巨灾风险分散模式及巨灾债券定价研究

发布时间：2018-01-09 19:24

本文关键词：巨灾风险分散模式及巨灾债券定价研究　出处：《云南大学》2012年硕士论文　论文类型：学位论文

【摘要】：我国是一个自然灾害频发的国家,近年来随着国民经济的迅速发展、人口和财富日趋增长,自然灾害带来的经济损失呈现高速增长的趋势。而目前我国巨灾风险管理手段却相对单一,主要以各级财政、社会捐助等手段筹措资金进行事后风险管理为主,与此同时缺乏全面的巨灾风险转移和分散工具,目前我国能够转移巨灾风险的管理工具只有保险一种,加之国民保险意识不高,商业保险公司承保率不足等问题,保险市场和资本市场所发挥的巨灾风险管理作用极其有限,2008年汶川地震,保险业总共赔付金额仅有16.6亿元,仅占全部经济损失的0.196%,给灾后政府、人民恢复生产、生活造成了严重的制约；同时另一方面又造成有限的国家财政资源的大量额外性支出。为了降低巨灾风险造成的损失、提高巨灾风险管理水平,我们必须总结一些发达国家对巨灾风险管理的理论与实践经验,探索每种应对灾害风险的分担机制和补偿方式中的内在联系,从而帮助我国构建适合于中国国情的巨灾风险管理体系。首先,本文从对巨灾风险的识别、特征进行介绍,描述我国目前巨灾风险的种类、危害等基本情况,并结合“脆弱性”的分析,简要介绍巨灾风险评估方式。其次,从理论层面总结归纳了巨灾风险管理的主要策略,通过分析国内目前巨灾风险的管理现状,并结合国外先进的巨灾风险管理经验,研究我国目前巨灾风险管理的不足以及国外巨灾风险管理所带来的启示。再有,对现有的巨灾风险证券化工具进行系统介绍和研究,并结合我国当前国情,就实施巨灾风险证券化的必要性、可行性以及主要思路进行深入探讨。最后,结合我国现阶段保险市场和资本市场的情况,建议首先引进巨灾债券这种巨灾风险管理工具,并对基于精算方式的巨灾债券定价模型进行分析研究,同时根据笔者所收集的225次洪水灾害损失数据,尝试性的对我国洪水巨灾债券产品进行定价研究。
[Abstract]:China is a country with frequent natural disasters. In recent years, with the rapid development of the national economy, the population and wealth are increasing day by day. The economic losses caused by natural disasters show a trend of rapid growth. However, at present, the means of catastrophe risk management in China is relatively single, mainly by various levels of finance, social donations and other means to raise funds for risk management after the event. At the same time, there is a lack of comprehensive catastrophe risk transfer and dispersal tools. At present, insurance is the only management tool to transfer catastrophe risk, and the awareness of national insurance is not high. Commercial insurance companies underwriting rate is insufficient, insurance market and capital markets play a very limited role in catastrophe risk management, 2008 Wenchuan earthquake, the insurance industry only 1.66 billion yuan. Only 0.196% of the total economic losses, to the government after the disaster, the people to resume production, life caused serious constraints; At the same time, on the other hand, it causes a large amount of extra expenditure of limited national financial resources. In order to reduce the losses caused by catastrophe risk and improve the level of catastrophe risk management, we must sum up the theory and practical experience of catastrophe risk management in some developed countries. In order to help China to build a disaster risk management system suitable for China, this paper explores the internal relationship between each mechanism of disaster risk sharing and compensation. First of all, this paper introduces the identification and characteristics of catastrophe risk, describes the current catastrophe risk types, hazards and other basic conditions, and combined with the "vulnerability" analysis. Secondly, summarized the main strategies of catastrophe risk management from the theoretical level, through the analysis of the current situation of catastrophe risk management in China. Combined with the advanced experience of catastrophe risk management in foreign countries, this paper studies the deficiencies of catastrophe risk management in China and the enlightenment brought by foreign catastrophe risk management. This paper systematically introduces and studies the existing tools of catastrophe risk securitization, and discusses the necessity, feasibility and main ideas of implementing catastrophe risk securitization according to the current situation of our country. Considering the current situation of insurance market and capital market in our country, it is suggested to introduce catastrophe bond as a catastrophe risk management tool, and to analyze and study the pricing model of catastrophe bond based on actuarial method. At the same time, based on 225 flood disaster loss data collected by the author, the pricing of flood catastrophe bonds in China is studied.
【学位授予单位】：云南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

【参考文献】