【作者】 高媛；

【导师】 池晶；

【作者基本信息】 吉林大学 ， 金融学， 2004， 硕士

【摘要】 近年来，保险业面临着巨灾频繁发生和再保险承保能力不足的问题，这对保险业的长期生存和发展构成了严重的威胁；同时国际资本市场迅速发展，金融创新日益活跃，金融工程学的兴起，为保险风险证券化作好了技术和理论方面的准备。在这两种力量的作用下，保险风险证券化应运而生。保险风险证券化通过发行保险连结证券，将资本市场的资金引入保险市场，实现了保险风险向资本市场的转移。在我国，保险风险证券化也应得到相应的发展。这既有开展的现实必要，也有来自保险业的内在动力。关于保险风险证券化的研究对于我国保险业开拓今后的经营思路，长远规划未来发展都具有重要的理论意义和现实意义。正是基于这种考虑，本文从基本理论和实证分析两个方面入手，对保险风险证券化进行了较为详尽地分析。并对我国引入保险风险证券化的可行性、必要性加以论述，提出我国现阶段实行风险证券化的对策建议。本文共分为三个部分：第一部分：保险风险证券化的基本理论保险风险证券化是一种资产证券化的技术，即通过构造和在资本市场发行基于保险风险的证券，将保险风险转移到资本市场的金融创新工具，是保险公司负债证券化的一种表现形式。从保险角度看，保险风险证券化将再保险容量从原来保险业内部扩大到了外部的资本市场；从金融角度看，保险风险证券化具体实施过程是一个资产证券化过程，这里的资产就是保险公司的负债。保险风险证券化包括巨灾债券、巨灾期权、巨灾互换、应急资本等十多种方式。在市场分布上，保险风险证券化在美国、欧洲和日本都有广泛的应用。保险风险证券化产生和发展的主要原因是保险公司和再保险公司控制风险的需要。一方面表现为巨灾风险给保险业带来的沉重压力：巨灾风险的特点使保险公司不能按常规的经营方法对其进行管理；另 42<WP=48>外巨灾风险虽然属于可保风险，但是却很容易受到其他风险转移方式的侵蚀；尤其是近年来巨灾风险的频繁发生给保险公司带来了沉重的压力。另一方面是传统再保险经营风险能力的不足。与此同时，资本市场的发展为保险风险证券化提供了支持和保证。因此，保险市场的内在动力和资本市场的外在引力使保险风险证券化成为必然。 由于巨灾损失的概率分布和大小是可以近似确定和计量的，可以将损失风险标准化从而为保险风险证券化产品的设计和交易提供依据。通过巨灾债券的量化分析也证明了保险风险证券化产品在实际操作中的可行性。而且与再保险相比，在承保能力、化解风险和提高投资者收益、分散投资者风险等方面都具有一定的优势。 第二部分：保险风险证券化的实证研究 保险风险证券化方式中交易最为活跃，市场份额最大的是巨灾债券。巨灾债券的定价原理是模拟现金流现值分析方法。由于巨灾债券的发行较为复杂，且技术性较强，因此促进了市场的专业化分工，通常对巨灾债券进行证券化操作是借助“特殊目的机构”实现的。巨灾债券的主要优势有形式比较灵活，收益较高。但发行巨灾债券的成本较高，而且转让与流通难度很大。 保险风险证券化的另一个主要产品是巨灾期权。其中具有代表性的是“PCS 指数期权”，PCS 期权持有者的交易对象是“PCS 损失指数”。PCS 指数与损失挂钩，市场参与者根据指数进行交易实现套期保值。PCS 指数期权的优势是交易成本较低，市场信息对称，能够分散了投资组合的风险，提高了收益率。但是 PCS 指数期权的技术含量很高，操作起来比较复杂。 在全球巨灾风险证券市场上不乏成功运作的实例，其中 1997 年 6月 USAA 所发行的飓风债券则代表了巨灾风险证券化历史上一个里程碑。 第三部分：我国引入保险风险证券化的必要性和可行性分析 43<WP=49>我国引入保险风险证券化是十分必要的。原因在于我国巨灾发生频率高，但是承保能力低下；而且再保险市场存在严重的有效供给不足而需求潜力巨大的问题；此外，引入保险风险证券化也是丰富资本市场投资工具的客观要求。在我国现阶段短时期内全面引入保险证券化活动是不现实的。但是，我们至少具备了引入保险证券化的一些基本条件：资本市场已经初具规模；入世后我国参与到国际金融市场的机会增加，能够广泛地与境外金融机构开展合作；香港作为金融中心为中国保险业提供了坚实的资本后盾与技术支持；巨灾债券的特点符合中国居民的消费心理。但是，保险风险证券化是一项复杂的系统工程，其成功构建受到经济、法律、市场监管等诸多因素的制约。在我国影响其顺利进行的主要因素包括：法律环境的约束、交易成本太高、流动性难以保证、透明度的限制、对监管提出更高的要求、投资者约束和定价的困难。基于以上分析，文章最后对我国的保险风险证券化提出几点对策建议。我国保险公司目前应重点做好开发保险风险证券化的前期准备，转移、分散巨灾风险，同时要兼顾传统保险市场管理巨灾风险的能力，并充分发挥政府在巨灾风险管理中的职能。具体对策包括：完善我国保险市场和资本市场，加快保险业、证券业的交流与合作；建立健全更多还原

