巨灾风险证券化研究
|
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。
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.
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。
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.
引文
[1] Richard W.Gorvett．Insurance securitization：the development of a new asset class. In: Casualty Actuarial Society "Securitization of Risk" Discussion Paper Program. CAS, 1999
[2] 栾存存．巨灾风险的保险研究与应对策略综述．北京：中国社会科学院经济研究所，2002，http://www.cass.net.chinese/s01_jjs/yjrygrxszl/lcc.html
[3] Black, Deborah. Success and Failure of Futures Contracts: Theory and Empirical Evidence. New York: Salomon Brothers Center for the Study of Financial Institutions, 1986
[4] D'Arcy, Stephen P., Virginia Grace France. Catastrophe Futures: A Better Hedge for Insurers. Journal of Risk and Insurance, 1992,59:575～600
[5] Harrington, Greg Niehaus, and Steven V. Mann. Insurer Capital Structure Decisions and the Viability of Insurance Derivatives. Journal of Risk and Insurance, 1995, 62:483～508
[6] Major, John A.Index Hedge Performance: Insurer Market Penetration and Basis Risk, paper presented at NBER Conference on the Financing of Property/Casualty Risks. November, 1996
[7] Scott Harrington, Steven Mann, Greg Niehaus. Basis Risk with Catastrophe Insurance Derivative Contracts. In: the 5th International Insurance Solvency and Finance Conference. London, June 17, 1997
[8] Major, John A. The Impact of Basis Risk on Insurance-Linked Exchange-Traded Products. Financing Risk & Reinsurance, 1998,9:9～11
[9] Himick, Michael. New Catastrophe Insurance Options Link Investors to Untapped Profit Opportunities. Financial Exchange, 1995, 14:16～17
[10] Kielholz, Walter and Alex Durrer. Insurance Derivatives and Securitization: New Hedging Perspectives for the US Cat Insurance Market. Geneva Papers on Risk and Insurance Issues and Practice, 1997, 82: 3～16
[11] Samuel H.Cox, Joseph R.Fairchild, Hal W.Pedersen. Actuarial and Economic Aspects of Securitization of Risk. In: Casualty Actuarial Society "Securitization of Risk" Discussion Paper Program. CAS, 1999
[12] Litzenberger, Beaglehole, Reynolds, etc. Assessing Catastrophe Reinsurance-
Linked Securities as a New Asset Class. Journal of Portfolio Management, 1996, special issue: 76～86
[13] Henri Loubergr, Evis Kellezi and Manfred Gilli. Using Catastrophe-Linked Securities to Diversify Insurance Risk: A Financial Analysis of Cat Bonds. Journal of Insurance Issues, 1999, 22(2): 125～146
[14] Foppert, David. Uncertain Futures. Best's Review: Property/Casualty Insurance Edition, 1993, March: 94～96
[15] Pickles, L.Jamie and Stuart B. Mathewson. The Future of Futures. Emphasis, 1993, 3:10～13
[16] Karras, Dena. Want to Get into Reinsurance Future Options? Here's How! Contingencies, 1995, 71: 50～54
[17] Walsh, Matt. Deeper Pockets. Forbes, September, 1994, 26:42～44
[18] Central Illinois Chapter of the Society of CPCU. Do Catastrophe Insurance Futures Really Have a Future? Research Report, 1993
[19] D'Arcy, Stephen P. and Virginia Grace France. Catastrophe Insurance Futures. CPCU Journal, 1993, 46:202～213
[20] Flanigan, George and William L.Scott. CAT Spreads at the CBOT: Coming Alive. CPCU Journal, 1994, 47:210～214
[21] Cummins, J.David and Hélyette German. Pricing Catastrophe Insurance Futures and Call Spreads. Journal of Fixed Income, 1995, 4:46～57
[22] Patrick L.Brockett, Samuel H.Cox, James Smith. Bounds on the Price of Catastrophe Insurance Options on Futures Contracts. Proceedings of the 1995 Bowles Symposium on Securitization of insurance Risk. Society of Actuaries Monograph Series, Schaumburg, 1996
[23] Samuel H.Cox, Hal W.Pedersen. Catastrophe Risk Bonds. North American Actuarial Journal, 2000,4 (4): 56～82
[24] Cox, Schwebach. Insurance Futures and Hedging Insurance Price Risk. Journal of Risk and Insurance, 1992, 59:628～644
[25] 黄志仁，林忠机．巨灾保险证券化之探讨．产业论坛，2001／07／16 http://www.itis.org.tw/forum/content3/01if11.htm
[26] C.Chang, J.Chang. Pricing Catastrophe Insurance Futures Call Spreads: A Randomized Operational Time Approach. Journal of Risk and Insurance, 1996, 63(4): 599～617
[27] Doherty, Neil A. Innovations in Managing Catastrophe Risk. Journal of Risk and Insurance, 1997,12:743～748
[28] John E. Laye. Financing catastrophe risk in the capital markets. Int. J. Emergency Management, 2001, 1(1): 61～69
[29] Prakash A.Shimpi. Securitization of Insurance Company Assets and Liabilities. SOA, Washington Annual Meeting Record, 1997, 23:1～25.
