巨灾债券及其定价机制研究

发布时间：2018-02-17 04:00

本文关键词： 巨灾巨灾债券巨灾保险债券定价　出处：《西南财经大学》2014年硕士论文　论文类型：学位论文

【摘要】：近年来,巨灾事件导致的经济损失及其发生频率呈现上升趋势。各种自然灾害造成的巨灾使得保险公司的承保能力严重不足,给他们的偿付能力带来巨大的挑战,同时,再保险公司的承保能力也不足以满足保险市场对分散巨灾风险的需求。在此背景下,国际保险市场出现了以巨灾债券为典型代表的新型风险管理手段,以期通过保险市场与资本市场之间的深层次融合来共同应对巨灾风险。巨灾债券是一种保险公司构造和发行的用于风险转移或筹措资金的创新型金融工具,它利用资本市场上投资者众多、市场容量大、资金充裕、风险高度分散等特点,将保险市场上的风险进行分割和标准化,从而把风险转嫁到资本市场。巨灾债券本身作为连接资本市场和保险市场的工具,是巨灾风险证券化的主要手段之一,通过资本市场最大限度的分散风险已成为国际上应对巨灾的一个重要手段。巨灾债券在拓展了保险市场承保范围的同时,也为资本市场提供了更多的低风险、高收益的投资工具,有利于加强公司的风险管理,保证市场的稳定。因此,发行巨灾债券,借助资本市场来分散巨灾风险,不仅可以缓解保险公司面临的承保能力不足的压力,而且能够减轻国家财政对巨灾进行的补偿负担。我国作为自然灾害的高发地区,灾害种类多样,每年因自然灾害导致的经济损失极其严重。进入21世纪后,各种自然灾害造成的直接经济损失明显加重,2000—2012年年均经济损失高达约3300亿元,巨额的经济损失给人民生产生活和国民经济健康稳定发展造成了极大的影响。而我国传统的巨灾损失补偿主要依靠政府的财政资金和社会救济,通过保险途径对巨灾损失的补偿却相当的少。因此,这样的巨灾损失补偿方式存在很大的问题,一方面财政补偿方式由于受经济目标约束,具有一定刚性,在资金来源、补偿效率、补偿程度等方面都存在一定的局限性。另一方面,受偿付能力等因素制约,中国财产保险行业承保能力明显不足,无力承担巨灾风险责任的巨额损失。因而每次巨灾导致的大部分损失仍由受灾人自身承担。对此,我国需要建立起相应的巨灾保险制度,以应对每次发生的巨灾灾害。因此,巨灾债券作为解决巨灾风险的有效途径之一,就要求密切关注国际保险业发展的这一新动向,对巨灾债券的运行机制和定价等问题展开深入研究,探索和研究适合中国巨灾债券的途径选择,促使巨灾风险保险体系不断完善,不仅有利于中国保险业自身的发展,而且对于构建和谐社会,实现国家社会经济可持续健康发展均具有积极意义。本文主要围绕巨灾债券的运行机制与定价进行分析,首先详细介绍了我国巨灾保险市场的现状,通过分析我国保险市场的承保能力,提出巨灾债券是我国应对巨灾风险的现实选择。根据国外关于对巨灾债券的运行机制及其定价的研究,期望建立起适应我国国情的巨灾债券运行模式,在此基础上,对我国地震巨灾债券进行了初步设计,并对地震损失分布进行了拟合。主要包括以下几个部分：第一部分是本文的绪论,论述了本文研究的背景及意义,对国内外在巨灾风险可保性与再保险、巨灾债券运行机制、巨灾债券定价等方面的研究文献进行评述,并在此基础上,提出本文的研究内容和方法,及本文的主要创新点等。第二部分针对我国目前的巨灾保险市场进行了详细的介绍,深入分析了当前我国的巨灾损失补偿途径,说明我国巨灾保险制度缺位以及保险市场承保能力不足的问题,从我国发展巨灾债券的必要性和可行性两方面提出巨灾债券是我国应对巨灾风险的现实选择。第三部分介绍了巨灾发生前与发生后的巨灾债券的运行机制,以及对资本市场投资者的影响,分析了巨灾债券的多种触发机制及各自的优缺点,并就巨灾债券的发起人、投资者、SPV、信用评级机构等市场主要参与者进行了说明,最后介绍了巨灾债券成功发行的国际案例。第四部分分析了影响巨灾债券定价的主要因素,如不同触发机制对巨灾债券价格的影响,巨灾债券与资本市场其他产品的关联性,汇率与债券评级等因素的影响,重点介绍了三种经典的巨灾债券定价模型,并进行了比较分析。第五部分以地震为例,对我国的地震巨灾债券进行初步设计,同时以近二十几年的地震损失数据为样本,对地震的损失分布金额和损失分布次数进行拟合,并在此基础上利用利率的二项分布模型进行定价研究。最后,提出在我国现实国情下,通过借鉴国外的先进经验,发展我国巨灾保险市场的方法和措施。
[Abstract]:In recent years, catastrophic events caused economic losses and the frequency of occurrence of an upward trend. All kinds of natural disasters caused by the catastrophe insurance companies underwriting a serious shortage of capacity, bring great challenges to their solvency and reinsurance capacity is insufficient to meet the demand of insurance market to disperse catastrophe risk under this background. The international insurance market, a new risk management method to catastrophe bonds as a typical representative, in order to pass between the insurance market and capital market deep fusion to jointly cope with the catastrophe risk. Catastrophe bond is a kind of insurance company structure and issue for risk transfer or financing of innovative financial instruments, many investors use it the capital market, the market capacity, liquidity, risk characteristics of highly dispersed, the risk of insurance market segmentation and standard The risk is transferred to the capital market.
Catastrophe bond itself as the connection of the capital market and insurance market, is one of the main means of catastrophe risk securitization, the maximum capital market risk has become an important means of international response to catastrophe. Catastrophe bonds in the insurance market to expand insurance coverage at the same time, also provides a low risk for more capital market, high return investment instruments, to strengthen the risk management of the company, to ensure the stability of the market. Therefore, issuing catastrophe bonds, with the capital market to disperse catastrophe risk, can not only ease the underwriting insurance company is faced with insufficient ability stress, but also can reduce the burden of compensation of national financial catastrophe.
China is a natural disaster prone areas, various types of disasters, natural disasters every year because of the economic loss due to extremely serious. After entering in twenty-first Century, the direct economic losses caused by various natural disasters increased from 2000 to 2012 the average annual economic losses of up to about 330 billion yuan, which has a great influence on the huge economic losses to people's production life and the national economy healthy and stable development. And the catastrophe loss compensation in China rely mainly on the traditional government fiscal funds and social relief, by way of compensation for loss of catastrophe insurance is quite