由巨灾补偿基金发行巨灾债券的研究
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摘要
所谓巨灾,通常是指突发的、无法预料的、无法避免的、而且严重的灾害事故。我国是一个多自然灾害的国家,洪水、地震等自然灾害每年都造成大量的财产损失和人员伤亡。
国际上传统的巨灾风险分散机制是巨灾保险。虽然巨灾发生的频率很低,但造成的损失巨大,一次巨灾可能会使多个投保人同时受到严重影响,因此对保险人来说会产生庞大的累积理赔金额,可能数倍于承保公司、甚至可能数倍于整个再保险市场所能提供的资本。因此,即使在保险业很发达的美国、欧洲和日本,巨灾保险也长期处于供不应求的状态。在我国,由于尚未建立成熟的、完备的巨灾保险保障体系,巨灾之后的损失补偿主要依靠国家的财政救济,巨灾风险管理方法和手段是低层次的,无法应付可能的巨灾风险。现阶段推出巨灾保险的条件还很不成熟,但灾害不等人,不断发生的巨灾使得国家财政背上越来越沉重的负担。因此,我们设计了一种由政府直接控制和管理的巨灾补偿基金,在巨灾发生时作为财政补偿的一种补充形式对购买巨灾补偿基金的受灾人进行补偿。
上述巨灾补偿基金的资金来源渠道多种多样,比如政府的巨灾拨款、社会捐助资金、基金持有人购买的份额、基金的投资收益及利润留成等。除了这些方式以外,我们还可以利用保险证券化产品来为巨灾补偿基金筹集资金。保险证券化产品的发起人是巨灾风险暴露的主体。我们的巨灾补偿基金作为巨灾风险暴露主体,当然也可以作为发起人。当前世界上主要的巨灾保险证券化产品有巨灾债券、巨灾指数期权(如PCS指数期权)、巨灾互换等。其中,巨灾债券是国际市场上巨灾风险证券化产品的主要形式,也是巨灾补偿基金最现实的选择。于是,本文在对巨灾债券这种新型证券化工具进行概述的基础上,详细分析了由巨灾补偿基金发行巨灾债券参与主体、面临的风险、债券结构设计、发行渠道和发行规模等的特点。理论结合实际,从巨灾补偿基金的角度,结合我国资本市场具体环境提出在我国发行巨灾债券的方式,作为巨灾补偿基金的主要资金来源之一——这也是本文最大的创新点。
本文共分十个部分：
第一部分是导论。首先在介绍我们所设计的巨灾补偿基金运作方式的基础上,明确本文的写作意义——研究作为巨灾补偿基金的资金来源之一,如何由巨灾补偿基金发行巨灾债券。然后介绍了本文的研究方法和基本思路。最后对巨灾债券的国内外研究状况做了归纳。
第二部分是巨灾债券概述。巨灾债券是保险风险证券化产品的一种,来源于对巨灾风险的再保险。首先对国际市场上除了传统再保险以外的几种主要的巨灾风险分散方式做了对比,指出巨灾债券是最佳选择。然后阐明巨灾债券的发行机制。巨灾债券的发行,首先是债券发起人(巨灾补偿基金)为了分散其面临的巨灾风险,设立一个特殊目的机构(SPV)并与其签订再保险合约。SPV作为债券发行人向投资者收取债券本金,与向发起人收取的再保险费一道进行投资。通常将一部份资金投资于信用等级很高的高品质债券；另一部分进行短期投资,并与一家信托投资公司进行互换,获取约定的LIBOR+利差。如果在约定期限内没有发生指定的巨灾事件,那么债券投资者将获得本金以及全部利息；如果发生了,那么根据具体合约条款的不同,投资者的本金和利息可能受到不同程度的损失。然后,列举了巨灾债券的主要结构。在第五章当中会具体分析由巨灾补偿基金发起的巨灾债券具有哪些结构特征。最后是巨灾债券的优缺点分析。巨灾债券在信用评级、发行成本上的劣势使得债券发起人通过发起巨灾债券的价格相对较高。并且,对于债券投资者来说,巨灾债券的流动性不佳,估值也比较困难。但是巨灾债券的收益率较高,信用风险低,利率风险也较低,是极佳的分散投资风险的工具。
第三部分讨论由巨灾补偿基金发起巨灾债券的参与主体。具体阐述了以巨灾补偿基金作为债券发起人的好处,并结合我国实际情况和法律法规环境,对SPV机构的选择进行详细分析。
第四部分主要讨论由巨灾补偿基金发起的巨灾债券的风险因素,包括基差风险、道德风险、逆向选择和模型风险。对于每种风险,首先明确其产生原因；其次,分析每种风险如何体现在巨灾债券的运作中；最后,提出如何缓解这些风险。
第五部分主要讨论巨灾债券的结构设计。包括触发机制设计、返本息比例设计、期限结构设计、利率结构设计、选择发债时机的机制设计、区域结构设计和风险结构设计等七种结构设计。首先探讨巨灾债券结构设计的关键——触发条件的设计。现有的巨灾债券触发条件主要有以下几类：损失赔偿型、行业损失指数型、物理参数(包括纯参数和参数指数)型、模型损失型、行业指数权数触发条件(MITT)和混合型。本文详细阐述每一种触发条件的设计方法并举例说明,同时列举其优缺点。最后,对以上几种触发条件进行了总结和横向比较,并提出了在我国最适用的巨灾债券的触发机制设计。对其余六种结构设计也做了类似的探讨。
第六部分主要谈由巨灾补偿基金发起巨灾债券的发行方式。在众多发行方式中,可以选用的方式有：在国内公开发行、在离岸市场上公开和私募发行或在香港发行人民币巨灾债券。
第七部分讨论由巨灾补偿基金发起的巨灾债券规模。在决定巨灾债券的发行规模时,一要考虑巨灾补偿基金的规模,二要考虑巨灾债券的发行方式,三是要考虑摊薄较高的交易成本和流动性的要求。
第八部分对由巨灾补偿基金发起的巨灾债券的信用评级和信用增级作了分析。在信用评级方面,由于我国信用评级机构对保险证券化产品的评级经验不足,可以请国外权威信用评级公司进行评级。在信用增级方面,众多信用增级方式中,巨灾债券最宜采用信用互换、组份分级和第三方担保。
第九部分讨论巨灾补偿基金发起巨灾债券面临的问题和对策。主要问题有：投资者认知程度低,债券发行难以成功；巨灾风险评估的难度大；我国对巨灾债券缺乏相应的政策和制度环境；国际金融危机对SPV信用账户安全性造成的冲击等。这一部分是结合我国实际情况和法律法规环境,针对我国具体情况而提出的。
第十部分是全文的结论。总结全文的分析,提出由巨灾补偿基金发行巨灾债券的最佳结构设计方案。