[30] Sara Borden, Asani Sarkar. Securitizing Property Catastrophe Risk. Federal Reserve Bank of New York's journal, Current Issues in Economics and Finance, 1996, 2:9
[31] 胡翔宇．巨灾风险的非传统转移方式：[硕士学位论文]．天津：南开大学保险学院，2003
[32] Buff, Joseph J. Cat Bond Buyers Find Maturing Market. Best Week, P/C, 1999, 1: 4～6
[33] 赵正堂．巨灾保险证券化研究：[硕士学位论文]．长沙：湖南大学金融学院，2002
[34] Harrington, Scott, Steven V. Mann. Insurer Capital Structure Decisions and the Viability of Insurance Derivatives. Journal of Risk and Insurance, 1995, 62: 483～508
[35] Koegel.Securitizing Insurance Risk: A Technique for Spreading Catastrophe Exposure. Best's Review:P/C Edition, 1996,1:44～49
[36] 陈继绕．金融自由化下新兴风险转移方法之运用现状与发展．第一版．台湾：台湾财团法人保险事业发展中心，2000
[37] 腾帆．巨灾债券及其在保险公司风险管理中的应用．外国经济与管理，2002，24(2)：33～37
[38] Niehaus, Mann. The Trading of Underwriting Risk: An Analysis of Insurance Futures Contracts and Reinsurance. Journal of Risk and Insurance, 1992, 59: 601～627
[39] Kenneth A. Froot, Brian S.Murphy. The Emerging Asset Class: Insurance Risk. In: Securitization of insurance Risk: The 1995 Bowles Symposium. Guy Carpenter and Company, Special Report, 1995
[40] 裴光．中国保险业竞争力研究．第1版．北京：中国金融出版社，2002
[41] 栾存存．保险在资本市场上的金融创新工具：巨灾债券．联合论坛．北京：中国社会科学院经济研究所，2002
[42]Embrechts, P., S.Meister. Pricing Insurance Derivatives, the Case of CAT-Futures. In: Proceedings of the 1995 Bowles Symposium on Securitization of Risk. Georgia State University Atlanta, Society of Actuaries, Monograph 1997
[43]Hans U.Gerber. An Introduction to Mathematical Risk Theory. 成世学，严颖译．数学风险论导引．第一版．北京：世界图书出版社，1997
[44]Goovaerts, F.de Vylder, J.Haezendonck. Insurance Premiums: Theory and Applications. North-Holland, Amsterdam, New York: Oxford. 1984
[45]艾俊川．我国筹备开办地震巨灾保险相关机制有望年内建立．金融时报，2003．7．16
[46]任不寐．灾变论——寻找另外一个中国，长城文化网，2000http://www.meet-greatwall.org/gwsx/wen/zbl/index.htm
[47]中国巨灾保险大有可为．中国经济快讯周刊，2002，第34期http://www.sina.com.cn
[48]周伏平．巨灾风险证券化研究——金融、保险一体化的典范．财经研究，2002，28(2)：36～41
[49]朱文轶，秦翠莉．灾害地图：按图索赔．三联生活周刊，第47期http://www.sina.com.cn, 2002/11/25
[50]小阿瑟·威廉斯．马从辉，刘国翰译．风险管理与保险．第八版．北京：经济科学出版社，2000
[51]债券发行统计月报．中国债券信息网，2003
[52]二○○三年上半年全国银行间债券市场综述．中国债券信息网，来源：中央国债登记结算有限责任公司，2003
[53]滋维．博迪，亚历克斯．凯恩，艾伦．马库斯．投资学．第四版．北京：机械工业出版社，1999
[54]王文灵，于瑾．衍生工具定价理论．第一版．北京：经济科学出版社，1998
[55]Franklin W.Nutter. Financing Catastrophe Risk And The Role Of Government. In: Earthquake Insurance: Public Policy Perspectives from the Western United States Earthquake Insurance Summit. Western States Seismic Policy Council, 1998
[56]周立．金融衍生工具发展与监管．第一版．北京：中国发展出版社，1997
[2] 栾存存．巨灾风险的保险研究与应对策略综述．北京：中国社会科学院经济研究所，2002，http://www.cass.net.chinese/s01_jjs/yjrygrxszl/lcc.html
[3] Black, Deborah. Success and Failure of Futures Contracts: Theory and Empirical Evidence. New York: Salomon Brothers Center for the Study of Financial Institutions, 1986
[4] D'Arcy, Stephen P., Virginia Grace France. Catastrophe Futures: A Better Hedge for Insurers. Journal of Risk and Insurance, 1992,59:575～600
[5] Harrington, Greg Niehaus, and Steven V. Mann. Insurer Capital Structure Decisions and the Viability of Insurance Derivatives. Journal of Risk and Insurance, 1995, 62:483～508
[6] Major, John A.Index Hedge Performance: Insurer Market Penetration and Basis Risk, paper presented at NBER Conference on the Financing of Property/Casualty Risks. November, 1996
