Loading...
|
Please use this identifier to cite or link to this item:
https://nccur.lib.nccu.edu.tw/handle/140.119/31263
|
| Title: | 保險連結型證券在台灣市場之應用與未來發展分析
The implementation and market development of insurance-linked security (ILS) in Taiwan |
| Authors: | 蔡智聖
Tsai, Chih Sheng |
| Contributors: | 王儷玲
Wang,Jennifer Li-Ling
蔡智聖
Tsai, Chih Sheng |
| Keywords: | 保險連結型證券
Insurance-linked securities |
| Date: | 2006 |
| Issue Date: | 2009-09-14 09:39:47 (UTC+8) |
| Abstract: | Past several decades have been an extraordinary time period in the history of extreme catastrophes e, g., the September 11 terrorist attack (2001), the South Asia tsunami (2004), and Hurricane Katrina (2005). Life insurance industry also faces catastrophic risk events- longevity and mortality risks. Facing this insurance/reinsurance capacity shortage, raising additional equity capital is one of solutions. Then, innovation occurred. Insurance-linked securities (ILS) was created. Insurance-linked securities is a means of transferring insurance risks to the capital market. Since the inception of the market in 1996, ILS has evolved to become a strong complement to traditional reinsurance, providing benefits to transaction sponsors, i.e. ceding companies. This study explores the prospects for ILS by focusing on some issues, First of all, the product features of ILS, reviewing the structure, trigger mechanism, perils, capacity, pricing and costs of ILS. Secondly, this will make some analysis for the international market development of ILS. Thirdly, This study will turn on to the potential market in Taiwan. The study tries to review the potential market in Taiwan from property casualty insurance and life insurance respectively. Finally, with the analysis in various aspects, hopefully, the study can provide solid conclusion for ILS development in Taiwan.
Past several decades have been an extraordinary time period in the history of extreme catastrophes e, g., the September 11 terrorist attack (2001), the South Asia tsunami (2004), and Hurricane Katrina (2005). Life insurance industry also faces catastrophic risk events- longevity and mortality risks. Facing this insurance/reinsurance capacity shortage, raising additional equity capital is one of solutions. Then, innovation occurred. Insurance-linked securities (ILS) was created. Insurance-linked securities is a means of transferring insurance risks to the capital market. Since the inception of the market in 1996, ILS has evolved to become a strong complement to traditional reinsurance, providing benefits to transaction sponsors, i.e. ceding companies. This study explores the prospects for ILS by focusing on some issues, First of all, the product features of ILS, reviewing the structure, trigger mechanism, perils, capacity, pricing and costs of ILS. Secondly, this will make some analysis for the international market development of ILS. Thirdly, This study will turn on to the potential market in Taiwan. The study tries to review the potential market in Taiwan from property casualty insurance and life insurance respectively. Finally, with the analysis in various aspects, hopefully, the study can provide solid conclusion for ILS development in Taiwan. |
| Reference: | Blake, A. J. G. Cairns and K. Dowd (2006), Living With Mortality: Longevity Bonds And Other Mortality-Linked Securities, Presented to the Institute of Actuaries, 27 Feb 2006
Blake, A. J. G. Cairns and K. Dowd (2004), Pricing Frameworks for Security of Mortality Risk.
Blake, (2003), Reply to “Survivor Bonds: A comment on Blake and Burrows”, Journal of Risk and Insurance, 70(2):349-351.
Blake, A. J. G. Cairns and K. Dowd (2005), A Two-Factor Model for Stochastic Mortality with Parameter Uncertainty.
Blake, Andrew Cairns, Kevin Dowd, Richard MacMinn (2006), Longevity Bonds: Financial Engineering, Valuation, And Hedging, The Journal of Risk and Insurance, Vol. 73, No.4, 647-672.
Boardman, T., 2006, Annuitization Lessons from the UK: Money – Back Annuities and Other Developments, Journal of Risk and Insurance, 73(4):633-646.
Borden, Sara, and Asani Sarkar.1996, Securitizing Property Catastrophe Risk. Federal Reserve Bank of New York Current Issues in Economics and Finance 2, no. 9:1-6.
Cairns, A. J., D. Blake, and K. Dowd,2006, A Two-Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration, Journal of Risk and
Insurance, 73(4):687-718.
Canter, Michael, Joseph B. Cole, and Richard L. Sandor, 1997, “Insurance Derivatives: A New Asset Class for the Capital Markets and a New Hedging Tool for the Insurance Industry,” Journal of Applied Corporate Finance, 10(3): 69-83.
Chan, K. C., G. Andrew Karolyi, Francis A. Longstaff, and Anthony B. Saunders (1992), An Empirical Comparison of Alternative Models of Short-Term Interest Rate, Journal of Finance, Vol. 47, No. 3, 1209-1227.
Cox, Samuel H., Yijia Lin S Wang,. 2006, Mulitivariate Exponential Tilting and Pricing Implications for Mortality Securitization, Journal of Risk and Insurance, 73(4):719-736.
Cox, Samuel H., Joseph R. Fairchild & Hal W. Pederson. (2000). “The Economics of Insurance Securitizations,” Contingencies, September/October 2000.
Cummins, J. David, David Lalonde, and Richard D. Phillips, 2004, “The Basis Risk of Index-Linked CAT Loss Securities,” Journal of Financial Economics, 71(2004), 77-111.
