巨灾风险的市场化分散机制探讨
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摘要
随着我国社会经济的发展和城市化进程的不断推进，经济社会呈现出人口密度和社会财富日益集中的趋势，在自然灾害日益频繁和人为灾害频率升高的情况下，巨灾的危害性逐渐加大。从当今世界上其他国家的巨灾情况来看，也存在同样的发展特征。事实上，在目前世界各国的保险市场发展过程中：一方面是传统保险市场日趋饱和，可开拓空间越来越小，另一方面是巨灾保险市场上有着远远超过目前保险业供给能力的巨大潜在需求和现实需求。因此，研究如何通过巨灾保险化解社会生活中存在的风险、强化巨灾险的分散机制功能具有十分重要的现实意义。但是，根据目前有关巨灾保险领域的研究和实践情况来看，远远没有达到社会的需求标准。
从目前保险市场的情况来看，巨灾风险的防范与分散机制主要依赖于保险业的再保险风险分散机制。这种风险分散机制在20世纪80年代之前对于分散巨灾险确实起到了重要的作用，但这一时期的巨灾风险存在低频率、损失小的特点。进入80年代以后，随着世界各地巨灾风险的加剧，再保险公司面临着巨灾险的直面冲击，这种传统的再保险产品和方法暴露了其明显的缺陷，同时巨灾风险的频繁发生和损失规模之大也给给再保险公司在再保险能力上带来不小的打击。因此，寻求有效的巨灾风险分散机制在保险业显的十分必要。近年来，随着资本市场的不断发展，保险公司开发出多种新的金融工具来将巨灾风险转移到资本市场上，常见的工具有巨灾债券(Cat bonds)、巨灾互换(Catastrophe swaps)、应急资本(Contingent capital)、巨灾期权(Catastrophe options)等，这就是所谓的巨灾风险证券化。
巨灾风险证券化是通过资本市场来分散巨灾风险的一种途径，在20世纪80年代在国际市场上出现并兴起，其依赖于资本市场的巨大容量分散巨灾风险的方法代表了目前化解巨灾险的最有效的途径，同时也代表了未来几年巨灾险市场发展的一个新方向。本文的重点之一就是研究巨灾风险证券化的风险分散机制。我们在文章之中对巨灾险证券化的的产生动因和风险分散功能做了详细的探讨，并结合实际案例对巨灾风险证券化的设计作了具体分析。
在文章的最后一部分，论述了巨灾风险证券化为我国开展巨灾等大型项目保险业务和开拓再保险市场提出了一条新思路。最后，借鉴国外先进经验，提出利用巨灾衍生工具培育我国巨灾风险分散机制的若干建议。
With the developing of society and progressing of the civilization, trend of people and fortune centralization becomes more and more obvious . At the same time, natural and non-natural disaster frequency raise surprisingly, the harm of catastrophe becomes more and more dangerous. From the phenomenon of catastrophe in the most countries , we can get the same conclusion.
Actually, during the developing progress of the world , one phenomenon is the market of insurance becomes more and more smaller, at the same time, the market of Cat market becomes imbalance , the demand excess the production of the Cat market obviously . So, it is important for us to study how to reduce the risk in our society through Cat insurance, and to study the risk-reduction system. But form our study in this aspect, there are a lots for us to do.
From the market of insurance, the risk-reduction system rely on the re-insurance. Before 80 ages during last century, re-insurance play an important role and reduce the risk of Cat effectively. After 80 ages in 20 century, with the raising of Cat, re-insurance companies face a violent impact. At the same time, this risk-reduction system's shot-coming becomes obviously. So, looking for an effective risk-reduction system becomes very important. In recent years, with the developing of capital market, insurance companies find a lot of financial tools to transfer the Cat risk form insuring market to capital market, such as, Cat bonds, catastrophe swaps, contingent capital and catastrophe options.
Cat security is a way to disperse Cat risk through capital market. Cat securitization appeared in a lot of countries during 80 ages in last century and booming in late. This is a most effective way to reduce Cat risk through capital market, and it is a important developing direction of the insurance market. One of the focus of this paper is to study the risk-reduction system of Cat security. In this paper, we keep an eye on the reason of Cat security's appearance and study the function of this tool deeply.
