苏皖地区洪涝灾害风险证券化研究

发布时间：2018-11-05 15:23

【摘要】：苏皖地区位于我国东部,地跨长江、淮河两大流域。受江淮流域季风气候等影响,降水偏多且年际分布不均匀,台风、洪涝等气象巨灾频繁发生。长期以来,面对洪涝灾害造成的巨额经济损失,都是政府充当了最大的救济者。随着损失的不断增大,政府的财政压力加重,传统的灾害管理模式渐渐失灵。由于我国巨灾风险保障体系不健全,一旦洪涝巨灾发生,保险公司连带再保险公司都可能面临破产。为此越来越多的保险公司开始将目光转向实力雄厚的资本市场,来转嫁洪涝巨灾风险,缓解资金不足等问题,洪涝灾害风险证券化油然而生,具有很大的发展潜力。因此研究洪涝灾害风险证券化是我国保险业和政府所需关注的重要前沿课题,具有重要的经济意义和社会意义。本文首先从苏皖地区洪涝灾害风险管理现状出发研究传统灾害管理模式的局限性,以及尽快发展洪涝巨灾债券的必要性。其次利用现金流贴现模型对两时期和多时期下洪涝债券的定价问题进行精算分析,分析了不同风险下再保险公司的分保成本及再保险费率问题。再次运用SPSS构建苏皖地区1981—2012年洪涝灾害的损失分布模型,结合资本资产定价模型来完成洪涝债券的初步定价设计并加以完善。最后从实际出发,借鉴国外经验,从完善再保险市场和逐步发展洪灾保险证券化两方面,探索我国成功发展洪涝灾害保险证券化的有效途径。
[Abstract]:Jiangsu-Anhui region is located in the east of China, across the Yangtze River, Huaihe River basin. Influenced by the monsoon climate of the Jianghuai River Basin, the precipitation is on the high side and the interannual distribution is uneven. Typhoon, flood and other meteorological catastrophes occur frequently. For a long time, the government has acted as the biggest relief because of the huge economic losses caused by flood disaster. With the increasing of losses, the financial pressure of the government is increasing, and the traditional disaster management mode is gradually out of order. Due to the imperfect system of catastrophe risk protection in China, once floods occur, insurance companies may face bankruptcy. For this reason, more and more insurance companies begin to turn their eyes to the strong capital market to transfer the flood catastrophe risk and alleviate the shortage of funds. The flood disaster risk securitization arises spontaneously and has great development potential. Therefore, the study of flood risk securitization is an important frontier subject that the insurance industry and the government should pay attention to, which has important economic and social significance. Based on the current situation of flood risk management in Jiangsu and Anhui provinces, this paper studies the limitation of traditional disaster management model and the necessity of developing flood catastrophe bond as soon as possible. Secondly, using the discounted cash flow model, this paper makes an actuarial analysis on the pricing of flood bonds in two and more periods, and analyzes the reinsurance costs and reinsurance rates of reinsurance companies under different risks. The loss distribution model of flood disaster in Jiangsu and Anhui provinces from 1981 to 2012 is constructed by using SPSS, and the preliminary pricing design of flood bonds is completed and perfected with the capital asset pricing model. Finally, from the practical point of view, drawing on the experience of foreign countries, and from two aspects of perfecting the reinsurance market and developing flood insurance securitization step by step, this paper explores the effective ways to successfully develop the flood insurance securitization in China.
【学位授予单位】：南京信息工程大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;P426.616

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