基于公共私人合作的巨灾债券设计与定价

发布时间：2018-07-06 12:51

本文选题：巨灾债券 + 公共私人合作　；参考：《中国科学技术大学》2012年博士论文

【摘要】：在巨灾损失不断攀升的趋势下,对巨灾风险管理和融资显得尤为重要。目前,国际上最为认可和支持的是通过发展巨灾保险来拓展巨灾损失的融资渠道。然而,由于巨灾风险自身的特点,很多国家商业性的巨灾保险市场出现了供需双冷的局面,巨灾的灾前融资机制并没有起到人们预期中的作用。究其原因,主要是因为巨灾风险融资具有准公共品性,而巨灾风险融资的准公共品性,可以通过公共私人合作的方式解决。公共部门和私人部门为了提供某种公共服务,可通过公共私人合作方式,建立起一种长期的合作伙伴关系,公共部门和私人部门能在这样的伙伴关系中,发挥各自的优势提供公共服务,共同分担风险、分享收益。目前,一方面,我国在公共私人合作方面已具有初步的理论基础和实践操作,另一方面,金融一体化和金融创新发展,使得保险市场和资本市场能够连接起来,越来越多的保险资金在资本市场进行多种渠道的投资,而资本市场的雄厚的资金实力也为一些巨灾损失提供一定的保障,这为巨灾风险证券化奠定了基础。本文正是基于公共私人合作理论,结合巨灾风险证券化中最为成功的巨灾债券的实践和理论分析,构建了一个基于公共私人合作的,包含政府公共部门,保险市场、资本市场在内的巨灾风险管理融资体系,并运用实证分析、案例分析、均衡分析、博弈分析及金融资产定价理论对基于公共私人合作的巨灾债券进行了设计和定价。第1章为导论,介绍了研究背景、相关文献综述、研究思路方法、文章主要内容、结构安排及创新点等。近年来,巨灾损失频繁发生,对巨灾风险管理和融资理论的研究对实践具有重大的现实意义。这一章对巨灾债券、公共私人合作、政府通过公共私人合作来干预巨灾风险管理等相关文献及理论基础进行了梳理和回顾,并阐述了论文的框架和创新点。第2章首先对巨灾及巨灾风险管理进行了概念阐述,对巨灾风险证券化最为成功的产品——巨灾债券的运作机制、触发机制、定价等方面进行了概念的梳理。介绍了巨灾债券发行的基本概况,并基于投资组合理论,利用国际股票市场、房地产市场、公司债券市场、商品市场以及巨灾债券市场的指标数据,对巨灾债券对投资组合的影响进行实证分析,详细分析了巨灾债券在金融危机前后以及金融危机期间对投资组合的影响。第3章从巨灾风险融资的准公共品性入手,分析了巨灾风险的不可保性,巨灾市场保险失灵以及政府通过公共私人合作的方式如何干预巨灾保险市场,考察了政府与私人保险公司之间基于公共私人合作的风险分担机制对保险市场均衡的影响,具体举措包括政府向私人保险公司提供再保险服务、支付巨灾保险业务佣金以及政府发行巨灾债券等。最后给出了基于公共私人合作的巨灾风险管理的一些案例并进行评析与总结。第4章对巨灾融资水平进行阐述,并基于公共私人合作,为在巨灾融资水平3以上的国家,构建了包含了政府公共部门、保险市场、资本市场在内的巨灾风险管理的基本框架,并对基于公共私人合作的巨灾债券的参与主体、具体结构、发行流程进行了设计。第5章对基于公共私人合作的巨灾债券的风险分担进行研究。首先基于信息传递博弈理论分别对政府公共部门与保险市场的巨灾风险分担、政府公共部门与资本市场的巨灾风险分担进行分析,得到混同策略和分离策略下的完美贝叶斯均衡的条件。最后结合巨灾建模理论、巨灾债券定价模型、随机利率分布模型的分析研究,给出了基于公共私人合作巨灾债券的定价模型与定价步骤。第6章对较为成功的基于公共私人合作的巨灾债券——2006年墨西哥政府发行的纯参数巨灾债券的设计及其定价进行了实证分析。第7章在分析中国地震巨灾风险管理现状的基础上,设计了基于公共私人合作的中国地震巨灾债券,包括中国地震巨灾债券的基本框架、参与主体与具体结构等。并以中国大陆1996——2011年间的地震巨灾损失数据作为样本,对地震巨灾损失进行建模,利用中国现行的基准利率及上海银行间同业拆放利率Shibor进行利率建模,结合基于公共私人合作的中国地震巨灾债券的具体结构给出了由政府发起的,基于公共私人合作的中国地震巨灾债券的具体定价结果。第8章是全文的总结与展望。
[Abstract]:In the trend of rising catastrophe loss, it is very important to manage and finance catastrophe risk. At present, the financing channel of catastrophe loss is expanded by developing catastrophe insurance in the world. However, because of the characteristics of catastrophe risk itself, there is a double cold supply and demand in the commercial catastrophe insurance market of many countries. The main reason is that catastrophe risk financing has quasi public character, and the quasi public character of catastrophe risk financing can be solved by the way of public private cooperation. The public sector and the private sector can pass the public service to provide some kind of public service. The way of public and private cooperation establishes a long-term partnership. The public sector and the private sector can provide public services, share risks and share profits in such partnerships.
At present, on the one hand, China has a preliminary theoretical basis and practical operation in the field of public and private cooperation. On the other hand, financial integration and financial innovation are able to connect the insurance market with the capital market, and more and more insurance funds are invested in various channels in the capital market, and the capital market is rich in capital. It is based on the practice and theoretical analysis of the most successful catastrophe bond in catastrophe risk securitization, which is based on the practice and theoretical analysis of the most successful catastrophe bond in the catastrophe risk securitization, which is based on the public joint private partnership, including the public sector of the government, and the insurance. The financial system of catastrophe risk management, including market and capital market, is designed and priced by empirical analysis, case analysis, equilibrium analysis, game analysis and financial asset pricing theory for the catastrophe bond based on public and private cooperation.
The first chapter is the introduction, introduced the research background, the related literature review, the research thinking method, the main content, the structure arrangement and the innovation point. In recent years, the catastrophe loss frequently occurred, the research on the catastrophe risk management and the financing theory has great practical significance to the practice. This chapter is on the catastrophe bond, the public private cooperation, the government through The literature and theoretical basis of public private cooperation to intervene catastrophe risk management are reviewed and reviewed, and the framework and innovation of the paper are elaborated.
