摘要
20世纪90年代以来,世界巨灾的频繁发生,造成了巨额的保险损失,给国际保险业带来了危机。承保能力不足迫使保险业不断创新,加速了保险市场与资本市场的融合。在金融证券化和保险金融化的趋势下,保险风险证券化应运而生,并日益受到人们的关注。保险业通过巨灾债券、保险衍生工具等方式将巨灾风险融入全球金融资产中,不但分散了保险业本身的风险,大大增强了保险业的承保能力,为保险业的发展注入新的活力,而且也为投资者提供了一种从分散化投资组合中获得较高预期收益率的有效途径。实践表明,通过资本市场转移保险风险是一种公认的有效的风险转移方式,它对保险业乃至整个金融业的发展带来了重大影响。
我国是一个灾难多发的国家,地震灾害和水灾是威胁我国人民生命财产安全的两大主要灾害,另一方面,我国保险业还不成熟,保险公司风险管理能力普遍较低。因此,借鉴西方保险风险证券化的创新理念和技术,特别是巨灾风险证券化的成功实践和经验,将国外先进的风险管理技术与我国的实际情况结合起来,开发保险风险证券化产品,不但可以提高我国保险业整体承保能力,将风险转嫁给更富流动性和承受力的资本市场,降低风险经营成本,使保险市场的运行更为平稳,而且对沟通我国保险市场与资本市场的联系,使证券市场的资金参与到保险市场中来,促进保险市场与资本市场的共同发展,将起到积极的影响。保险风险证券化,对我国保险业开拓经营思路、规划未来发展具有深远意义。
本文共分五部分:
第一部分是对保险风险证券化这一保险创新工具的概述,主要阐述保险风险证券化的基本概念、产生原因、发展历程、产品类型和发行结构等,并从世界保险业发展的角度作了基本评价;
第二部分是对保险风险证券化技术的金融学分析,既从巨灾再保险合同出发分析了单期定价问题,又以巨灾债券为例,从金融学角度分析了它的风险特征、定价模型。与传统观点不同的是,文章认为一份巨灾债券是一个纯债券与基于被保巨灾的期权混合体,使用标准的均值—方差模型来评估资产组合的风险—收益将是不适合的;
第三部分主要关注我国发展保险风险证券化的环境因素,着重分析的是我国
保险市场与资本市场发展状况。从再保险市场来看,我们需要开发保险风险证券
化产品,但资本市场却无法为这个保险创新技术的发展提供支持;
第四部分对我国发展保险风险证券化进行实证研究,作者认为现阶段我国不
具备全面发展保险风险证券化的条件,但可以把保险风险跨国证券化作为发展我
国保险风险证券化的突破口,探讨了实施保险风险跨国证券化的可能模式;
第五部分提出了我国今后发展保险风险证券化的战略思路和基本步骤。
文章系统考察了保险风险证券化这一创新工具,运用金融学技术分析保险风
险证券化的定价模式,全面地对我国发展保险风险证券化进行可行性研究,并创
新性地探讨了保险风险跨国证券化的可能模式,提出了有价值的发展思路。这为
今后的进一步研究打下了扎实的基础。
With an increasing severity, the frequent occurrence of losses resulting from natural catastrophes since the 1990s has generated a crisis in the global reinsurance market. In order to get over difficulties in financial capacity, the insurance companies have innovatively issued products designed to spread the excess risk more widely among international investors (risk securitization) thus accelerating convergence of insurance and capital market. The transfer of insurance risks to the capital market in terms of bonds and derivatives has not only diversified their risks, but also increased their capacity. Insurance securitization is considered, to a broad extent, both as a subset of financial securitization, and as one of many sets of financial risk management tools available for insurers. To investors, insurance securities can offer an effective way to diversify existing investment allocations, while providing relatively high expected returns. In recent year, insurance securitization has proved to offer an eff
ective way to distribute the risks to the capital market. It has played an important role in the development of the insurance industry, as well as in the finance industry.
The present paper is divided into five chapters. In chapter one, it provides an introduction to the process of insurance securitization and its products. A definition of insurance securitization is presented, and a description of the evolutionary process which securitization has undergone is given. In chapter two, we theoretically analyze the insurance securitization as a financial risk management tool, discuss a contingent claim model for the pricing of Cat bonds. Using option pricing theory and simulation analysis, we show that investors attracted by the potential for diversification benefits should not overlook the optional features when including these securities in an asset portfolio. Chapter three describes the environments which will affect the development of insurance securitization in China, especially the status of insurance industry and capital market in China. Chapter four studies the feasibility of providing the thought regarding the cross-border securitization of insurance. Chapter five conclud
es the strategic steps of the development of insurance securitisation in China. The paper ends with a discussion of the future in insurance securitization.
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