【Abstract】 In recent years, the insurance is facing the problem that thecatastrophe frequently takes place and reinsurance gives cover for abilitysurely insufficiently. This has posed the serious threat to long-termexistence and development of the insurance. At the same time theinternational capital market develops rapidly, the financial innovation ismore and more active. The rise of financial engineering has prepared for thetechnology and theory for the securitization of insurance risk. Under thefunction of these two kinds of strength, securitization of insurance riskarises. Securitization of insurance risk has realized the transformation to thecapital market of risk of the insurance. It has both necessity and inherentmotive force from insurance that securitization of insurance risk will bebuilt correspondingly in our country. The research about securitization ofinsurance risk has important theoretic and realistic significance to openingup the thought of management and the development in the future to theinsurance in our country. Based on this kind of consideration, this thesisstarts with analyzing through basic theories and positive and introducessecuritization of insurance risk exhaustively. It describes feasibility,necessity that our country introduces securitization of insurance risk,proposes the countermeasure and suggestion concerning the risksecuritization at the present stage. The thesis is divided into three parts: Part One: Basic theories of securitization of insurance risk Securitization of insurance risk is a kind of assets securitizationtechnology. It will transfer the risk of insurance company to the capitalmarket through constructing and issuing the securities based on risk of theinsurance in the capital market; it is the securitization of the debt of theinsurance company. From the point of view of insurance, insurance risksecuritization insure capacity expand to the external capital market from theoriginal insurance market. From the point of view of finance, it is an assetssecuritization course, the assets here are the debt of the insurance company. 45<WP=51>Securitization of insurance risk includes catastrophe bond, catastrophe option,catastrophe exchange etc. It is applied in U.S.A., Europe and Japanextensively. The main reason of the production and development of securitizationof insurance risk is the need of insurance company and reinsurancecompany would manage control risk. On one hand, the catastrophe riskbrings heavy pressure to insurance: The characteristic of the catastropherisk makes the insurance company not manage it with the routine method.Though the catastrophe risk is an insurable risk, it is very apt to receive theerosion of the other way of shifting risks. Especially catastrophe risk hasfrequently brought the heavy pressure to insurance company in recent years.On the other hand the ability of risk management of tradition reinsurance isinsufficient. Meanwhile, the development of the capital market offered thesupport and assurance to securitization of insurance risk. The inherentpower of the insurance market and external gravitation of the capital marketmake securitization of insurance risk become true. Because the probability distribution and size of catastrophe loss can beconfirmed and measured approximately, so we can standardize the loss ofrisk and use it to design and trade the insurance risk securitization products.It also proved the feasibility in actual operation of securitization ofinsurance risk through the quantitative analysis of the catastrophe bond.Compared with reinsurance, it has certain advantages in ability of givingcover, dissolving the risk and raising investor’s income, dispersinginvestor’s risk etc. Part Two: Positive research of securitization of insurance risk In the ways of insurance risk securitization, catastrophe bond is themost active. The pricing principle of the catastrophe bond is a simulatio更多还原