巨灾债券的发展及其在中国保险业的应用研究

发布时间：2018-02-01 12:58

本文关键词： 巨灾债券保险业巨灾债券定价道德风险　出处：《武汉理工大学》2012年博士论文　论文类型：学位论文

【摘要】：20世纪90年代以来,全球范围内巨灾事件的频繁发生带给世界人民巨大的恐惧,而传统的保险市场对巨灾风险又无法起到分散作用,因此探讨如何利用资本市场来分散巨灾风险具有现实意义。在诸多的保险证券化产品中发展最迅速的是巨灾债券,它的产生和引入既解决了保险市场存在的承保能力不足又活跃了资本市场,然而巨灾债券的成功应用主要在西方发达国家,我国一直处于理论分析探讨阶段,为了促进我国巨灾债券的应用,本文考察了巨灾债券的运行特征,分析了发行主体间的博弈过程,设计了巨灾债券定价模型,比较了各国巨灾债券发展的特点,在总结我国保险业发展巨灾债券的必要性与可行性的基础上,设计了中国保险业巨灾债券方案和地震巨灾债券定价模型。本文共有十章。除第一章的导论和第十章的总结与研究展望外,第二章至九章是全文的重点。第二章是全文的理论基础,第三章通过对巨灾债券特征及运行分析,对巨灾债券的发展现状进行了描述,通过比较巨灾债券和再保险的优势和劣势,分析了巨灾债券发行过程及参与者。第四章是巨灾债券发行主体的博弈分析,主要通过巨灾债券发行主体博弈模型的构建,从博弈论的角度来重点剖析巨灾债券发行主体之间存在的道德风险,对巨灾债券发行主体博弈模型进行求解,从而获得巨灾债券发行主体的博弈结果。第五章是巨灾债券定价模型及扩展,分析比较了巨灾债券各种定价模型之间的异同,并在传统的蒙特卡罗模拟定价方法中加入了道德风险因素,产生了一种新的巨灾债券定价方法。第六章是巨灾债券发展案例及对中国保险业的启示,通过对美国、日本和中国台湾巨灾债券案例分析和比较,得出中国保险业要开辟巨灾债券市场,应该从发展、繁荣保险市场和资本市场,建立风险评估机构等入手等主要启示。第七章是中国保险业发展巨灾债券的必要性与可行性分析,由于保险业的发展迫切需要巨灾债券,也由于发展巨灾债券是丰富资本市场的有效途径,因此中国保险业发展巨灾债券具有必要性；无论是法律还是政策方面,抑或是市场和技术方面,都为发展巨灾债券做好了准备。第八章是中国保险业发展巨灾债券的方案设计。揭示了巨灾债券的应用影响因素,提出了通过完善金融市场建设、构建道德风险防范体系、健全巨灾债券定价机制等对策来加强中国保险业巨灾债券的应用。第九章是以地震巨灾债券为例设计了中国保险业巨灾债券定价模型,在构建模型中,对样本数据进行了选取,对损失概率和损失分布、地震债券发行量和地震债券收益率以及地震债券发行价格进行了确定,分析了地震债券定价的应用。
[Abstract]:Since 1990s, the frequent occurrence of catastrophe events around the world has brought great fear to the people of the world, and the traditional insurance market can not play a role in dispersing the catastrophe risk. Therefore, it is of practical significance to explore how to use capital market to disperse catastrophe risk. Catastrophe bond is the most rapid development of many insurance securitization products. Its emergence and introduction not only solve the underwriting capacity of the insurance market but also activate the capital market. However, the successful application of catastrophe bonds is mainly in the western developed countries, China has been in the stage of theoretical analysis and discussion. In order to promote the application of catastrophe bonds in China, this paper investigates the operating characteristics of catastrophe bonds, analyzes the game process among the issuers, designs the pricing model of catastrophe bonds, and compares the characteristics of the development of catastrophe bonds in various countries. On the basis of summing up the necessity and feasibility of the development of catastrophe bonds in China's insurance industry, the scheme of catastrophe bonds and the pricing model of earthquake catastrophe bonds are designed. There are ten chapters in this paper. Besides the introduction of the first chapter and the summary and research prospect of the 10th chapter, the second to ninth chapters are the focus of the paper. The second chapter is the theoretical basis of the full text. The third chapter describes the development status of catastrophe bonds by analyzing the characteristics and operation of catastrophe bonds and compares the advantages and disadvantages of catastrophe bonds and reinsurance. Chapter 4th is the game analysis of catastrophe bond issuer, mainly through the construction of the game model of catastrophe bond issuer. From the point of view of game theory, this paper analyzes the moral hazard existing between catastrophe bond issuers, and solves the game model of catastrophe bond issuer. Chapter 5th is the pricing model and extension of catastrophe bond, and analyzes and compares the similarities and differences between various pricing models of catastrophe bond. And in the traditional Monte Carlo simulation pricing method to add moral hazard factors, resulting in a new catastrophe bond pricing method. Chapter 6th is catastrophe bond development cases and the inspiration to the Chinese insurance industry. Through the case analysis and comparison of catastrophe bonds of the United States, Japan and Taiwan, it is concluded that the insurance industry of China should develop and prosper the insurance market and capital market in order to open up the catastrophe bond market. Chapter 7th is the necessity and feasibility analysis of the development of catastrophe bonds in China's insurance industry, because the development of insurance industry is in urgent need of catastrophe bonds. Because the development of catastrophe bonds is an effective way to enrich the capital market, it is necessary for China's insurance industry to develop catastrophe bonds. Whether in law or policy, or in markets and technology. Chapter 8th is the scheme design of catastrophe bond development of China insurance industry. It reveals the influencing factors of the application of catastrophe bond and puts forward the improvement of financial market construction. In order to strengthen the application of catastrophe bond in China, the author designs the pricing model of catastrophe bond in China by taking earthquake catastrophe bond as an example. In the model, the sample data are selected, the loss probability and loss distribution, the amount of earthquake bond issuance and the yield of earthquake bond and the price of earthquake bond issuance are determined. The application of seismic bond pricing is analyzed.
【学位授予单位】：武汉理工大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F842;F831.51

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