Cummins, J. David and Mary A. Weiss, 2000, “The Global Market for Reinsurance: Consolidation, Capacity, and Efficiency,”Brookings-Wharton Papers on Financial Services (2000).
Cummins, J.D., Doherty, N., Lo, A., 2000. Can insurers pay for the "big one? Measuring the capacity of an insurance market to respond to catastrophic losses, Journal of Banking & Finance, 26(2002), 557-583.
Doherty, Neil A. 1997. Financial Innovation in the Management of Catastrophe Risk. Journal of Applied Corporate Finance 10. no. 3:85-95.
Durbin, David (2001). “Managing Natural Catastrophe Risks: The Structure and Dynamics of Reinsurance,” The Geneva Papers on Risk and Insurance, April 2001, vol. 26 no. 2.
Dowd, K., 2003, Survivor Bonds: A Comment on Blake and Burrows, Journal of Risk and Insurance, 70(2):339-348.
Elisa Luciano, Elena Vigna (2005), Non Mean Reverting Affine Processes For Stochastic Mortality, Working Paper Series.
Froot, Kenneth A., 2001, “The Market for Catastrophe Risk: A Clinical Examination,” Journal of Financial Economics 60: 529-571.
Harrington, Scott E. and Greg Niehaus, 1999, “Basis Risk with PCS Catastrophe Insurance Derivative Contracts,” Journal of Risk and Insurance 66: 49-82.
Jaffee, D., Russell, T., 1997. Catastrophe insurance, capital markets, and uninsurable risks. Journal of Risk and Insurance 64, 205-230.
Jeffrey R. Brown, Peter R. Orszag (2006), The Political Economy of Government-Issued Longevity Bonds, The Journal of Risk and Insurance, Vol. 73, No. 4, 611-631.
Kevin Dowd (2003), Survivor Bonds: A Comment on Blake and Burrows, The Journal of Risk and Insurance, June 2003, Vol. 70, No.2, 339-348.
Kevin Dowd, David Blake, Andrew J.G. Cairns, Paul Dawson, Survivor Swaps (2006), The Journal of Risk and Insurance, Vol. 1, 1-17.
MacMinn, R.D., (2000). “Risk and Choice: A Perspective on the Integration of Finance and Insurance,” Risk Management and Insurance Review, Vol. 3, No.1 pg 69-79.
Michel Denuit, Pierre Devolder, Anne-Cecile Goderniaux (2007), Securitization of Longevity Risk : Pricing Survivor Bonds With Wang Transform in The Lee-Carter Framework. The Journal of Risk and Insurance, Vol. 74, No.1, 87-113.
Peter Carayannopoulos, Paul Kovacs, Darrell Leadbetter(2003), Catastrophic event exposure and the role of insurance linked securities in addressing risk, The Institute for Catastrophic Loss Reduction, January 2003.
Richard MacMinn, Patrick Brockett, David Blake (2006), Longevity Risk And Capital Markets, The Journal of Risk and Insurance, Vol. 73, No. 4, 551-557.
Rhee, Robert J., “Terrorism Risk in a Post-9/11 Economy: The Convergence of
Capital Markets, Insurance and Government Action,” Arizona State Law Journal,
vol. 37, no. 2, (Summer 2005): 435-533.
Samuel H. Cox, Yijia Lin, Shaun Wang (2006), Multivariate Exponential Tilting And Pricing Implications For Mortality Securitization, The Journal of Risk and Insurance, Vol. 73, No.4, 719-736.
Swiss Re, (1996). “Insurance derivatives and securitization: New hedging perspectives for the U.S. catastrophe insurance market?” Sigma, No. 5/1996.
Swiss Re, (1997). “Alternative risk transfer via finite risk reinsurance: an effective contribution to the stability of the insurance industry,” Sigma, No. 5/1997.
Swiss Re a, (1999). “Alternative risk transfer (ART) for corporations: a passing fashion or risk management for the 21st century?” Sigma, No. 2/1999.
Swiss Re b, (1999). “Insurance-Linked Securities,” Belonsky Gail, ed., No. 3/2001.
Swiss Re a, (2001). “Natural catastrophes and man-made disasters in 2000: fewer insured lossesdespite huge floods,” Sigma, No. 2/2001.
Swiss Re b, (2001). “Capital market innovation in the insurance industry,” Sigma, No. 3/2001.
Swiss Re a, (2002). “Natural catastrophes and man-made disasters in 2001: man-made losses take on a new dimension,” Sigma, No. 1/2002.
Yijia Lin and Samuel H. Cox (2005), Mortality Securitization Modeling, Paper for The 2005 World Risk and Insurance Economics Congress Inaugural Meeting.
Yijia Lin and Samuel H. Cox (2005), Securitization of Mortality Risks in Life Annuities, The Journal of Risk and Insurance, June 2005, Vol. 72, No.2,227-252. |
| Description: | 碩士
國立政治大學
風險管理與保險研究所
92358027
95 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0092358027 |
| Data Type: | thesis |
| Appears in Collections: | [風險管理與保險學系] 學位論文
|
Files in This Item:
| File |
Size | Format | |
|---|
| index.html | 0Kb | HTML2 | 246 | View/Open |
|
All items in 政大典藏 are protected by copyright, with all rights reserved.
|