At the last part of this paper, we analyse Cat security lead a new way to underwrite large project and develop the re-insurance market in our country. We also give some suggestions on constructing our Cat risk-reduction system through Cat securities.
从目前保险市场的情况来看，巨灾风险的防范与分散机制主要依赖于保险业的再保险风险分散机制。这种风险分散机制在20世纪80年代之前对于分散巨灾险确实起到了重要的作用，但这一时期的巨灾风险存在低频率、损失小的特点。进入80年代以后，随着世界各地巨灾风险的加剧，再保险公司面临着巨灾险的直面冲击，这种传统的再保险产品和方法暴露了其明显的缺陷，同时巨灾风险的频繁发生和损失规模之大也给给再保险公司在再保险能力上带来不小的打击。因此，寻求有效的巨灾风险分散机制在保险业显的十分必要。近年来，随着资本市场的不断发展，保险公司开发出多种新的金融工具来将巨灾风险转移到资本市场上，常见的工具有巨灾债券(Cat bonds)、巨灾互换(Catastrophe swaps)、应急资本(Contingent capital)、巨灾期权(Catastrophe options)等，这就是所谓的巨灾风险证券化。
巨灾风险证券化是通过资本市场来分散巨灾风险的一种途径，在20世纪80年代在国际市场上出现并兴起，其依赖于资本市场的巨大容量分散巨灾风险的方法代表了目前化解巨灾险的最有效的途径，同时也代表了未来几年巨灾险市场发展的一个新方向。本文的重点之一就是研究巨灾风险证券化的风险分散机制。我们在文章之中对巨灾险证券化的的产生动因和风险分散功能做了详细的探讨，并结合实际案例对巨灾风险证券化的设计作了具体分析。
在文章的最后一部分，论述了巨灾风险证券化为我国开展巨灾等大型项目保险业务和开拓再保险市场提出了一条新思路。最后，借鉴国外先进经验，提出利用巨灾衍生工具培育我国巨灾风险分散机制的若干建议。
With the developing of society and progressing of the civilization, trend of people and fortune centralization becomes more and more obvious . At the same time, natural and non-natural disaster frequency raise surprisingly, the harm of catastrophe becomes more and more dangerous. From the phenomenon of catastrophe in the most countries , we can get the same conclusion.
Actually, during the developing progress of the world , one phenomenon is the market of insurance becomes more and more smaller, at the same time, the market of Cat market becomes imbalance , the demand excess the production of the Cat market obviously . So, it is important for us to study how to reduce the risk in our society through Cat insurance, and to study the risk-reduction system. But form our study in this aspect, there are a lots for us to do.
From the market of insurance, the risk-reduction system rely on the re-insurance. Before 80 ages during last century, re-insurance play an important role and reduce the risk of Cat effectively. After 80 ages in 20 century, with the raising of Cat, re-insurance companies face a violent impact. At the same time, this risk-reduction system's shot-coming becomes obviously. So, looking for an effective risk-reduction system becomes very important. In recent years, with the developing of capital market, insurance companies find a lot of financial tools to transfer the Cat risk form insuring market to capital market, such as, Cat bonds, catastrophe swaps, contingent capital and catastrophe options.
Cat security is a way to disperse Cat risk through capital market. Cat securitization appeared in a lot of countries during 80 ages in last century and booming in late. This is a most effective way to reduce Cat risk through capital market, and it is a important developing direction of the insurance market. One of the focus of this paper is to study the risk-reduction system of Cat security. In this paper, we keep an eye on the reason of Cat security's appearance and study the function of this tool deeply.
At the last part of this paper, we analyse Cat security lead a new way to underwrite large project and develop the re-insurance market in our country. We also give some suggestions on constructing our Cat risk-reduction system through Cat securities.
