近年來，世界各地人口密度與單位財產的價值都不斷上升；一但在人口密集的地區發生了嚴重的災害，則其發生的損失將是難以估計的龐大。傳統的保險與再保險方式似乎已經難以彌補這種巨大的損失。
由於資本市場的發達與開放，各種衍生性金融商品相繼孕育而生。於是為因應潮流趨勢與實際需要，各類型的巨災聯繫商品，如巨災債券、巨災選擇權、巨災期貨等相繼被開發出來並在公開市場上進行交易買賣。這些商品的出現不但增加了資本市場的多元性，亦提供了保險公司另一個新的避險途徑。
本研究將先由探討巨災型災害的特性與嚴重性開始，接著比較傳統再保險方式與新興保險聯繫商品的特徵與優缺點；再根據這些歸納出來的特點加上特別的假設條件，以VB程式建構出巨災模擬程式，針對各種不同之情境模擬經營保險公司，並由模擬結果尋找出巨災債券對規避巨災風險的效果與相關成本。
本研究的主要幾項結果如下：
1. 發行巨災債券在任何情況下都可以非常有效降低保險公司因巨災損失破產的風險。
2. 專業再保險公司的存在，可以有降低相當程度破產機率的效果。然而避險效果卻受限於專業再保險公司資本額多寡與吸收損失的能力。
3. 巨災債券所需支付的利息成本相當高昂；相對造成保險公司在利率風險上的破產危機。
4. 模擬結果發現確實在對應不同情況時，存在最佳的舉債額度比率

第一章 序論
第一節 背景與動機 4
第二節 研究目的 6
第三節 研究流程 7
第四節 研究限制 7
第二章 文獻探討
第一節 巨災的特性 8
大數法則失效 8
損失額度難以估計 10
第二節 巨災風險規避 14
傳統再保險 14
新興的保險避險工具 18
第三節 巨災債券 22
巨災債券基本發行架構 23
巨災債券的種類 25
價格的影醒因素 26
與再保險的比較 28
第四節 其他保險衍生性商品 30
巨災選擇權 30
巨災交換 32
第三章 情境模擬
第一節 模型建構 33
巨災產生器 33
保險公司營運之設定 35
再保險機制相關設定 38
巨災債券的相關假設 40
第二節 模擬結果 43
基本情境模擬 43
風險分散模擬 46
資本額度變化模擬 50
費率低估模擬 52
第三節 巨災債券的
最佳舉債額度比例 54
第四章 結論 59
參考資料 63

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