(54.236.62.49) 您好!臺灣時間:2021/03/08 02:30
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果

詳目顯示:::

我願授權國圖
: 
twitterline
研究生:楊宗翰
研究生(外文):Yang Chung-han
論文名稱:巨災債券對規避巨災風險效率之研究
指導教授:周國端周國端引用關係
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:財務金融學研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2002
畢業學年度:90
語文別:中文
論文頁數:66
中文關鍵詞:巨災巨災債券巨災選擇權巨災交換再保險情境模擬
相關次數:
  • 被引用被引用:12
  • 點閱點閱:479
  • 評分評分:系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔
  • 下載下載:117
  • 收藏至我的研究室書目清單書目收藏:5
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
英文參考資料
1. Anne E. Kleffner and Neil A. Doherty; 1996. ”Costly Risk Bearing and the Supply of Catastrophic Insurance”, Journal of Risk and Insurance, Vol. 63 No. 4: P.657.
2. Berz G.A.; 1992 “Greenhouse Effects of natural Catastrophes and Insurance” The Geveva Papers on Risk and Insurance, July, 17:64, P.386.
3. Butters Steven M. and Eric M. Rivera; 1999. ”Catastrophic Natural Disasters and Other Insurable Risks: Can Wall Street Salve the Wounds? ”, Derivatives: Tax Regulation Finance. http://www.riatax.com/journals/jder/jderart.html
4. Carloyn W. Chang, Jack S. k. Chang and Min-tech Yu; 1996. ”Pricing Catastrophe Insurance Future Call Spread: A Randomized Operational Time Approach”, Journal of Risk and Insurance, Vol. 63 No. 4: P.599.
5. Christopher M. Lewis and Kevin C. Murdock; 1996. ”The Role of Government Contracts in Discretionary Reinsurance Markets for Natural Disasters”, Journal of Risk and Insurance, Vol. 63 No. 4: P.567.
6. Conrad K.; 1991. ”Warming up for Catastrophes”, Best’s Review, Sep, 1991.
7. Cummins J. David and Doherty N.; 1997.”Can Insurers Pay for the ‘Big One’? Measuring the Capacity of an Insurance Market to Respond to Catastrophic Losses”, Working paper, The Wharton School, University of Pennsylvania.
8. Cummins J. David and Patricia M. Danzon; 1997.”Price Shocks and Capital Flows in Liability Insurance”, Journal of Financial Intermediation No.6: P. 3.
9. Cummins J. David, David Lalonde and Richard D. Phillips; 2000. ”The Basis Risk of Catastrophic-Loss Index Securities”, Working papers, The Wharton School, University of Pennsylvania.
10. David C. Marlett and Carl Pacini; 1999. ”Insurer Stock Price Responses to the Creation of the California Earthquake Authority”, Journal of Insurance Regulation Vol.18 No.1: P.80.
11. David C. Croson and Howard C. Kunreuther; 1999. “Customizing Reinsurance and Cat Bonds for Natural Hazard Risks”, Conference on Global Change and Catastrophic Risk Management, Laxenburg, Austria.
12. David C. Marlett, Richard Corbett and Carl Pacini; 2000.”Insurer Stock Price Responses to the Disclosure of Revised Insured Loss Estimates After the 1994 Northridge Earthquake”, Journal of Insurance Issues, issue 23, No.2, P.103.
13. David Eley; 1996. ”Creating Catastrophe Reserves: A Balancing Act”, Journal of Insurance Regulation Vol.15 No. 2: P.191
14. Dwight M. Jaffee and Thomas Russell; 1997. ”Catastrophe Insurance, Capital Markets, and Uninsurable Risks”, Journal of Risk and Insurance Vol. 64 No. 2: P.205.
15. D. Arcy, Stephen P.; 1993. “Catastrophe Insurance Futures”, CPCU Journal, Society of Chartered Property and Casualty Underwriters.
16. Fred Wagner; 1998. “Risk Securitization An alternative of Risk Transfer of Insurance Companies ”, The Geneva Papers on Risk and Insurance, No.89,P.540.
17. Froot Kenneth A.; 1998. “The Evolving Market for Catastrophic Event Risk”, New York: Marsh and McLennan Securities.
18. Harris Schlesinger; 1999. ”Decomposing Catastrophic Risk”, Insurance: Mathematics and Economics, No.24, P.95.
19. Insurance Services Office, Inc.; 1999. ”Financing Catastrophe Risk: Capital Market Solutions”
20. Kelly P.J. and Zeng L.; 1996. “Implications for Catastrophe Modeling Within the Commercial Highly Protected Risk Property Insurance Industry” ACI Conference for Catastrophic Reinsurance, New York.
21. Lazarus A. Angbazo and Ranga Narayanan; 1996. ”Catastrophic Shocks in the Property-Liability Insurance Industry: Evidence on Regulatory and Contagion Effects”, Journal of Risk and Insurance Vol. 63 No. 4: P.619.