Catastrophe is described as paroxysmal, unexpected, inevitable and very serious. Our country is with all kinds of natural calamities, flood and earthquake brings us substantial loss of assets and life.
The traditional catastrophe risk dispersing mechanism is catastrophe insurance. Although catastrophe events rarely happen, they make huge loss. A catastrophe event will suffer a lot of insurance applicant, and accumulate huge claim money to insurer. The amount maybe is multiples of insurer's capital, even multiples of the whole reinsurance market's capital. Therefore, even in counties of developed insurance industry, such as the USA, European and Japan, the catastrophe insurance is in short supply.In china, for we don't have mature and complete catastrophe insurance system, the catastrophe loss compensation relies on government relief. It makes government bears a heavy fiscal burden. Accordingly, we design a catastrophe compensation fund which is controlled by the government, and make it a supplement of government fiscal compensation when the catastrophe event happens.
The aforementioned catastrophe compensation fund raises money from a variety of source. For instance, the government's catastrophe fiscal allocation, society endowment, the fund investors'fund stake and the fund's investment profit. Aside from these sources, we can issue insurance securitization products to raise capital for catastrophe compensation fund. Securitization products'sponsor is exposed by catastrophe risk, therefore our catastrophe compensation fund can act as sponsor. Catastrophe bond is the most popular insurance securitization product in the world, and is the most realistic choice of our country. Hence, the essay firstly introduces the substance of catastrophe bond, then analyses the participants, risk, structure, approaches and size of issuing cat bond. We combine theory and reality, and stand at the catastrophe compensation fund's point of view to discuss the way of issuing catastrophe bond in china. It is the most import innovation of this essay.
The essay contains ten parts.
Chapter 1 is forward. Based on the introduction of catastrophe compensation fund's operation, we make the goal of the essay clear—how catastrophe compensation fund could issue catastrophe bond, and make it the financing source of the fund. Catastrophe bond (cat bond) is a sort of securitization of insurance risk. At last, we summarize the researches of cat bond home and abroad.
