台湾巨灾风险管理证券化问题研究
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摘要
一直以来,台湾地区自然环境处于频繁且多样的自然灾害之下,加上最近十年来全球气候变迁使得台湾气候变化更为严峻,自然灾害发生频率呈递增趋势,灾害造成的损失也一直在增大；根据台湾中央气象局历年台风袭击统计表明,台湾每年平均发生台风灾害事件约3.7次,平均损失超过新台币200亿元。而1999年9月21日的地震,更造成逾2500人罹难,经济损失则高达新台币3000亿元。因此,如何透过引入新的巨灾风险管理方法,分散和转移巨灾风险,最大程度的降低巨灾风险损失,实践台湾巨灾风险管理的有效性始终是政府、实务界以及学术界的一个重要课题。
目前,台湾保险或再保险市场总资本,尚不足以赔付重大巨灾损失。尽管2003年台湾首次发行住宅地震巨灾债券,但由于法规、监理等问题,使得其发行存在诸多不足,无法有效实现其分散巨灾风险、降低巨灾损失的目的。因此,唯有透过政府、企业及非营利组织及环境的变化,创新巨灾风险管理工具与机制,通过保险与资本市场,实现巨灾风险债券的合理证券化,并结合巨灾衍生性商品创新,才能实现移转巨灾风险、减低巨灾损失的目的。本文正是在这一思路下,一方面通过对台湾巨灾风险管理的现状进行分析和比较借鉴,采用成本效益分析法对2003年台湾发行三年期住宅地震巨灾债券的前置作业、发行过程及发行效果进行前、中、后检讨分析,另一方面重点研究了巨灾风险债券发行中存在的高成本问题以及巨灾衍生性商品在台湾地区发行的可行性和体系保障问题。从而建立“再保为主,债券为辅,衍生性商品为补充”的完善的台湾巨灾风险管理体系,具体来说,本文的主要研究成果如下：
(1)以地震风险为主,通过对日、美、纽、法等国家巨灾风险管理制度与工具进行总结,并结合台湾巨灾风险管理现状进行比较分析,结果表明：作为传统巨灾风险管理手段,台湾保险或再保险市场总资本,目前不足以赔付重大巨灾损失,故在今后巨灾风险管理发展中,台湾地区应继续发行巨灾风险债券,并扩大债券的保障范围,延长债券保障时间。同时,应通过不断改善市场环境,辅以发行巨灾衍生性商品,更好的实现移转、分散巨灾风险、降低巨灾损失的风险管理目的。
(2)运用成本效益实证分析,采用情境分析,横向以发行债券成本与传统再保险成本的风险解决方案,纵向则依悲观与乐观情境逐项比较优劣,对2003年台湾发行的住宅地震巨灾债券进行探讨,分析结果表明：由于台湾2003年发行的住宅地震巨灾风险的中枢组织运作体系由地震基金担任,而投资人所得债息尚包括伦敦银行同业拆放利率(LIBOR),且发行多委托发行经理人办理,需支付发行费用,使得发行巨灾债券所需支付总成本仍较传统巨灾超额再保险高。为此,本文提出了以SPV为核心的巨灾风险债券发行组织架构,通过平衡市场参与者、评等、税赋以及法规等利弊关系,改进巨灾债券发行的高成本问题,为台湾地区再次发行巨灾风险债券提供解决方案。
(3)通过将台湾巨灾风险管理现状与不同类型的巨灾衍生性商品的适用条件相结合,对台湾发行巨灾选择权、巨灾损失交换以及气候期货与选择权等六种巨灾衍生性商品的必要性和可行性进行深入分析,研究结果表明：巨灾风险交换、有限期间责任公司及产业损失保证等三种巨灾衍生性商品可作为风险移转工具,而气候期货与选择权仅可作为移转台风、雨量和风速的风险移转工具,而巨灾选择权和或有资本则不适合在台湾地区作为风险管理工具。同时,以可行性分析结果为基础,从商品收益、风险权益、市场参与者、评等作业、税赋稽征、法规性质等六个方面构建了完善的巨灾衍生性商品发行的运行体系,从而确保台湾巨灾衍生性商品透明定价、合理评等、减轻税费、遵循法令,实现移转风险及风险融资的目的。
Taiwan's natural environment exposed under frequent and a variety of natural disasters. The global climate changes also make the weather more serious than before. The frequently occurrences of natural catastrophes hasve increased the occurrences of big scale of disasters and the dangerous incidents. According to the record of Central Weather Bureau, the typhoon hit Taiwan on an average about3.7times per year over the past few years and typhoon disaster losses with an average of NT20billion. Taiwan's921earthquake occurred in1999caused2,500causalities and suffered the economic loss amounted to300b. Therefore, how to separate and transfer the catastrophic risk and minimize the lost of it by using the new catastrophic risk management method and further put it into practice effectively is the important topic for the government, academic and practice world.
