쿕뻹캪놴얬샯뷡릹쒣탍ꎬ튻럝놣횤뎥뮹놾뷰뗄쮽웳뻞퓖햮좯퓚뺭맽튻웚횮뫳샻싊짏짽뫍쿂붵뗄룅싊뻹캪ꎬ쓇쎴쯄쓪웚햮좯뗄샻싊웚쿞뷡릹죧춼5-2쯹쪾ꎺ 춼5-2 쯄쓪햮좯뗄샻싊웚쿞뷡릹 웤훐짏짽뫍쿂붵뗄룅싊뻹캪ꆣ헢퇹ꎬ컒쏇뻍뗃떽쇋컒맺4쓪웚햮좯샻싊뗄럖늼ꆣ 2. 컒맺뗘헰럧쿕햮좯뗄뚨볛 잰컄훐쳡떽맽죧쿂뗄튻킩맘쾵ꎺ 떱t=0쪱ꎬI(t)=0ꎻ FI(t)<Kr떱0<t<T쪱ꎬP(t)= 0I(t)≥K (5-17)F+BI(t)<Kr떱t=T쪱ꎬP(t)= BI(t)≥K (5-18)죧맻룸뚨T=4,K=20,F=8,B=100ꎬ쓇쎴뻍뿉틔뗃떽횧뢶룷쪱웚쾢욱뗄컞쳵볾룅r싊ꎺ 20ln−µ20P(I<20)=F=Φ≈Φ()≈ 1σ44
뗚컥헂 컒맺뗘헰럧쿕햮좯뗄짨볆 20ln−µ20P(I<20)=F=Φ≈Φ(−)≈ 2×2σ20ln−µ20P(I<20)=F=Φ≈Φ(−)≈ 3×3σ20ln−µ20P(I<20)=F=Φ≈Φ(−)≈ 4×4σ평룃뻞퓖햮좯쾢욱횧뢶뗄컞쳵볾룅싊뫍컒맺4쓪웚햮좯샻싊뗄뇤뮯뷡릹ꎬ뿉틔뗃떽퓚샻싊뛾쿮럖늼뗄쒣탍쿂뻞퓖햮좯웚췻횧돶뗄쿖뷰쇷뫍랢탐볛룱죧뇭5-6쯹쪾ꎺ 뇭5-6 늻뾼싇뗀뗂럧쿕쪱뗄룷웚볛룱 죧맻볓죫뗀뗂럧쿕ꎬ듋쪱뒥랢쮮욽K뇤캪쟸볤ꎺ1−βK,Kꎬ늻럁짨β=ꎬ퓲())룷쪱웚쾢욱횧뢶뗄컞쳵볾룅싊죧쿂ꎺ 2018ln−µln−µ2018P(18≤I<20)=F−F=Φ−Φ≈ 1σσ2018P(18≤I<20)=F−F≈ ××2 45
훐맺뗘헰럧쿕햮좯뗄뚨볛퇐뺿 2018P(18≤I<20)=F−F≈××3 2018P(18≤I<20)=F−F≈ ××4춬퇹뗘ꎬ뿉틔뗃돶퓚뾼싇뗀뗂럧쿕뫳뻞퓖햮좯횧뢶뗄쿖뷰쇷뫍랢탐뗄볛룱ꎬ죧뇭5-7쯹쪾ꎺ 뇭5-7 뾼싇뗀뗂럧쿕뫳룷웚뗄볛룱 짏쏦뗄헢룶샽ퟓ듓룼짮닣듎짏쮵쏷쇋뗀뗂럧쿕틲쯘뛔폚뻞퓖햮좯볛룱뗄펰쿬쫇쿠떱쿔훸뗄ꆣ퓚캪뗘헰햮좯쓋훁룼뛠웤쯼럧쿕햮좯뚨볛뗄맽돌훐ꎬ헢튻췢늿펰쿬쫇뻸뛔늻쓜뫶싔뗴뗄ꆣ46