Chapter 2 is the summary of cat bond. It comes from the reinsurance of catastrophe risk. First, we compare the main forms of catastrophe risk dispersion in the worldwide, except traditional reinsurance. We conclude that cat bond is the optimal choice. Then, we introduce the issue of cat bond. At the beginning, in order to disperse catastrophe risk, the promoter (catastrophe compensation fund) sets a special purpose vehicle (SPV), and then signs a reinsurance contract with it. SPV demands bond principals as bond sponsor, combined it with the reinsurance fee from the promoter, then make short time investment. Usually, some of the capital is invested in high quality bonds; some of them is invested in short term securities, and swaps with a trust company to get defined LIBOR+spread.
If no promissory catastrophe events happen, bond investors will get all the principal and interests. If the events indeed happen, the loss of principal and interests will depend on items of different contracts. Then, we discuss cat bond's structure, especially the cat bonds issued by catastrophe compensation fund. At last, we analyze the pro and cons of cat bond. Cat bond have shortcomings in credit rating and issue cost, so bond price will be higher. Furthermore, cat bond has low liquidity, so pricing for cat bond is difficult. But, the benefit rate of cat bond is high, and it has low credit risk and interest risk, so cat bond is good for investment risk dispersion.
In Chapter 3, we discuss the participants of issuing cat bond. We analyze the advantage of catastrophe compensation fund acts as bond promoter, and how to choose SPV in the context of our country's laws and regulations.
In Chapter 4, we discuss the catastrophe compensation fund's risk of issuing cat bond. There are basis risk, moral risk, adverse selection and model risk. We analyze the reason of each risk, how these risk been reflected in the operation of cat bond, and how to mitigate these risk.
In Chapter 5, we discuss the structure of cat bond. There are trigger design, compensation rate design, term structure design, interest structure design, bond issuing timing design, district design and risk structure design. First of all, we discuss the key of cat bond structure design—trigger design. Now, the main forms of trigger are loss compensation trigger, industry index trigger, pure parametric trigger, parametric index trigger, model loss trigger, MITT trigger and mixed type trigger. We analyze each type of trigger thoroughly; give several instance and pros and cons. At last, we compare and summarize these triggers, and discuss how to select the optimal trigger in our country. In the rest part, we analyze the other six structures similarly.
In Chapter 6, we discuss the approaches of issuing cat bonds. There are public offerings at home, public or private offerings abroad, or in Hongkong.
In Chapter 7, we discuss the issuing size of cat bond. When ascertaining the size of cat bond, we must consider the size of catastrophe compensation fund, the approach of issuing and how to dilute trading cost and liquidity discounting.
In Chapter 8, we discuss the credit rating and credit enhance of cat bond. Our country's credit rating institutions lack experience in rating insurance securitization products, so we can ask international well-known credit rating corporation for help.In order to enhance the credit rating, cat bond's optimal choices are credit swap, classification and the third party guarantee.
In Chapter 9, we discuss the problems faced and the corresponding solution. The main problems are:investors aren't familiar with cat bond, risk evaluation is difficult, there are no corresponding regulations and laws about cat bond, the international financial crisis intimidate the security of credit account, etc. This part considers the factual instance and regulations and laws of our country.