引文
1．赵苑达，《再保险学》，中国金融出版社，2003年1月第1版。
2．张洪涛，《新形势下的保险资金运用：开放与投资安全》中国人民大学出版社 2003年6月第1版。
3．《素描ART》，Sigma 2003年第1期
4．马柯维茨，《资产选择：投资的有效分散化》 首都经济贸易大学出版社 2000年3月
5．冯玉梅：《巨灾风险与我国保险公司的选择》，《上海保险》 2001-1
6．Swiss Re，2001，保险业的资本市场创新，Sigma，第3期。
7．李志强，1997，中国地震灾害风险管理中的保险问题研究，博士论文，国家地震局地质研究所。
8．Swiss Re，2000，非寿险公司的偿付能力：平衡财务稳定和获利能力预期。Sigma，第1期。
9．Swiss Re，2002，2001年的自然灾害和人为灾祸：人为损失呈现一个新层面。Sigma，第1期。
10．藤帆：《巨灾债券及其在保险公司风险管理中的应用》，《外国经济管理》2002-2
11．中国保险报：《中国保险业发展的十大趋势》www.sunite.com/ztzl/content/tbxw/
12．梁正德，1995，“保险衍生性商品的现况，”保险资讯，十月份，Vol．122，33-36。
13．栾纯纯：《保险在金融市场上的创新工具—巨灾债券》www1.cei.gov.cn/union/
14．顾祖芬：《巨灾重创保险业》中国保险2000-1
15．陈迪红：《对我国保险业引进巨灾债券的思考》财经理论与实践2003／3
16. Zajdenweber Daniel, 1996, "Extreme Values in Business Interruption Insurance," The Journal of Risk and Insurance, Vol. 63, No. 1, 95-110.
17. Browne, Mark J. & Robert E. Hoyt, 2000, The Demand for Flood Insurance: Empirical Evidence, Journal of Risk and Uncertainty, Vol. 20, No. 3, 291-306.
18. Chang, Carolyn W., Jack S. K. Chang, and Min-Teh Yu, 1996, "Pricing Catastrophe Insurance Futures Call Spreads: An Randomized Operational Time Approach," The Journal of Risk and Insurance, Vol 63, No 4, 599-617.
19. Cox, S. H. & H. W., Pedersen, 2001, Catastrophe risk bonds, North American Actuarial Journal. To appear.
20. Borch, Karl H., 1990, Economics of Insurance, North-Holland.
21. Denuit, M., Dhaene, J. & Van Wouve, M., 1999, The Economics of Insurance: a review and some recent developemts, Bulletin of the Swiss Association of Actuaries. 137-175.
22. Dr.K.Spremann:Catastrophe Bond-Their Pricing,Use,Limitations,and Potential Risks Embrechts, P., Klüppelberg, C.& T. Mikosch, 1997, Modelling Extremal Events for Insurance and Finance, Springer-Verlag Berlin Heidelberg.
23. Freedom, Paul K., 2001, Hedging Natural Catastrophe Risk In Developing Countries, The
Geneva Papers on Risk and Insurance, Vol. 26, No. 3,373-385.
24. Kunreuther, H., Novemsky, N. & D. Kahneman, 2001, Making Low Probability Useful, The Journal of Risk and Uncertainty, Vol. 23, No. 2, 103-120.
25. Louis Eeckhoudt & Christian Gollier, 1999, The Insurance of Lower Probability Events, Journal of Risk and Insurance, Vol. 66, No. 1, 77-28.
26. Luan, C., 2001, Insurance premium calculations with anticipated utility theory. ASTIN Bulletin, Vol.31, No.1, 27-39.
27. Puppe, C., 1991, Distorted Probabilities and Choice under Risk, Springer-Verlag.
28. Swiss Re, 1995, Non-proportional reinsurance of losses due to natural disasters in 1995: Princes down despite insufficient cover, Sigma, No.6.
29. Wang, S., Young, Y. R.& H. H. Panjer, 1997, Axiomatic Characterization of Insurance Prices, Insurance: Mathematics and Economics, Vol. 21, 173-183.
