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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/53917


    Title: 巨災保險證券化---財務風險移轉
    Other Titles: Catastrophe Insurance Securitization:Alternative Risk Transfer (ART)
    Authors: 張士傑
    Contributors: 國立政治大學風險管理與保險學系
    行政院國家科學委員會
    Keywords: 天然災害;巨災保險;證券化;巨災債券;核保風險;卜瓦松過程;鞅估計
    Natural disaster;Catastrophe insurance;Securitization;Catastrophe bond;Underwriting risk;Poisson process;Martingale estimation
    Date: 2000
    Issue Date: 2012-10-22 15:45:15 (UTC+8)
    Abstract: 近年來伴隨著自然及人為因素產生的損失日漸增加，造成經濟損失的金額也大幅成長，巨災風險管理的需求因此與日俱增，保險業及再保險業以往對於巨災危險的風險管理方式大部份都是交給全世界的再保險承保能量去承擔。然而從1995年開始，美國芝加哥交易所(Chicago Board of Trade, CBOT)與產物損失統計部門(Property Claim Service, PCS)共同推出巨災保險選擇權，提供保險人以及再保險人利用國際金融市場移轉核保業務上所承擔之巨災危險的管道。此種業務上的巨災危險提供保險業處理巨災損失的新管道，例如產險業因為天然災害或是人為疏失所導致的鉅額核保損失以及壽險業的團體保險和健康保險的巨額損失。巨災保險證券化下的金融創新是一種新的衍生性金融商品，其交易標的物是專門針對保險業所承保的業務(尤其指巨災)，因此如果運用得當，除了能有效的分散核保風險之外，更可以避免傳統的再保險契約所衍生的續保問題。台灣地區是地震、颱風以及水患等天然及人為災害相當集中的地區，因為傳統再保險的分散風險方式有其成本較高以及資訊不對稱的問題，所以保險業以及再保險業應該考慮其他類型的危險管理策略，預期降低地震、颱風以及水患保險的成本，本研究以巨災保險規劃及證券化的相關議題為架構，探討近年來再保險新興市場的巨災債券的實際交易流程。本研究分析台灣因應巨災(諸如：地震、颱風等天然災害)證券化必須的流程，如何有效將巨災風險分類，釐定巨災保險的自留額及風險區間，將資源(諸如賑災基金、社會捐款等)有效地加以分配以降低巨災保險的成本，同時分析台灣實際巨災發生時的損失，將損失發生時無法承擔的部份加以證券化，透過民間充裕的資金分散巨災所產生的財務衝擊，提供政府或是私人企業對於巨災發生時抑制財務巨額損失的風險管理方法，減少及控制所必須支付的社會成本。
    Using traditional reinsurance treaties to transfer insurance risks are restrained due to the volatility of the underwriting capacity annually. Catastrophe risks have substantially increased since the early 1990s and have directly resulted significant claim losses for the insurers. Hence the insurers are pursuing the financial capacities from the capital market. Transferring the catastrophe risks to the investor have stimulated the financial innovation for the insurance industry. In this study, pricing issues for the heavily traded catastrophe risk bonds (CAT-bond) are investigated. The aggregated catastrophe loss model in Cummins and Geman (1995) are adopted. While the financial techniques in valuing the defaultable bonds in Duffie and Singleton (1999) are employed to determine the fair prices incorporating the claim hazard rates and the loss severity. The duration of the CAT-bonds is extended from single year to multiple years in order to meet the demand from the reinsurance market. Non-arbitrage theory and martingale measures are employed to determine their fair market values. The contract term of the CAT-bonds is divided into the loss period and the development period. The frequency of the catastrophe risk is modeled through the Poisson process. Taiwan catastrophe loss experiences are examined to construct the plausible loss severity model. Three different types of CAT-bonds are analyzed through Monte Carlo method for illustrations. This paper concludes with remarks regarding some pricing issues of CAT-bonds.
    Relation: 應用研究
    學術補助
    研究期間:8908 ~ 9007
    研究經費:244仟元
    Data Type: report
    Appears in Collections:[風險管理與保險學系] 國科會研究計畫

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