뗚쇹헂 뷡싛 뗚쇹헂 뷡싛 짺믮훐ꎬ컞싛쫇평폚ퟔ좻뮷뺳뮹쫇죋캪틲쯘ꎬ죋쏇뚼믡쏦쇙ퟅ룷훖룷퇹뗄럧쿕ꎬ뛸폐킩럧쿕믡퓬돉뻞듳뗄뺭볃쯰쪧ꆣ틲듋ꎬ뷼벸쪮쓪살ꆰ뻞퓖럧쿕ꆱ헢튻룅쓮놻풽살풽뛠뗘쳡벰ꆣ캪쇋뗖폹뻞퓖럧쿕늢뺡솿붵뗍뻞퓖놬랢쯹듸살뗄뺭볃쯰쪧ꎬ죋쏇퓚늻뛏볓잿붨훾컯뗄뾹퓖잿뛈뗄춬쪱튲캪늻춬뗄럧쿕짨볆쇋룷훖놣쿕뫍퓙놣쿕ꎬ틔웚캴폪돱ꎬ캪죋쏇뗖폹뻞퓖쯰쪧듸살놣헏ꆣ떫평폚놣쿕릫쮾펦뛔뻞퓖럧쿕뗄쓜솦폐쿞ꎬ퓙놣쿕퓚쒳훖돌뛈짏튲횻쫇삩듳쇋럧쿕뗄럖첯랶캧ꎬ폚쫇죋쏇뾪쪼붫쒿맢쿲뷰솦솿탛뫱뗄놾쫐뎡ꎬ쪵쿖놣쿕쫐뎡폫놾쫐뎡뗄솪뷡ꎬꆰ뻞퓖럧쿕횤좯뮯ꆱ펦퓋뛸짺ꆣ 퓚훚뛠뗄뻞퓖럧쿕횤좯뮯닺욷훐ꎬ뻞퓖햮좯랢햹뗃ퟮ뫃ퟮ톸쯙ꆣ떫늻춬뗄뻞퓖뻟폐늻춬뗄쳘뗣ꎬ웤랢짺욵싊뫍쯰쪧돌뛈튲룷늻쿠춬ꎬ틲듋헫뛔늻춬뻞퓖뛸짨볆뗄뻞퓖햮좯뻍믡폐늻춬뗄랢탐뫍뚨볛믺훆ꆣ뗘헰쫇룷샠뻞퓖럧쿕훐뷏캪뎣볻뗄튻훖ꎬ벸뫵좫쟲쯹폐뗄맺볒뚼믡퓢쫜듋샠퓖몦뗄웆뮵ꎬ뛸컒맺룼쫇튻룶뗘헰뛠랢맺ꆣ 놾컄뻍틔컒맺뗄뗘헰뻞퓖캪샽ꎬ퓚닎헕맺볊짏뻞퓖럧쿕횤좯뮯뺭퇩뗄믹뒡짏ꎬ춨맽뛔틑폐뚨볛쒣탍뗄뇈뷏럖컶ꎬ쳡돶쇋뻞퓖햮좯뗄뚨볛쓑쳢ꆣ퓚닉폃쯰쪧럖늼쒣쓢랽램살붨솢뻞퓖햮좯뚨볛쒣탍뗄춬쪱ꎬ룹뻝뛔쯑벯떽뗄쫽뻝뷸탐럖컶뒦샭ꎬ뗃돶컒맺뗄뗘헰쯰2쪧돌뛈럾듓닎쫽캪ˆµ=ꎬσˆ=뗄뛔쫽헽첬럖늼ꆣ 춬쪱ꎬ놾컄튲펡횤쇋CAPM뗈쒣탍퓚컒맺뗘헰뻞퓖햮좯뗄뚨볛훐쫇늻쫊폃뗄ꎬ뮹횸돶쇋틔췹뗄뚨볛쒣탍뗄잷좱ꆪꆪ쎻폐뾼싇뛠럧쿕틲쯘뗄펰쿬ꎬ뇈죧믹닮럧쿕ꆢ탅폃럧쿕ꆢ뗀뗂럧쿕뗈ꆣ뗀뗂틲쯘쫇뛔햮좯뗄볛룱펰쿬뫜듳뗄튻룶틲쯘ꎬ퓚짨볆뻞퓖햮좯폈웤쫇룸뻞퓖햮좯뚨볛뗄맽돌훐뻸뛔늻뿉틔뫶싔ꆣ헢킩뷡싛뚼캪컒맺뗘헰벰웤쯻뻞퓖럧쿕햮좯뗄짨볆쳡릩쇋폐킧뗄퇐뺿쇏뫍뷏캪쪵폃뗄붨틩ꆣ 47
