Premium rate determination of container freight index from perspective of supply chain resilience
余方平 1陶坤 1匡海波1
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作者信息
1. 大连海事大学综合交通运输协同创新中心,辽宁大连 116026
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摘要
为有效控制出口企业物流成本,在供应链韧性视域下研究集装箱运价指数保险费率的厘定机制.选取全球集装箱有效运力、国际贸易额等指标,构建集装箱运价指数影响指标体系.借助高维Vine-Copula模型刻画集装箱运价指数与其影响因素间的相依结构.建立集装箱运价指数保险费率的动态厘定机制,解决了现有传统指数保险定价方法契合不够的突出难题.美西航线(W/C America Service)的中国出口集装箱运价指数(China containerized freight index,CCFI)保险费率的定价结果表明:本模型的定价结果精度优于传统燃烧精算模型、Turnbull-Wakeman期权模型等的定价结果精度.
Abstract
In order to effectively control the logistics cost of export enterprises,the premium rate determination mechanism of container freight indices is studied from the perspective of supply chain resilience.The effective global container capacity,the international trade volume and other indicators are selected to construct the influencing indicator system of container freight indices.The high-dimensional Vine-Copula model is used to show the dependence structure between container freight indices and their influencing indicators.The dynamic determination mechanism of container freight index premium rate is established to solve the prominent problem that the existing traditional index premium determination methods do not fit well enough.The premium rate determination result of China containerized freight index of W/C America Service shows that the pricing accuracy of this model is better than that of the traditional combustion actuarial model and the Turnbull-Wakeman option model.
关键词
集装箱运价指数/供应链韧性/出口企业/费率厘定/高维Vine-Copula模型
Key words
container freight index/supply chain resilience/export enterprise/premium rate determination/high-dimensional Vine-Copula model
维普
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