国际上传统的巨灾风险分散机制是巨灾保险。虽然巨灾发生的频率很低,但造成的损失巨大,一次巨灾可能会使多个投保人同时受到严重影响,因此对保险人来说会产生庞大的累积理赔金额,可能数倍于承保公司、甚至可能数倍于整个再保险市场所能提供的资本。因此,即使在保险业很发达的美国、欧洲和日本,巨灾保险也长期处于供不应求的状态。在我国,由于尚未建立成熟的、完备的巨灾保险保障体系,巨灾之后的损失补偿主要依靠国家的财政救济,巨灾风险管理方法和手段是低层次的,无法应付可能的巨灾风险。现阶段推出巨灾保险的条件还很不成熟,但灾害不等人,不断发生的巨灾使得国家财政背上越来越沉重的负担。因此,我们设计了一种由政府直接控制和管理的巨灾补偿基金,在巨灾发生时作为财政补偿的一种补充形式对购买巨灾补偿基金的受灾人进行补偿。
上述巨灾补偿基金的资金来源渠道多种多样,比如政府的巨灾拨款、社会捐助资金、基金持有人购买的份额、基金的投资收益及利润留成等。除了这些方式以外,我们还可以利用保险证券化产品来为巨灾补偿基金筹集资金。保险证券化产品的发起人是巨灾风险暴露的主体。我们的巨灾补偿基金作为巨灾风险暴露主体,当然也可以作为发起人。当前世界上主要的巨灾保险证券化产品有巨灾债券、巨灾指数期权(如PCS指数期权)、巨灾互换等。其中,巨灾债券是国际市场上巨灾风险证券化产品的主要形式,也是巨灾补偿基金最现实的选择。于是,本文在对巨灾债券这种新型证券化工具进行概述的基础上,详细分析了由巨灾补偿基金发行巨灾债券参与主体、面临的风险、债券结构设计、发行渠道和发行规模等的特点。理论结合实际,从巨灾补偿基金的角度,结合我国资本市场具体环境提出在我国发行巨灾债券的方式,作为巨灾补偿基金的主要资金来源之一——这也是本文最大的创新点。
本文共分十个部分：
第一部分是导论。首先在介绍我们所设计的巨灾补偿基金运作方式的基础上,明确本文的写作意义——研究作为巨灾补偿基金的资金来源之一,如何由巨灾补偿基金发行巨灾债券。然后介绍了本文的研究方法和基本思路。最后对巨灾债券的国内外研究状况做了归纳。
第二部分是巨灾债券概述。巨灾债券是保险风险证券化产品的一种,来源于对巨灾风险的再保险。首先对国际市场上除了传统再保险以外的几种主要的巨灾风险分散方式做了对比,指出巨灾债券是最佳选择。然后阐明巨灾债券的发行机制。巨灾债券的发行,首先是债券发起人(巨灾补偿基金)为了分散其面临的巨灾风险,设立一个特殊目的机构(SPV)并与其签订再保险合约。SPV作为债券发行人向投资者收取债券本金,与向发起人收取的再保险费一道进行投资。通常将一部份资金投资于信用等级很高的高品质债券；另一部分进行短期投资,并与一家信托投资公司进行互换,获取约定的LIBOR+利差。如果在约定期限内没有发生指定的巨灾事件,那么债券投资者将获得本金以及全部利息；如果发生了,那么根据具体合约条款的不同,投资者的本金和利息可能受到不同程度的损失。然后,列举了巨灾债券的主要结构。在第五章当中会具体分析由巨灾补偿基金发起的巨灾债券具有哪些结构特征。最后是巨灾债券的优缺点分析。巨灾债券在信用评级、发行成本上的劣势使得债券发起人通过发起巨灾债券的价格相对较高。并且,对于债券投资者来说,巨灾债券的流动性不佳,估值也比较困难。但是巨灾债券的收益率较高,信用风险低,利率风险也较低,是极佳的分散投资风险的工具。
第三部分讨论由巨灾补偿基金发起巨灾债券的参与主体。具体阐述了以巨灾补偿基金作为债券发起人的好处,并结合我国实际情况和法律法规环境,对SPV机构的选择进行详细分析。
第四部分主要讨论由巨灾补偿基金发起的巨灾债券的风险因素,包括基差风险、道德风险、逆向选择和模型风险。对于每种风险,首先明确其产生原因；其次,分析每种风险如何体现在巨灾债券的运作中；最后,提出如何缓解这些风险。
第五部分主要讨论巨灾债券的结构设计。包括触发机制设计、返本息比例设计、期限结构设计、利率结构设计、选择发债时机的机制设计、区域结构设计和风险结构设计等七种结构设计。首先探讨巨灾债券结构设计的关键——触发条件的设计。现有的巨灾债券触发条件主要有以下几类：损失赔偿型、行业损失指数型、物理参数(包括纯参数和参数指数)型、模型损失型、行业指数权数触发条件(MITT)和混合型。本文详细阐述每一种触发条件的设计方法并举例说明,同时列举其优缺点。最后,对以上几种触发条件进行了总结和横向比较,并提出了在我国最适用的巨灾债券的触发机制设计。对其余六种结构设计也做了类似的探讨。
第六部分主要谈由巨灾补偿基金发起巨灾债券的发行方式。在众多发行方式中,可以选用的方式有：在国内公开发行、在离岸市场上公开和私募发行或在香港发行人民币巨灾债券。
第七部分讨论由巨灾补偿基金发起的巨灾债券规模。在决定巨灾债券的发行规模时,一要考虑巨灾补偿基金的规模,二要考虑巨灾债券的发行方式,三是要考虑摊薄较高的交易成本和流动性的要求。
第八部分对由巨灾补偿基金发起的巨灾债券的信用评级和信用增级作了分析。在信用评级方面,由于我国信用评级机构对保险证券化产品的评级经验不足,可以请国外权威信用评级公司进行评级。在信用增级方面,众多信用增级方式中,巨灾债券最宜采用信用互换、组份分级和第三方担保。
第九部分讨论巨灾补偿基金发起巨灾债券面临的问题和对策。主要问题有：投资者认知程度低,债券发行难以成功；巨灾风险评估的难度大；我国对巨灾债券缺乏相应的政策和制度环境；国际金融危机对SPV信用账户安全性造成的冲击等。这一部分是结合我国实际情况和法律法规环境,针对我国具体情况而提出的。
第十部分是全文的结论。总结全文的分析,提出由巨灾补偿基金发行巨灾债券的最佳结构设计方案。
Catastrophe is described as paroxysmal, unexpected, inevitable and very serious. Our country is with all kinds of natural calamities, flood and earthquake brings us substantial loss of assets and life.
