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    題名: 巨災風險債券之計價分析
    Pricing Catastrophe Risk Bonds
    作者: 吳智中
    Wu, Chih-Chung
    貢獻者: 張士傑
    Chang, Shih-Chieh
    吳智中
    Wu, Chih-Chung
    關鍵詞: 巨災風險債券
    事故發生率
    卜瓦松過程
    平賭測度
    蒙地卡羅方法
    Catastrophe risk bonds
    claim hazard rate
    Poisson process
    martingale measure
    Monte Carlo method
    日期: 2001
    上傳時間: 2016-04-18 16:28:40 (UTC+8)
    摘要: 運用傳統再保險契約移轉風險受限於承保能量的逐年波動，尤其自90年代起，全球巨災頻繁，保險人損失巨幅增加，承保能量急遽萎縮，基於巨災市場之資金需求，再保險轉向資本市場，預期將巨災風險移轉至投資人，促成保險衍生性金融商品之創新，本研究針對佔有顯著交易量的巨災風險債券進行分析，基於Cummins和Geman (1995)所建構巨災累積損失模型，引用Duffie 與Singleton (1999)於違約債券的計價模式，將折現利率表示為短期利率加上事故發生率及預期損失比例之乘積，並將債券期間延長至多年期，以符合市場承保的需求，應用市場無套利假設及平賭測度計價的方法計算合理的市場價值，巨災損失過程將分成損失發展期與損失確定期，以卜瓦松過程表示巨災發生頻率，並利用台灣巨災經驗資料建立合適之損失幅度模型，最後以蒙地卡羅方法針對三種不同型態的巨災風險債券試算合理價值，並具體結論所得的數值結果與後續之研究建議。
    Using traditional reinsurance treaties to transfer insurance risks are restrained due to the volatility of the underwriting capacity annually. Catastrophe risks have substantially increased since the early 1990s and have directly resulted significant claim losses for the insurers. Hence the insurers are pursuing the financial capacities from the capital market. Transferring the catastrophe risks to the investor have stimulated the financial innovation for the insurance industry. In this study, pricing issues for the heavily traded catastrophe risk bonds (CAT-bond) are investigated. The aggregated catastrophe loss model in Cummins and Geman (1995) are adopted. While the financial techniques in valuing the defaultable bonds in Duffie and Singleton (1999) are employed to determine the fair prices incorporating the claim hazard rates and the loss severity. The duration of the CAT-bonds is extended from single year to multiple years in order to meet the demand from the reinsurance market. Non- arbitrage theory and martingale measures are employed to determine their fair market values. The contract term of the CAT-bonds is divided into the loss period and the development period. The frequency of the catastrophe risk is modeled through the Poisson process. Taiwan catastrophe loss experiences are examined to build the plausible loss severity model. Three distant types of CAT-bonds are analyzed through Monte Carlo method for illustrations. This paper concludes with remarks regarding some pricing issues of CAT-bonds.
    參考文獻: 一、 中文部分
    1 、 張士傑，山中康司(2000)。 非傳統型式再保險：風險移轉方式。核保學報，第八卷，頁61-85。
    2 、 陳繼堯，曾武仁(2000)。 金融自由化下新興風險移轉方式之運用現況與發展。財團法人保險事業發展中心，2000年2月。
    二、 英文部分
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    16、Geman H. (1999). The High-Yield Bond Market: Catastrophe Bonds versus Defaultable Bonds. In Insurance and Weather Derivatives: From Exotic Options to Exotic Underlyings. Risk Books. 137-141.
    17、Geman H. and Yor M. (1997). Stochastic Time Changes in Catastrophe Option Pricing. Insurance: Mathematics and Economics 21, 185-193.
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    20、Harrington S. , Mann S. , and Niehans G. (1995). Insurer Capital Structure Decisions and the Viability of Insurance Derivatives. The Journal of Risk and Insurance, Vol. 62, No. 3, 483-508.
    21、Harrington S. and Niehans G. (1999). Basis Risk with PCS Catastrophe Insurance Derivative Contract. The Journal of Risk and Insurance, Vol. 66, No. 1, 49-82.
    22、Himick H. (1998). Securitized Insurance Risk: Strategic Opportunities for Insurers and Investors. Glenlake Publishing Compant, Ltd., Chicago.
    23、Lane M. (1998). Price, Risk, and Ratings for Insurance-Link Notes: Evaluating Their Position in Your Portfolio. Derivative Quarterly, Summer, 36-51.
    24、Levin A. , McWeeney P. and Gugliada R. (1999). Structured Finance Tools Used by Insurance Compancies for CAT Bonds and Similar Products Need Special Analytical Techniques. In International Securitization & Structured Finance Report, April 15, 1999, Standard & Poor’s.
    25、Louberge H. ,Kellezi E. and Gilli M. (1999). Using Catastrophe-Linked Securities to Diversify Insurance Risk: A Financial Analysis of Cat Bonds. Journal of Insurance Issues, Vol. 22, No. 2, 125-146.
    26、Major J. (1999). Index Hedge Performance: Insurer Market Penetration and Basis Risk. In The Financing of Catastrophe Risk, edited by Kenneth A. Froot, The University of Chicago Press, Chicago and London.
    27、Merton R. (1976). Option Pricing when Underlying Stock Returns Are Discontinuous. Journal of Financial Economics, Vol.3, 125-144.
    28、Tomas M. (1998). A Note on Pricing PCS Single-Event Options. Derivative Quarterly, Spring, 23-28.
    29、Vanneste M. , Goovaerts M.J. , De Vylder F. , and Kaas R. (1996). A Stochastic Approach to Catastrophe Risks. Scand. Actuarial J. 2, 99-108.
    30、Wilmott P. (1998). Derivatives. John Wiley & Sons Ltd. , New York.
    描述: 碩士
    國立政治大學
    風險管理與保險研究所
    88358024
    資料來源: http://thesis.lib.nccu.edu.tw/record/#A2002001467
    資料類型: thesis
    顯示於類別:[風險管理與保險學系] 學位論文

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