30. Alex Boulatov & Dwight Jaffee, the response of catastrophe insurance markets to extreme events:a real option approach, january 27,2003
31. OLIVIER MAHUL,efficient risk sharing within a catastrophe insurance pool,january 31,2003
2．张洪涛，《新形势下的保险资金运用：开放与投资安全》中国人民大学出版社 2003年6月第1版。
3．《素描ART》，Sigma 2003年第1期
4．马柯维茨，《资产选择：投资的有效分散化》 首都经济贸易大学出版社 2000年3月
5．冯玉梅：《巨灾风险与我国保险公司的选择》，《上海保险》 2001-1
6．Swiss Re，2001，保险业的资本市场创新，Sigma，第3期。
7．李志强，1997，中国地震灾害风险管理中的保险问题研究，博士论文，国家地震局地质研究所。
8．Swiss Re，2000，非寿险公司的偿付能力：平衡财务稳定和获利能力预期。Sigma，第1期。
9．Swiss Re，2002，2001年的自然灾害和人为灾祸：人为损失呈现一个新层面。Sigma，第1期。
10．藤帆：《巨灾债券及其在保险公司风险管理中的应用》，《外国经济管理》2002-2
11．中国保险报：《中国保险业发展的十大趋势》www.sunite.com/ztzl/content/tbxw/
12．梁正德，1995，“保险衍生性商品的现况，”保险资讯，十月份，Vol．122，33-36。
13．栾纯纯：《保险在金融市场上的创新工具—巨灾债券》www1.cei.gov.cn/union/
14．顾祖芬：《巨灾重创保险业》中国保险2000-1
15．陈迪红：《对我国保险业引进巨灾债券的思考》财经理论与实践2003／3
16. Zajdenweber Daniel, 1996, "Extreme Values in Business Interruption Insurance," The Journal of Risk and Insurance, Vol. 63, No. 1, 95-110.
17. Browne, Mark J. & Robert E. Hoyt, 2000, The Demand for Flood Insurance: Empirical Evidence, Journal of Risk and Uncertainty, Vol. 20, No. 3, 291-306.
18. Chang, Carolyn W., Jack S. K. Chang, and Min-Teh Yu, 1996, "Pricing Catastrophe Insurance Futures Call Spreads: An Randomized Operational Time Approach," The Journal of Risk and Insurance, Vol 63, No 4, 599-617.
19. Cox, S. H. & H. W., Pedersen, 2001, Catastrophe risk bonds, North American Actuarial Journal. To appear.
20. Borch, Karl H., 1990, Economics of Insurance, North-Holland.
21. Denuit, M., Dhaene, J. & Van Wouve, M., 1999, The Economics of Insurance: a review and some recent developemts, Bulletin of the Swiss Association of Actuaries. 137-175.
22. Dr.K.Spremann:Catastrophe Bond-Their Pricing,Use,Limitations,and Potential Risks Embrechts, P., Klüppelberg, C.& T. Mikosch, 1997, Modelling Extremal Events for Insurance and Finance, Springer-Verlag Berlin Heidelberg.
23. Freedom, Paul K., 2001, Hedging Natural Catastrophe Risk In Developing Countries, The
Geneva Papers on Risk and Insurance, Vol. 26, No. 3,373-385.
24. Kunreuther, H., Novemsky, N. & D. Kahneman, 2001, Making Low Probability Useful, The Journal of Risk and Uncertainty, Vol. 23, No. 2, 103-120.
25. Louis Eeckhoudt & Christian Gollier, 1999, The Insurance of Lower Probability Events, Journal of Risk and Insurance, Vol. 66, No. 1, 77-28.
26. Luan, C., 2001, Insurance premium calculations with anticipated utility theory. ASTIN Bulletin, Vol.31, No.1, 27-39.
27. Puppe, C., 1991, Distorted Probabilities and Choice under Risk, Springer-Verlag.
28. Swiss Re, 1995, Non-proportional reinsurance of losses due to natural disasters in 1995: Princes down despite insufficient cover, Sigma, No.6.
29. Wang, S., Young, Y. R.& H. H. Panjer, 1997, Axiomatic Characterization of Insurance Prices, Insurance: Mathematics and Economics, Vol. 21, 173-183.
30. Alex Boulatov & Dwight Jaffee, the response of catastrophe insurance markets to extreme events:a real option approach, january 27,2003
31. OLIVIER MAHUL,efficient risk sharing within a catastrophe insurance pool,january 31,2003