The total capital of Taiwan's insurance and reinsurance market cannot cope with the loss of great catastrophic at the moment. Although Taiwan has published the first CAT bond for residence and earthquake in2003, due to the law and supervision problems, it cannot separate the catastrophic risk and decrease the loss effectively. Thus, through the change of government, enterprise, NPO and environment to innovates the system and the tool of catastrophic risk management and to achieve the securitization of the CAT bond through the insurance and capital market. Moreover, to combine with the innovation of the catastrophe derivatives is also a way to help to comply the goal of shift the catastrophic risk and decrease the loss of it.
The article using comparison and analyze the catastrophic risk management in Taiwan and adapt the cost-benefit analyses to review the CAT bond of earthquake and residence in Taiwan,2003. On the other hand, the research contains the high-cost of publish, the feasibility of the catastrophe derivatives in Taiwan and CALIS issues. All these are using to build the concept of "reinsurance for main purpose, bond as aider, catastrophe derivatives as supply" catastrophic management system in Taiwan. To be more specific, the main research results including:
(1) Take earthquake as example, through the summarize of catastrophic risk management system and tools in Japan, US, NZ and France and combine Taiwan's current situation to make analysis, the result shows:The total capital in Taiwan's insurance and reinsurance market cannot deal with the loss of great catastrophic as a traditional catastrophic risk management means. Thus, in the future development of catastrophic risk management, Taiwan should keep publishing CAT bond and extend the time and the range of insurance. This is to construct the complete system of catastrophic risk management in Taiwan and shift, separate the catastrophic risk and decrease the loss of catastrophic risk management.
(2) Using the Cost-Benefit Analyses, Scenario Analysis, cross-referenced the fair or foul to discuss the CAT bond of residence and earthquake which published in2003, the result shows:Due to the main organisation of the publisher is undertake by Taiwan Residential Earthquake Insurance Fund and the debt service include LIBOR and most are delegate by issue managers, the investors need to pay the interests. This makes the total capital higher than traditional excess reinsurance. Therefore, the article raise the CAT bond publish organisation structure which takes SPV as core, through balancing the participant of market, ranking, taxing and law to improve the high-cost issue of CAT bond and provide a solution for Taiwan's republish CAT bond.
(3)By combine Taiwan's catastrophic risk management and different categories of Catastrophe Derivatives and analysis the option of publish CAT, exchange the CAT loss and weather derivative etc., the result shows: the exchange of CAT risk, Limited Lifespan (Sidecar) Company and industry loss insurance can be the transfer risk tools. What is more, the weather derivative and option can used to transfer risk tools for shifting typhoon, rainfall and wind velocity. The CAT option and contingent capital is not suitable in Taiwan. At the same time, using the result of analysis feasibility as foundation, to build a complete Catastrophe Derivatives publish system in product income, equity risk, market participants, rating system, decrease the tax fee, follow the law to achieve the goal of shift risk and risk financing.
目前,台湾保险或再保险市场总资本,尚不足以赔付重大巨灾损失。尽管2003年台湾首次发行住宅地震巨灾债券,但由于法规、监理等问题,使得其发行存在诸多不足,无法有效实现其分散巨灾风险、降低巨灾损失的目的。因此,唯有透过政府、企业及非营利组织及环境的变化,创新巨灾风险管理工具与机制,通过保险与资本市场,实现巨灾风险债券的合理证券化,并结合巨灾衍生性商品创新,才能实现移转巨灾风险、减低巨灾损失的目的。本文正是在这一思路下,一方面通过对台湾巨灾风险管理的现状进行分析和比较借鉴,采用成本效益分析法对2003年台湾发行三年期住宅地震巨灾债券的前置作业、发行过程及发行效果进行前、中、后检讨分析,另一方面重点研究了巨灾风险债券发行中存在的高成本问题以及巨灾衍生性商品在台湾地区发行的可行性和体系保障问题。从而建立“再保为主,债券为辅,衍生性商品为补充”的完善的台湾巨灾风险管理体系,具体来说,本文的主要研究成果如下：
(1)以地震风险为主,通过对日、美、纽、法等国家巨灾风险管理制度与工具进行总结,并结合台湾巨灾风险管理现状进行比较分析,结果表明：作为传统巨灾风险管理手段,台湾保险或再保险市场总资本,目前不足以赔付重大巨灾损失,故在今后巨灾风险管理发展中,台湾地区应继续发行巨灾风险债券,并扩大债券的保障范围,延长债券保障时间。同时,应通过不断改善市场环境,辅以发行巨灾衍生性商品,更好的实现移转、分散巨灾风险、降低巨灾损失的风险管理目的。
(2)运用成本效益实证分析,采用情境分析,横向以发行债券成本与传统再保险成本的风险解决方案,纵向则依悲观与乐观情境逐项比较优劣,对2003年台湾发行的住宅地震巨灾债券进行探讨,分析结果表明：由于台湾2003年发行的住宅地震巨灾风险的中枢组织运作体系由地震基金担任,而投资人所得债息尚包括伦敦银行同业拆放利率(LIBOR),且发行多委托发行经理人办理,需支付发行费用,使得发行巨灾债券所需支付总成本仍较传统巨灾超额再保险高。为此,本文提出了以SPV为核心的巨灾风险债券发行组织架构,通过平衡市场参与者、评等、税赋以及法规等利弊关系,改进巨灾债券发行的高成本问题,为台湾地区再次发行巨灾风险债券提供解决方案。