[7] Scott Harrington, Steven Mann, Greg Niehaus. Basis Risk with Catastrophe Insurance Derivative Contracts. In: the 5th International Insurance Solvency and Finance Conference. London, June 17, 1997
[8] Major, John A. The Impact of Basis Risk on Insurance-Linked Exchange-Traded Products. Financing Risk & Reinsurance, 1998,9:9～11
[9] Himick, Michael. New Catastrophe Insurance Options Link Investors to Untapped Profit Opportunities. Financial Exchange, 1995, 14:16～17
[10] Kielholz, Walter and Alex Durrer. Insurance Derivatives and Securitization: New Hedging Perspectives for the US Cat Insurance Market. Geneva Papers on Risk and Insurance Issues and Practice, 1997, 82: 3～16
[11] Samuel H.Cox, Joseph R.Fairchild, Hal W.Pedersen. Actuarial and Economic Aspects of Securitization of Risk. In: Casualty Actuarial Society "Securitization of Risk" Discussion Paper Program. CAS, 1999
[12] Litzenberger, Beaglehole, Reynolds, etc. Assessing Catastrophe Reinsurance-
Linked Securities as a New Asset Class. Journal of Portfolio Management, 1996, special issue: 76～86
[13] Henri Loubergr, Evis Kellezi and Manfred Gilli. Using Catastrophe-Linked Securities to Diversify Insurance Risk: A Financial Analysis of Cat Bonds. Journal of Insurance Issues, 1999, 22(2): 125～146
[14] Foppert, David. Uncertain Futures. Best's Review: Property/Casualty Insurance Edition, 1993, March: 94～96
[15] Pickles, L.Jamie and Stuart B. Mathewson. The Future of Futures. Emphasis, 1993, 3:10～13
[16] Karras, Dena. Want to Get into Reinsurance Future Options? Here's How! Contingencies, 1995, 71: 50～54
[17] Walsh, Matt. Deeper Pockets. Forbes, September, 1994, 26:42～44
[18] Central Illinois Chapter of the Society of CPCU. Do Catastrophe Insurance Futures Really Have a Future? Research Report, 1993
[19] D'Arcy, Stephen P. and Virginia Grace France. Catastrophe Insurance Futures. CPCU Journal, 1993, 46:202～213
[20] Flanigan, George and William L.Scott. CAT Spreads at the CBOT: Coming Alive. CPCU Journal, 1994, 47:210～214
[21] Cummins, J.David and Hélyette German. Pricing Catastrophe Insurance Futures and Call Spreads. Journal of Fixed Income, 1995, 4:46～57
[22] Patrick L.Brockett, Samuel H.Cox, James Smith. Bounds on the Price of Catastrophe Insurance Options on Futures Contracts. Proceedings of the 1995 Bowles Symposium on Securitization of insurance Risk. Society of Actuaries Monograph Series, Schaumburg, 1996
[23] Samuel H.Cox, Hal W.Pedersen. Catastrophe Risk Bonds. North American Actuarial Journal, 2000,4 (4): 56～82
[24] Cox, Schwebach. Insurance Futures and Hedging Insurance Price Risk. Journal of Risk and Insurance, 1992, 59:628～644
[25] 黄志仁，林忠机．巨灾保险证券化之探讨．产业论坛，2001／07／16 http://www.itis.org.tw/forum/content3/01if11.htm
[26] C.Chang, J.Chang. Pricing Catastrophe Insurance Futures Call Spreads: A Randomized Operational Time Approach. Journal of Risk and Insurance, 1996, 63(4): 599～617
[27] Doherty, Neil A. Innovations in Managing Catastrophe Risk. Journal of Risk and Insurance, 1997,12:743～748
[28] John E. Laye. Financing catastrophe risk in the capital markets. Int. J. Emergency Management, 2001, 1(1): 61～69
[29] Prakash A.Shimpi. Securitization of Insurance Company Assets and Liabilities. SOA, Washington Annual Meeting Record, 1997, 23:1～25.