The traditional catastrophe risk dispersing mechanism is catastrophe insurance. Although catastrophe events rarely happen, they make huge loss. A catastrophe event will suffer a lot of insurance applicant, and accumulate huge claim money to insurer. The amount maybe is multiples of insurer's capital, even multiples of the whole reinsurance market's capital. Therefore, even in counties of developed insurance industry, such as the USA, European and Japan, the catastrophe insurance is in short supply.In china, for we don't have mature and complete catastrophe insurance system, the catastrophe loss compensation relies on government relief. It makes government bears a heavy fiscal burden. Accordingly, we design a catastrophe compensation fund which is controlled by the government, and make it a supplement of government fiscal compensation when the catastrophe event happens.
The aforementioned catastrophe compensation fund raises money from a variety of source. For instance, the government's catastrophe fiscal allocation, society endowment, the fund investors'fund stake and the fund's investment profit. Aside from these sources, we can issue insurance securitization products to raise capital for catastrophe compensation fund. Securitization products'sponsor is exposed by catastrophe risk, therefore our catastrophe compensation fund can act as sponsor. Catastrophe bond is the most popular insurance securitization product in the world, and is the most realistic choice of our country. Hence, the essay firstly introduces the substance of catastrophe bond, then analyses the participants, risk, structure, approaches and size of issuing cat bond. We combine theory and reality, and stand at the catastrophe compensation fund's point of view to discuss the way of issuing catastrophe bond in china. It is the most import innovation of this essay.
The essay contains ten parts.
Chapter 1 is forward. Based on the introduction of catastrophe compensation fund's operation, we make the goal of the essay clear—how catastrophe compensation fund could issue catastrophe bond, and make it the financing source of the fund. Catastrophe bond (cat bond) is a sort of securitization of insurance risk. At last, we summarize the researches of cat bond home and abroad.
Chapter 2 is the summary of cat bond. It comes from the reinsurance of catastrophe risk. First, we compare the main forms of catastrophe risk dispersion in the worldwide, except traditional reinsurance. We conclude that cat bond is the optimal choice. Then, we introduce the issue of cat bond. At the beginning, in order to disperse catastrophe risk, the promoter (catastrophe compensation fund) sets a special purpose vehicle (SPV), and then signs a reinsurance contract with it. SPV demands bond principals as bond sponsor, combined it with the reinsurance fee from the promoter, then make short time investment. Usually, some of the capital is invested in high quality bonds; some of them is invested in short term securities, and swaps with a trust company to get defined LIBOR+spread.
If no promissory catastrophe events happen, bond investors will get all the principal and interests. If the events indeed happen, the loss of principal and interests will depend on items of different contracts. Then, we discuss cat bond's structure, especially the cat bonds issued by catastrophe compensation fund. At last, we analyze the pro and cons of cat bond. Cat bond have shortcomings in credit rating and issue cost, so bond price will be higher. Furthermore, cat bond has low liquidity, so pricing for cat bond is difficult. But, the benefit rate of cat bond is high, and it has low credit risk and interest risk, so cat bond is good for investment risk dispersion.
