臺灣博碩士論文加值系統

近年來，頻繁且嚴重的巨災事件已造成再保險公司重大的損失，使得再保險公司權益價值受到嚴重侵蝕，增加再保險公司的破產風險，進而影響再保險契約的評價。在這些因素考量下，此時除了巨災風險之外，再保險公司權益價值下檔風險的轉移也是重要的考量因素。
本篇文章建構一種或有求償權架構評價再保險契約，並提出混合巨災債券，檢視再保險公司如何藉由發行巨災債券或混合巨災債券降低違風險並增加再保險契約價值。再保險公司發行目的在於將巨災風險轉移至資本市場解決巨災發生時再保險公司面對資本不足問題。但近年來天災事件的發生愈來愈頻繁，造成規模龐大的財務損失，此種現象造成更嚴峻的巨災風險。文獻上提出巨災債券因為受到市場發行量因素，已經無法滿足再保險公司需求。本文根據Barrieu and Louberge (2009)提出混合商品概念，創造出一種巨災債券與巨災權益賣權結合之混合巨災債券。此種混合型債券擁有損失前與損失後融資的商品性質，更能夠進一步提供再保險公司風險移轉管道。最後結果顯示再保險契約與違約風險溢酬價值變動和基差風險、觸發水準、巨災風險、利率風險與再保險公司期初資本比率有相關。在巨災債券設定相同前題下，縱使考量基差風險與期初巨災權益賣權權利金支付的情況下，相較於發行巨災債券，發行混合巨災債券更能夠減少違約風險溢酬與增加再保險契約價值，即組合型商品較單一型商品更能增加再保險契約的價值，此時再保險公司發行此種混合巨災債券商品會更有利。

In recent years, frequent and severe catastrophic events have caused significant loss to reinsurance companies, which seriously eroded equity value, increased bankruptcy risk, and thereby affected reinsurance contract valuation. When considering various risk factors, downside risk transfer in equity value of reinsurance companies, in addition to catastrophe risk transfer, has also become one of the factors to consider.

This study constructs a contingent claim framework designed to evaluate reinsurance contracts and proposed-hybrid catastrophe (CAT) bond to scrutinize reinsurance companies as to how they reduce default risk and increase reinsurance contract value by issuing CAT or hybrid CAT bonds. The aim of reinsurance companies in issuing these bonds is to transfer catastrophe risk to capital market as a way to address the capital shortage problems these reinsurance companies had to face during catastrophe events. However, with an unprecedented number of natural disasters of recent years, along with resulting huge economic losses, catastrophe risk situation has become more serious. As suggested in literature, CAT bonds have been unable to meet the requirements of reinsurance companies due to the amount of issuance in the market. Based on the concept of hybrid instruments proposed by Barrieu and Louberge (2009), the study designed a variation of hybrid catastrophe bond that combines CAT bond with a catastrophe equity put option. Such a bond possesses instrument characteristics of pre- and post-loss financing that will better provide channels for risk transfer. Results showed that changes, basis risks, trigger levels, and catastrophe risks inherent in reinsurance contract and default risk premium value are related to the initial capital structure of the reinsurance company. Under the premise that instruments are set the same, even with the consideration of basis risk, the issuing of hybrid CAT bonds is comparable to that of CAT bonds in that it can further reduce default risk premium and increase reinsurance contract value. That is, a combination type of instrument is more able to increase the value of reinsurance contract than one that is standalone. It is more beneficial to reinsurance companies now if such type of hybrid CAT bond instrument were issued.

第一章、緒論
第二章、再保險公司模型設定
第一節、資產變動過程
第二節、利率變動過程
第三節、負債變動過程
第四節、巨災損失變動過程
第三章、巨災再保險契約的評價
第一節、無發行情況
一、無違約風險
二、違約風險
第二節、發行巨災債券
一、基差風險
第三節、發行混合巨災債券
第四節、巨災權益賣權成本
第五節、保費責任比
第四章、數值分析
第一節、違約風險
第二節、發行巨災債券
一、無基差風險
二、基差風險
第三節、發行混合巨災債券
一、無基差風險
二、基差風險
第四節：利率風險管理
第五章、結論
第一節、研究結論
第二節、研究建議
附錄A
附錄B
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