22. Lizenberger R. H., D. R. Beaglchole and C. E. Reynolds;1996.”Fixed Income Research: Assessing Catastrophe-Reinsurance-Linked Securities as a New Asset Class”, New York, Goldman Sachs.
23. Mclsaac D.A. and D.F. Babbel; 1995.”The World Bank Primer on Reinsurance”, Washington DC: The World Bank.
24. Neil A. Doherty; 1997. ”Innovations in Managing Catastrophe Risk”, Journal of Risk and Insurance Vol. 64 No. 4: P.713.
25. Penalva Zuasti J.; 1997. “The Theory of Financial Insurance with an Application to Earthquakes and Catastrophe Bonds”, Unpublished dissertation, University of California, Los Angeles.
26. Rade T. Musulin; 1997. ”Issues in the Regulatory Acceptance of Computer Modeling for Property Insurance Ratemaking”, Journal of Insurance Regulation Vol.15 No. 3: P.343.
27. Raja Bouzouita and Arthur J. Young; 1998. ”Catastrophe Insurance Options”, Journal of Insurance Regulation Vol.16 No. 3: P.313.
28. Reinhold P. Lamb; 1995. ”An Exposure-Based Analysis of Property-Liability Insurance Stock Values Around Hurricane Andrew”, Journal of Risk and Insurance Vol. 62 No. 1: P.111.
29. Robert E. Hoyt and Reesa D. Williams; 1995. ”The Effectiveness of Catastrophe Futures as a Hedging Mechanism for Insurers”, Journal of Insurance Regulation Vol.14 No. 1: P.27.
30. Roger A. Pielke Jr, Christopher W. Landsea, Rade T. Musulin and Mary Downton; 1999. ”Evaluation of Catastrophe Modeling Using a Normalized Historical Record”, Journal of Insurance Regulation Vol.18 No.2: P.177.
31. Ronald H. Rasch, L.Lee Colquitt and Arlette C. Wilson; 1998. ”New Accounting for Derivatives”, Journal of Insurance Regulation Vol.16 No. 3: P.327.
32. Ross J. Davidson, Jr.; 1996. ”Tax-Deductible, Pre-Event Catastrophe Reserves”, Journal of Insurance Regulation Vol.15 No. 2: P.175.
33. Stephen P. D’Arcy; 1992. ”Symposium on Insurance Futures-Catastrophe Futures: A Better Hedge for Insurers”, Journal of Risk and Insurance Vol. 59 No. 4: P.575.
34. Swiss Re; 1997.” Natural Catastrophes and Major Losses in 1996”, Sigma, No. 3.
35. Swiss Re; 1997. Sigma, No. 5.
36. Swiss Re; 1999.” Natural Catastrophes and Man-made Disasters 1998: Storms, Hail, and Ice cause Billion—Dollar Losses ”, Sigma, No.1.
37. Scott R. Harrison and Eric C. Nordman; 1997.”Introduction to the Symposium on Catastrophe Modeling”, Journal of Insurance Regulation Vol.15 No.3: P.315.
38. Theodore Sougiannis; 1997. ”The Cyclical Valuation of Catastrophic Losses in the Insurance Industry”, Journal of Financial Analysis, Vol. 3, issue 1, P.32.
39. Tynes and Johannes Skylstad; 2000.”Catastrophe Risk Securitization”, Journal of Insurance Regulation, Vol. 19, issue 1, P.3.
40. Vivek j. Bantwal and Howard C. Kunreuther; 1999.”A Cat Bond Premium Puzzle? ”, Working paper, The Wharton School, University of Pennsylvania.
41. William J. Warfel; 2000.”Natural Disasters and Disruption in Property Insurance Markets: The Case for Federal Reinsurance”, CPCU Journal, Society of Chartered Property and Casualty Underwriters.
42. Winter Ralph A.; 1994.”The Dynamics of Competitive Insurance Markets”, Journal of Financial Intermediation No.3: P. 379.
43. Yuri M. Ermoliev, Tatiana Y. Ermolieva; 1999. “A System Approach to Management of Catastrophic Risks”, European Journal of Operational Research 122, P.452.
中文參考資料
1. 劉建光,如何應付巨災危險;保險專刊 第31輯 ;82年3月;P64~68.
2. 凌氤寶,巨大損失保險期貨;保險專刊 第35輯 ;83年3月;P93~101.
3. 陳長沂、張經理,巨災保險期貨避險之研究;保險專刊 第47輯 ;86年3月;P74~94.
4. 陳松森,論產物保險業新避險工具-保險衍生商品;保險專刊 第53輯 :87年9月;P112~125.
5. 陳繼堯;再保險-理論與實務 ;90年1月 出版
6. 郭逸龍;由統計分析方法估計台灣地震損失;國立政治大學碩士論文;89年.
7. 江朝峰;台灣地區地震保險核保原理之研究;中華民國精算學會會報.第19期.
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top
系統版面圖檔 系統版面圖檔