In Chapter 3, we discuss the participants of issuing cat bond. We analyze the advantage of catastrophe compensation fund acts as bond promoter, and how to choose SPV in the context of our country's laws and regulations.
In Chapter 4, we discuss the catastrophe compensation fund's risk of issuing cat bond. There are basis risk, moral risk, adverse selection and model risk. We analyze the reason of each risk, how these risk been reflected in the operation of cat bond, and how to mitigate these risk.
In Chapter 5, we discuss the structure of cat bond. There are trigger design, compensation rate design, term structure design, interest structure design, bond issuing timing design, district design and risk structure design. First of all, we discuss the key of cat bond structure design—trigger design. Now, the main forms of trigger are loss compensation trigger, industry index trigger, pure parametric trigger, parametric index trigger, model loss trigger, MITT trigger and mixed type trigger. We analyze each type of trigger thoroughly; give several instance and pros and cons. At last, we compare and summarize these triggers, and discuss how to select the optimal trigger in our country. In the rest part, we analyze the other six structures similarly.
In Chapter 6, we discuss the approaches of issuing cat bonds. There are public offerings at home, public or private offerings abroad, or in Hongkong.
In Chapter 7, we discuss the issuing size of cat bond. When ascertaining the size of cat bond, we must consider the size of catastrophe compensation fund, the approach of issuing and how to dilute trading cost and liquidity discounting.
In Chapter 8, we discuss the credit rating and credit enhance of cat bond. Our country's credit rating institutions lack experience in rating insurance securitization products, so we can ask international well-known credit rating corporation for help.In order to enhance the credit rating, cat bond's optimal choices are credit swap, classification and the third party guarantee.
In Chapter 9, we discuss the problems faced and the corresponding solution. The main problems are:investors aren't familiar with cat bond, risk evaluation is difficult, there are no corresponding regulations and laws about cat bond, the international financial crisis intimidate the security of credit account, etc. This part considers the factual instance and regulations and laws of our country.
引文
2潘席龙,陈东.设立我国巨灾补偿基金研究.西南金融,2009(1)
3 Robert Goshay and Richard Sandor,1973, "An Inquiry into the Feasibility of a Reinsurance Futures Market", Journal of Business Finance, Vol.5, No.2.56-66
4参考何敏峰.保险风险证券化问题探讨.证券与保险,2007(3)
5张晓琴.巨灾风险债券及其在我国的运用研究.四川大学硕士论文.2005
12李娜.巨灾风险证券化研究.北京工商大学硕士学位论文.2003
13杨宝华.中国巨灾保险债券的运作机制构想.上海保险.2004.10增刊
14邱峰.保险风险证券化研究——以巨灾风险证券化为例.苏州大学硕士学位论文.2006
15 John DeMartini, David Langdon. Actual versus modeled loss-A review of the 2004-2005 hurricane seasons. Reinsurance Association of America & Towers Perrin Reinsurance. May 3,2006
16许丁元.巨灾债券转移风险之研究.台湾国立中央大学硕士论文.2006
18据中国债券信息网http://www.chinabond.com.cn
19中国巨灾保险债券的运作机制构想,杨宝华,上海保险2004.10增刊
20保险风险证券化研究——以巨灾风险证券化为例.邱峰.苏州大学硕士论文.2006
21朱文轶,秦翠莉.灾害地图：按图索赔.三联生活周刊2008年.第47期
22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
23苏龙.浅谈巨灾风险证券化在我国的应用.西南财经大学硕士论文.2006
[1]Robert Goshay and Richard Sandor.1973. "An Inquiry into the Feasibility of a Reinsurance Futures Market". Journal of Business Finance, Vol.5, No.2.56-66
[2]Henri Louberge, Evis Kellezi and Manfred Gilli.1999. Using Catastrophe-Linked Securities to Diversify Insurance Risk:A Financial Analysis of CAT bonds. Journal of Insurance Issues,22(2),125-146
[3]Kenneth A. Froot.1999. "The Evolving Market for Catastrophe Event Risk". NBER Working Paper 7287
[4]Kenneth A. Froot.1999. "The Financing of Catastrophe Risk". National Bureau of Economic Research Project Report
[5]Smauel H. Cox and Hal W. Pedersen.1997. Catastrophe Risk Bonds. North American Actuarial Journal, Volume 4, Numeber4
[6]Martin Nell, Andreas Richter.2000. Catastrophe Index-Linked Securities and Reinsurance as Substituties. Working Paper Series:Finance and Accounting, Goethe-University Frankfurt/Main Nr.56.
