【作者】 李珊；

【导师】 贺思辉；

【作者基本信息】 华东师范大学 ， 精算学， 2011， 硕士

【摘要】 近年来全球范围内巨灾发生的频率不断上升,灾难损失越来越严重,传统的再保险业务越来越不能满足风险分散的需求。于是巨灾风险证券化应运而生,并逐渐被再保险公司视为未来解决巨灾风险的有效手段。目前,国内外对风险证券化的产物--巨灾衍生品如何影响再保险公司的再保险合同价值及其违约风险的研究还比较少,主要是停留在理论的定性研究上,很少建立具体的模型来计算再保险公司因发行巨灾衍生品而带来的再保险合同的价值、违约风险、基差风险、利率风险的变化。本文选择巨灾风险证券化产品中交易最为活跃和最有发展潜力的产品--指数巨灾债券作为主要分析对象,建立了再保险合同定价的模型,并给出了在无风险测度下资产价值、负债、利率、巨灾损失的随机过程。本文并没有具体给出再保险合同价格的闭型表达式,而是通过蒙特卡罗模拟法模拟得到了再保险合同的无违约风险价格、违约风险贴水、基差风险贴水、利率风险贴水等,并讨论了指数型巨灾债券如何提高再保险公司合同价值并减小再保险公司的违约风险。最后,本文还给出了当市场有套利时指数型巨灾期权和巨灾债券的保险精算定价方法,该方法比传统的无套利定价法适用面更广本研究能为巨灾债券需求动因的研究提供理论支持,能够科学指导再保险公司通过发行巨灾债券进行积极违约风险管理和利率风险管理,进而实现再保险公司再保险合同价值提高和偿付能力提高。同时本文研究结果还为再保险公司发行巨灾衍生品提供了定价保障,对于加深巨灾风险证券化认识,继而推动保险风险证券化的发展,具有较强的理论及实践指导意义。更多还原

【Abstract】 Recent years, catastrophe disasters happen more and more frequent, which can cause substantial financial losses. However traditional reinsurance can’t satisfy the basic need of reinsurance companies to diversify and transfer catastrophe risk. In this case, insurance-linked securities are invented as an important financial innovation to transfer risk from insurance markets to financial markets. Recently, little research has done to discuss the impact of the issue of CAT bonds on the reinsurance contract’ valuation and default risk. Most of the former study is conducted qualitatively, and never build the models to compute the change of the values of reinsurance contract, default risk, basic risk, and interest risk after issuing the CAT bonds.In this paper, we select the Indexed CAT bond which is the most active and promising in the insurance-linked securities markets as our major research object. We build the models to value the reinsurance contracts and get the asset, liability, interest, and catastrophe loss processes under the risk-neutral measure. We haven’t get the closed form formula of the valuation, however we use the Monte Carlo simulation method to compute the value of the reinsurance contract with no default risk, default risk premium, basic risk premium, interest risk premium, and examine how a reinsurance company can increase the value of a reinsurance contract and reduce its default risk by issuing catastrophe bonds. At last, we use the actuarial approach to price the indexed option and bonds, this approach can be used in an arbitrage, none equilibrium or incomplete market.The results of this paper can support the research "the requirement of the issuing of CAT bonds" in theory, and it can guide the reinsurance companies’default risk management and interest risk management through issuing CAT bonds, so as to increase the value of the reinsurance contracts. At the same time, it provides a reasonable basis for the valuation of catastrophe derivate products, and it has great meanings on intensify the knowledge of insurance-linked securities.更多还原