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훂킻 훂 킻 헢욪싛컄듓뾪쳢훁췪룥ꎬ듳룅샺쪱튻쓪ꆣ퓚듋웚볤ꎬ뺭볃톧풺뗄샏쪦쏇룸쇋컒뫜듳뗄냯훺뫍맄샸ꎬ폈웤쫇컒뗄떼쪦뚭쮨돉뷌쫚ꆣ듓톡쳢ꆢ뾪쳢ꆢ쯑벯쯘닄떽쫽뻝뗄럖컶뒦샭틔벰싛컄뷡릹뗄뗷헻ꎬ뚭샏쪦퓚뫜뛠랽쏦뚼룸폨쇋컒럇뎣훘튪뗄뗣능뫍횸떼ꆣ뚭샏쪦퇏뷷뗄훎톧첬뛈죃컒짮짮쟕엥ꎬ뛔컒톧튵뗄뢺퓰튲죃컒럖췢룐뚯ꆣ헽쫇헢훖쟕엥뫍룐뚯튻횱벤샸ퟅ컒햽쪤쇋싛컄킴ퟷ훐뗄쯹폐쓑쳢ꆣ뮹폐컒뗄춬톧ꎬ폫쯻쏇뗄붻쇷뫍쳖싛뚽듙컒늻춣뗘좥첽쯷ퟔ벺뗄퇐뺿뿎쳢ꎬ듓뛸릥뿋쇋튻룶룶쓑맘ꆣ 폖튻쓪뒺얯뮨뾪ꎬ폖튻듎싺풰뒺즫ꎬ럗뗄뺰훂컞램ퟨ떲쪱볤뗄늽랥ꎬ죽쓪뗄톧쾰짺믮듒듒뛸맽ꆣ죽쓪훐ꎬ컒뷓쫜쇋좫쏦짮죫뗄뺭볃톧쮼캬뗄통솷튲쳥퇩쇋퇏뷷컱쪵뗄뿆퇐럕캧뗄톬쳕ꎬ컒뺭샺쇋놻톧쫵쓑쳢삧죅쪱뗄쪧실튲욷캶쇋톧튵좡뗃뷸햹쪱뗄쾲퓃ꆣ죽쓪ꎬ퓸뺭뛔튵뗄뫃웦짽뮪캪죈낮ꎬ뛔뿆퇐뗄쏔믳쳡솶캪볡돖ꎬ뛔캴살뗄쎣좻뇤캪뚨ꆣ룐킻뚭쮨돉샏쪦듸컒ퟟ뷸쫽솿뺭볃톧헢룶돤싺솦뗄퇐뺿쇬폲ꎬ룐킻역뾭쿨샏쪦뛔컒뗄튵벼쓜쳡돶뗄퇏룱튪쟳ꎬ룐킻뫎짜캿샏쪦뛔컒퓚놣쿕뺫쯣톧랽쏦뗄횸떼ꆣ 룐킻쯹폐퓸룸폨컒맘탄ꆢ냯훺벰맄샸뗄샏쪦뫍춬톧쏇ꎬ룐킻쓣쏇엣냩컒ퟟ맽헢죽쓪헤맳뗄쪱맢ꎬ컒쏇튻웰운늫럜뚷뗄죕ퟓ붫쫇컒튻짺뗄닆뢻ꎡ ꎨ웫뎬펱 2011쓪4퓂폚뫓쓏듳톧쓏풷15뫅릫풢ꎩ 51
릥뛁톧캻웚볤랢뇭뗄톧쫵싛컄쒿슼 릥뛁톧캻웚볤랢뇭뗄톧쫵싛컄쒿슼 1. 컒맺뻞퓖퓙놣쿕쫐뎡랢햹뗄쿖ힴ벰뛔닟럖컶.떱듺뺭볃[J],2010(12):48-49 53