[7]Wang. S.S, Young, Y.R.& H.H.Panjer.1997. Axiomatic Characterization of Insurance Prices. Insurance Mathematics and Economics, Vol.21,173-183
[8]Wang S.S.2000. A Class of Distortion Operators for Pricing Financial and Insurance Risks. Journal of Risk and Insurance,67, p15-36
[9]Morton Lane N.1989. Risk Cubes or Price, risk and Ratings (part 2). Journal of risk Finance, Vol.1, No1
[10]Christofides S.& A. D. Smith.2001. DFA-The Value of risk [EB].CAS Spring Forum, Casualty Actual Society
[11]Thomas, B.1997. Homogenizing Catastrophic Risk:An Overview of Catastrophe Indices. Unpublished manuscript.
[12]Managing Catastrophic Risk:Developments in Capital Market Alternatives to Reinsurance Sylvie Bouriaux, Ph. D. Richard MacMinn, Ph. D. College of Business Illinois State University, Presentation for the Third Annual Illinois State University Actuarial Research Event. April 19th,2007
[13]吴小平.保险业在灾害管理中的作用.中国保险监督管理委员会网站
[14]潘席龙,陈东.设立我国巨灾补偿基金研究.西南金融,2009(1)
[15]何敏峰.保险风险证券化问题探讨.证券与保险,2007(3)
[16]张晓琴.巨灾风险债券及其在我国的运用研究.四川大学硕士学位论文.2005.
[17]栾存存.保险证券化.中国社会科学院经济研究所研究报告2003年
[18]陆珩.保险风险证券化——巨灾债券.华东经济管理,2003(8)：17
[19]李娜.巨灾风险证券化研究.北京工商大学硕士学位论文.2003.
[20]杨宝华.中国巨灾保险债券的运作机制构想.上海保险,2004(10)增刊
[21]邱峰.保险风险证券化研究——以巨灾风险证券化为例.苏州大学硕士学位论文.2006.
[22]许丁元.巨灾债券转移风险之研究.台湾国立中央大学硕士论文.2006.
[23]朱文轶,秦翠莉.灾害地图：按图索赔.三联生活周刊,2008(47)
[24]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
[25]苏龙.浅谈巨灾风险证券化在我国的应用.西南财经大学硕士论文.2006.
[26]韩天雄、陈建华.巨灾风险证券化产品的定价问题.保险研究,2003.(12)
[27]谢家智、蒲林昌.保险业巨灾风险管理工具的创新问题研究.重庆社会科学,2003(6)
[28]施建祥、邬云玲.我国巨灾保险风险证券化研究—台风灾害债券的设计.金融研究,2006(5)：103-111
[29]张洪涛、黄薇.巨灾风险管理—中国发展巨灾债券的构想.保险研究,2006(2)
[30]田玲、向飞.基于风险定价框架的巨灾债券定价模型比较研究.武汉大学学报(哲学社会科学版),2006(3)
[31]田玲、王萍.巨灾风险债券的经济学分析.数量经济技术经济研究,2003(11)
[32]姚壬元.巨灾风险证券化研究.中南财经政法大学学报,2004.