(3)通过将台湾巨灾风险管理现状与不同类型的巨灾衍生性商品的适用条件相结合,对台湾发行巨灾选择权、巨灾损失交换以及气候期货与选择权等六种巨灾衍生性商品的必要性和可行性进行深入分析,研究结果表明：巨灾风险交换、有限期间责任公司及产业损失保证等三种巨灾衍生性商品可作为风险移转工具,而气候期货与选择权仅可作为移转台风、雨量和风速的风险移转工具,而巨灾选择权和或有资本则不适合在台湾地区作为风险管理工具。同时,以可行性分析结果为基础,从商品收益、风险权益、市场参与者、评等作业、税赋稽征、法规性质等六个方面构建了完善的巨灾衍生性商品发行的运行体系,从而确保台湾巨灾衍生性商品透明定价、合理评等、减轻税费、遵循法令,实现移转风险及风险融资的目的。
Taiwan's natural environment exposed under frequent and a variety of natural disasters. The global climate changes also make the weather more serious than before. The frequently occurrences of natural catastrophes hasve increased the occurrences of big scale of disasters and the dangerous incidents. According to the record of Central Weather Bureau, the typhoon hit Taiwan on an average about3.7times per year over the past few years and typhoon disaster losses with an average of NT20billion. Taiwan's921earthquake occurred in1999caused2,500causalities and suffered the economic loss amounted to300b. Therefore, how to separate and transfer the catastrophic risk and minimize the lost of it by using the new catastrophic risk management method and further put it into practice effectively is the important topic for the government, academic and practice world.
The total capital of Taiwan's insurance and reinsurance market cannot cope with the loss of great catastrophic at the moment. Although Taiwan has published the first CAT bond for residence and earthquake in2003, due to the law and supervision problems, it cannot separate the catastrophic risk and decrease the loss effectively. Thus, through the change of government, enterprise, NPO and environment to innovates the system and the tool of catastrophic risk management and to achieve the securitization of the CAT bond through the insurance and capital market. Moreover, to combine with the innovation of the catastrophe derivatives is also a way to help to comply the goal of shift the catastrophic risk and decrease the loss of it.
The article using comparison and analyze the catastrophic risk management in Taiwan and adapt the cost-benefit analyses to review the CAT bond of earthquake and residence in Taiwan,2003. On the other hand, the research contains the high-cost of publish, the feasibility of the catastrophe derivatives in Taiwan and CALIS issues. All these are using to build the concept of "reinsurance for main purpose, bond as aider, catastrophe derivatives as supply" catastrophic management system in Taiwan. To be more specific, the main research results including:
(1) Take earthquake as example, through the summarize of catastrophic risk management system and tools in Japan, US, NZ and France and combine Taiwan's current situation to make analysis, the result shows:The total capital in Taiwan's insurance and reinsurance market cannot deal with the loss of great catastrophic as a traditional catastrophic risk management means. Thus, in the future development of catastrophic risk management, Taiwan should keep publishing CAT bond and extend the time and the range of insurance. This is to construct the complete system of catastrophic risk management in Taiwan and shift, separate the catastrophic risk and decrease the loss of catastrophic risk management.
(2) Using the Cost-Benefit Analyses, Scenario Analysis, cross-referenced the fair or foul to discuss the CAT bond of residence and earthquake which published in2003, the result shows:Due to the main organisation of the publisher is undertake by Taiwan Residential Earthquake Insurance Fund and the debt service include LIBOR and most are delegate by issue managers, the investors need to pay the interests. This makes the total capital higher than traditional excess reinsurance. Therefore, the article raise the CAT bond publish organisation structure which takes SPV as core, through balancing the participant of market, ranking, taxing and law to improve the high-cost issue of CAT bond and provide a solution for Taiwan's republish CAT bond.
(3)By combine Taiwan's catastrophic risk management and different categories of Catastrophe Derivatives and analysis the option of publish CAT, exchange the CAT loss and weather derivative etc., the result shows: the exchange of CAT risk, Limited Lifespan (Sidecar) Company and industry loss insurance can be the transfer risk tools. What is more, the weather derivative and option can used to transfer risk tools for shifting typhoon, rainfall and wind velocity. The CAT option and contingent capital is not suitable in Taiwan. At the same time, using the result of analysis feasibility as foundation, to build a complete Catastrophe Derivatives publish system in product income, equity risk, market participants, rating system, decrease the tax fee, follow the law to achieve the goal of shift risk and risk financing.
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