巨灾风险证券化研究

【作者】 刘莉；

【导师】 卢仿先；

【作者基本信息】 湖南大学 ， 金融学， 2003， 硕士

【摘要】 “天有不测风云，人有旦夕祸福”，自20世纪80年代以来，巨灾风险在世界各地的发生频率和损失程度呈现上升的趋势。从市场供需的角度来看，传统保险市场日趋饱和，而巨灾保险市场的需求却远远超过目前保险业的供给能力，形成巨大的反差，这给保险业带来了严峻挑战。因此，研究巨灾风险是保险行业和政府所关注的重要前沿课题。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。正基于此，作者选择《巨灾风险证券化研究》作为硕士论文。 本文的第一章介绍了巨灾风险证券化的起源；第二章介绍了目前国际上几种具有代表性的证券化产品，并对我国进行证券化尝试时应选用的产品提出了自己的看法；第三章对巨灾风险证券化与承保巨灾风险的传统方式进行了对比分析，从而解释了巨灾风险证券化之所以产生并不断发展的原因；在第四章中对目前交易量最大、发展最迅速的巨灾债券的定价等精算问题进行了初步研究，并推导了一个定价模型，得出了“巨灾债券价格可以表示为各期期末现金流期望值与该期为到期日的零息票债券价格的乘积之和”这样一个结论；在第五章中，借鉴发达国家在政策性巨灾保障项目中运用证券化技术的先进经验和做法，结合我国实际情况，提出了通过政府和发行巨灾债券的商业渠道筹集资金，建立我国巨灾风险保障体系的具体模式。更多还原

【Abstract】 Something unexpected may happen any time. From 1980s, more and more catastrophes occurred in many areas. From the aspect of supply and demand, the traditional insurance is becoming saturated. But the demand for catastrophe insurance is greater than supply. This is an austere challenge to insurance industry. Both the insurance industry and government have to tend to alternative transforming of catastrophe risk. The technology of securitization, which came forth in 1990s, established an important link between the insurance industry and the capital market. 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. Because of this, I select "securitization of catastrophe risk" as my graduate thesis.The structure of the paper is as follows. Section 1 discusses the evolution of insurance securitization as a financial risk management tool. Section 2 describes some of the most important securitization products, which have been introduced, and selects one product for our country to attempt to. Section 3 compares the securitization with traditional ways for the insurer to assume catastrophe risk. These are the factors which have accompanied its introduction, and the reasons typically given for its recent development. Section 4 focuses on actuarial aspects of catastrophe risk bond, such as pricing, and deduces a pricing model. Section 5 puts forward some thoughts regarding to establish the government backed catastrophe risk fund to cover the loses resulted from catastrophe. Based on the situation of our country, we can raise funds through government financing and commercial channels to build our guarantee system of catastrophe risk.更多还原