3 Robert Goshay and Richard Sandor,1973, "An Inquiry into the Feasibility of a Reinsurance Futures Market", Journal of Business Finance, Vol.5, No.2.56-66
4参考何敏峰.保险风险证券化问题探讨.证券与保险,2007(3)
5张晓琴.巨灾风险债券及其在我国的运用研究.四川大学硕士论文.2005
12李娜.巨灾风险证券化研究.北京工商大学硕士学位论文.2003
13杨宝华.中国巨灾保险债券的运作机制构想.上海保险.2004.10增刊
14邱峰.保险风险证券化研究——以巨灾风险证券化为例.苏州大学硕士学位论文.2006
15 John DeMartini, David Langdon. Actual versus modeled loss-A review of the 2004-2005 hurricane seasons. Reinsurance Association of America & Towers Perrin Reinsurance. May 3,2006
16许丁元.巨灾债券转移风险之研究.台湾国立中央大学硕士论文.2006
18据中国债券信息网http://www.chinabond.com.cn
19中国巨灾保险债券的运作机制构想,杨宝华,上海保险2004.10增刊
20保险风险证券化研究——以巨灾风险证券化为例.邱峰.苏州大学硕士论文.2006
21朱文轶,秦翠莉.灾害地图：按图索赔.三联生活周刊2008年.第47期
22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
23苏龙.浅谈巨灾风险证券化在我国的应用.西南财经大学硕士论文.2006
[1]Robert Goshay and Richard Sandor.1973. "An Inquiry into the Feasibility of a Reinsurance Futures Market". Journal of Business Finance, Vol.5, No.2.56-66
[2]Henri Louberge, Evis Kellezi and Manfred Gilli.1999. Using Catastrophe-Linked Securities to Diversify Insurance Risk:A Financial Analysis of CAT bonds. Journal of Insurance Issues,22(2),125-146
[3]Kenneth A. Froot.1999. "The Evolving Market for Catastrophe Event Risk". NBER Working Paper 7287
[4]Kenneth A. Froot.1999. "The Financing of Catastrophe Risk". National Bureau of Economic Research Project Report
[5]Smauel H. Cox and Hal W. Pedersen.1997. Catastrophe Risk Bonds. North American Actuarial Journal, Volume 4, Numeber4
[6]Martin Nell, Andreas Richter.2000. Catastrophe Index-Linked Securities and Reinsurance as Substituties. Working Paper Series:Finance and Accounting, Goethe-University Frankfurt/Main Nr.56.
[7]Wang. S.S, Young, Y.R.& H.H.Panjer.1997. Axiomatic Characterization of Insurance Prices. Insurance Mathematics and Economics, Vol.21,173-183
[8]Wang S.S.2000. A Class of Distortion Operators for Pricing Financial and Insurance Risks. Journal of Risk and Insurance,67, p15-36
[9]Morton Lane N.1989. Risk Cubes or Price, risk and Ratings (part 2). Journal of risk Finance, Vol.1, No1
[10]Christofides S.& A. D. Smith.2001. DFA-The Value of risk [EB].CAS Spring Forum, Casualty Actual Society
[11]Thomas, B.1997. Homogenizing Catastrophic Risk:An Overview of Catastrophe Indices. Unpublished manuscript.
[12]Managing Catastrophic Risk:Developments in Capital Market Alternatives to Reinsurance Sylvie Bouriaux, Ph. D. Richard MacMinn, Ph. D. College of Business Illinois State University, Presentation for the Third Annual Illinois State University Actuarial Research Event. April 19th,2007
[13]吴小平.保险业在灾害管理中的作用.中国保险监督管理委员会网站
[14]潘席龙,陈东.设立我国巨灾补偿基金研究.西南金融,2009(1)
[15]何敏峰.保险风险证券化问题探讨.证券与保险,2007(3)
[16]张晓琴.巨灾风险债券及其在我国的运用研究.四川大学硕士学位论文.2005.
[17]栾存存.保险证券化.中国社会科学院经济研究所研究报告2003年
[18]陆珩.保险风险证券化——巨灾债券.华东经济管理,2003(8)：17
[19]李娜.巨灾风险证券化研究.北京工商大学硕士学位论文.2003.
[20]杨宝华.中国巨灾保险债券的运作机制构想.上海保险,2004(10)增刊
[21]邱峰.保险风险证券化研究——以巨灾风险证券化为例.苏州大学硕士学位论文.2006.
[22]许丁元.巨灾债券转移风险之研究.台湾国立中央大学硕士论文.2006.
[23]朱文轶,秦翠莉.灾害地图：按图索赔.三联生活周刊,2008(47)
[24]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
[25]苏龙.浅谈巨灾风险证券化在我国的应用.西南财经大学硕士论文.2006.
[26]韩天雄、陈建华.巨灾风险证券化产品的定价问题.保险研究,2003.(12)
[27]谢家智、蒲林昌.保险业巨灾风险管理工具的创新问题研究.重庆社会科学,2003(6)
[28]施建祥、邬云玲.我国巨灾保险风险证券化研究—台风灾害债券的设计.金融研究,2006(5)：103-111
[29]张洪涛、黄薇.巨灾风险管理—中国发展巨灾债券的构想.保险研究,2006(2)
[30]田玲、向飞.基于风险定价框架的巨灾债券定价模型比较研究.武汉大学学报(哲学社会科学版),2006(3)
[31]田玲、王萍.巨灾风险债券的经济学分析.数量经济技术经济研究,2003(11)
[32]姚壬元.巨灾风险证券化研究.中南财经政法大学学报,2004.