The second chapter first introduces the concept of catastrophe and catastrophe risk management, the most successful product of the catastrophe risk securitization, the operation mechanism of catastrophe bond, the trigger mechanism, the pricing and so on. It introduces the basic situation of the issue of catastrophe bond, based on the theory of portfolio, using the international stock market, and the real estate. The index data of the market, the corporate bond market, the commodity market and the catastrophe bond market, the impact of the catastrophe bond on the portfolio is empirically analyzed, and the impact of the catastrophe bond on the portfolio is analyzed in detail before and after the financial crisis and during the financial crisis.
The third chapter, starting with the quasi public character of the catastrophe risk financing, analyzes the insurability of catastrophe risk, the failure of the catastrophe market insurance and how the government intervenes in the catastrophe insurance market through the way of public private cooperation, and investigates the balance of risk sharing mechanism between the government and private insurance companies on the basis of public private and private cooperation. The specific measures include the government's provision of reinsurance services to private insurance companies, the payment of catastrophe insurance business commission and the government issue of catastrophe bonds. Finally, some cases of catastrophe risk management based on public private cooperation are given and reviewed and summarized.
The fourth chapter expounds the level of catastrophe financing, and builds the basic framework of catastrophe risk management including the government public sector, the insurance market and the capital market, based on the public private cooperation, and the main body, the concrete structure and the circulation flow of the catastrophe bonds, which are based on the public private joint work. The design was carried out.
The fifth chapter studies the risk sharing of catastrophe bonds based on public private cooperation. First, based on the information transfer game theory, the catastrophe risk sharing of the government public sector and the insurance market, and the catastrophe risk sharing between the government public sector and the capital market are analyzed, and the perfect Bayes under the mixed strategy and the separation strategy are obtained. In the end, combining the catastrophe modeling theory, the catastrophe bond pricing model and the stochastic interest rate distribution model, the pricing model and pricing steps of the catastrophe bond based on public private partnership are given.
The sixth chapter makes an empirical analysis of the more successful catastrophe bond based on public private cooperation - the design and pricing of the pure parameter catastrophe bond issued by the Mexico government in 2006.
The seventh chapter, based on the analysis of the current situation of earthquake catastrophe risk management in China, designs a Chinese earthquake catastrophe bond based on public private cooperation, including the basic framework of the Chinese earthquake catastrophe bond, the participants and the concrete structure, and takes the earthquake catastrophe loss data of the Chinese mainland for the period of 1996 to 2011 as a sample to damage the earthquake catastrophe. The model is lost and the interest rate modeling is made using the current benchmark interest rate in China and the interbank dismantling interest rate Shibor in Shanghai. The specific pricing results of the Chinese earthquake catastrophe bond, sponsored by the government and based on the public private cooperation, are given in combination with the concrete structure of the Chinese earthquake catastrophe bond based on public private cooperation.
The eighth chapter is the summary and Prospect of the full text.
【学位授予单位】：中国科学技术大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F832.51;F224

【参考文献】