[30] Sara Borden, Asani Sarkar. Securitizing Property Catastrophe Risk. Federal Reserve Bank of New York's journal, Current Issues in Economics and Finance, 1996, 2:9
[31] 胡翔宇．巨灾风险的非传统转移方式：[硕士学位论文]．天津：南开大学保险学院，2003
[32] Buff, Joseph J. Cat Bond Buyers Find Maturing Market. Best Week, P/C, 1999, 1: 4～6
[33] 赵正堂．巨灾保险证券化研究：[硕士学位论文]．长沙：湖南大学金融学院，2002
[34] Harrington, Scott, Steven V. Mann. Insurer Capital Structure Decisions and the Viability of Insurance Derivatives. Journal of Risk and Insurance, 1995, 62: 483～508
[35] Koegel.Securitizing Insurance Risk: A Technique for Spreading Catastrophe Exposure. Best's Review:P/C Edition, 1996,1:44～49
[36] 陈继绕．金融自由化下新兴风险转移方法之运用现状与发展．第一版．台湾：台湾财团法人保险事业发展中心，2000
[37] 腾帆．巨灾债券及其在保险公司风险管理中的应用．外国经济与管理，2002，24(2)：33～37
[38] Niehaus, Mann. The Trading of Underwriting Risk: An Analysis of Insurance Futures Contracts and Reinsurance. Journal of Risk and Insurance, 1992, 59: 601～627
[39] Kenneth A. Froot, Brian S.Murphy. The Emerging Asset Class: Insurance Risk. In: Securitization of insurance Risk: The 1995 Bowles Symposium. Guy Carpenter and Company, Special Report, 1995
[40] 裴光．中国保险业竞争力研究．第1版．北京：中国金融出版社，2002
[41] 栾存存．保险在资本市场上的金融创新工具：巨灾债券．联合论坛．北京：中国社会科学院经济研究所，2002
[42]Embrechts, P., S.Meister. Pricing Insurance Derivatives, the Case of CAT-Futures. In: Proceedings of the 1995 Bowles Symposium on Securitization of Risk. Georgia State University Atlanta, Society of Actuaries, Monograph 1997
[43]Hans U.Gerber. An Introduction to Mathematical Risk Theory. 成世学，严颖译．数学风险论导引．第一版．北京：世界图书出版社，1997
[44]Goovaerts, F.de Vylder, J.Haezendonck. Insurance Premiums: Theory and Applications. North-Holland, Amsterdam, New York: Oxford. 1984
[45]艾俊川．我国筹备开办地震巨灾保险相关机制有望年内建立．金融时报，2003．7．16
[46]任不寐．灾变论——寻找另外一个中国，长城文化网，2000http://www.meet-greatwall.org/gwsx/wen/zbl/index.htm
[47]中国巨灾保险大有可为．中国经济快讯周刊，2002，第34期http://www.sina.com.cn
[48]周伏平．巨灾风险证券化研究——金融、保险一体化的典范．财经研究，2002，28(2)：36～41
[49]朱文轶，秦翠莉．灾害地图：按图索赔．三联生活周刊，第47期http://www.sina.com.cn, 2002/11/25
[50]小阿瑟·威廉斯．马从辉，刘国翰译．风险管理与保险．第八版．北京：经济科学出版社，2000
[51]债券发行统计月报．中国债券信息网，2003
[52]二○○三年上半年全国银行间债券市场综述．中国债券信息网，来源：中央国债登记结算有限责任公司，2003
[53]滋维．博迪，亚历克斯．凯恩，艾伦．马库斯．投资学．第四版．北京：机械工业出版社，1999
[54]王文灵，于瑾．衍生工具定价理论．第一版．北京：经济科学出版社，1998
[55]Franklin W.Nutter. Financing Catastrophe Risk And The Role Of Government. In: Earthquake Insurance: Public Policy Perspectives from the Western United States Earthquake Insurance Summit. Western States Seismic Policy Council, 1998
[56]周立．金融衍生工具发展与监管．第一版．北京：中国发展出版社，1997