small. Therefore, there is a big problem in this kind of way of compensation, a financial compensation due to economic constraints. Have certain rigidity, the efficiency of compensation in the source of funds, compensation, etc. there are some limitations. On the other hand, is restricted by factors such as solvency, Chinese The property insurance industry underwriting capacity is obviously insufficient, unable to bear the huge loss of catastrophe risk liability. Most of the losses thus caused shall be borne by each catastrophe still affected people. In this regard, China needs to establish the catastrophe insurance system, in order to cope with the catastrophe happened every time disaster.
Therefore, the catastrophe bonds as one of the effective ways to solve the catastrophe risk, this requires a new trend to pay close attention to the development of international insurance industry, the problem of operating mechanism and the pricing of catastrophe bonds, exploration and selection of ways for Chinese catastrophe bonds, the catastrophe risk insurance system continues to improve, not only conducive to the development of Chinese insurance itself, but also for building a harmonious society, are of positive significance to achieve sustainable and healthy development of national economy and society.
This paper mainly focuses on the operation mechanism and the pricing of catastrophe bonds is analyzed, first introduced the status quo of catastrophe insurance market in our country, through the analysis of China's insurance market capacity, the catastrophe bond is a realistic choice to deal with catastrophe risk in China. According to the research on the operation mechanism of catastrophe bond pricing and abroad, hoping to establish according to the operation mode of catastrophe bonds in China, on the basis of China's earthquake catastrophe bond in the preliminary design, and the earthquake loss distribution was fitted. Mainly includes the following parts:
The first part is the introduction, discusses the background and significance of this study, the domestic and foreign catastrophe risk insurability reinsurance and catastrophe bonds, operation mechanism, research of catastrophe bonds pricing and other aspects of the review, and on this basis, this paper puts forward the research contents and methods, and the main innovation.
The second part detailed introduction to our current catastrophe insurance market, in-depth analysis of the current our country compensation way, that the catastrophe insurance system in China and the absence of the capability of insurance industry problems, put forward catastrophe bonds from the two aspects of necessity and feasibility of developing catastrophe bonds in China is a realistic choice to deal with catastrophe risk in China.
The third part introduces the operation mechanism of catastrophe occurred before and after the occurrence of catastrophe bonds, as well as the impact on the capital market investors, analyzed several kinds of catastrophe bonds trigger mechanism and their respective advantages and disadvantages, and sponsors on catastrophe bond investors, SPV, credit rating agencies and other market participants are described, finally the success of catastrophe bonds issued by the international case.
The fourth part analyzes the main factors affecting the pricing of catastrophe bond, such as different trigger mechanism influence on the price of catastrophe bonds, related catastrophe bonds and capital market of other products, the impact of exchange rate and bond rating and other factors, mainly introduced three classic catastrophe bond pricing model, and comparative analysis.
The fifth part of the earthquake as an example, the preliminary design for China earthquake catastrophe bonds, while nearly 20 years of earthquake loss data as the sample, fitting the seismic loss distribution and the amount of loss distribution, pricing rate of two using the distribution model and on this basis.
In the end, the methods and measures for developing the catastrophe insurance market in China are put forward by using the advanced experience of foreign countries in the actual conditions of our country.

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F842.64

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