巨災債券風險評價之研究;Research of the appraisal of risk of the catastrophe bond

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题名:	巨災債券風險評價之研究;Research of the appraisal of risk of the catastrophe bond
作者:	洪翊甯;Hung,I-Ning
贡献者:	企業管理學系碩士在職專班
关键词:	巨災債券;評價模型;Catastrophe bond;Evaluation model
日期:	2007-01-25
上传时间:	2014-05-08 15:12:56 (UTC+8)
出版者:	國立中央大學
摘要:	台灣位於歐亞板塊與太平洋菲律賓海板塊交接處，每年地震、颱風、洪水事件頻傳，對國人生命、財產安全造成嚴重威脅。1999年發生芮氏規模7.3級「集集地震」，造成人命與財產極大的損傷。中央政府（財政部）痛定思痛地積極規劃住宅地震險，希望能將此巨災損失能由保險方式來處理。在科技發達的今日，天然及人為巨災之發生時間、頻率常是無法預測且難以預防的。許多保險公司與再保險公司紛紛尋求其他的巨災風險移轉工具，因此將巨災風險移轉至資本市場的保險證券化商品變因應而生，成為一種新興的風險移轉方式。如何藉由資本市場移轉巨災風險之研究以巨災債券之探討最為熱絡。巨災債券是一種以巨災事件為標的物發行的債券，其功能在於使保險人於損失發生後獲得一筆補償，類似購買再保險移轉風險的概念，利用災害保險及其配套措施達成災後經濟之安定與資源有效配置。本研究評價模型假設完美市場、市場具有效率、當巨災發生時，資本票據價格的跳躍呈現卜瓦松分配（Poisson distribution）、資本票據價格跳躍部份之報酬與市場報酬無相關性，為非系統風險，且當契約約定之巨災事件發生且保險公司所付損失金額達啟動條件時，保險公司有權以事先約定之利率發行資本票據。由歷年巨災債券趨勢分析得知，截至目前為止巨災債券的發行已經很穩定，每年發行金額約有11億美元，其發行架構、交易期限、交易型態，仍不斷的改進與變化。巨災債券市場並不是取代傳統的再保險市場，而是提供多元化將巨災風險移轉至資本市場多一種選擇的工具。 ;Located on the convergent boundary of Philippine Sea Plate and Eurasia Plate, Taiwan is prone to earthquakes, typhoons and floods, making serious threats to our lives and property. The Chi-chi earthquake in 1999 still leaves wounds yet to be recovered. The Treasury then has been planning to promote the residential earthquake insurance, hoping to minimize future catastrophic losses by means of the insurance scheme. In a world full of high-tech devices, it is still hard to precisely predict when and where a catastrophe is going to take place. Many insurance and reinsurance companies turn to seek alternatives to share their risks in the capital market, and of all the risk-sharer commodities, the catastrophe bond is the most popular and highly-discussed one. Its purposes include: to compensate the insured’s losses, to stabilize the economy and to distribute resources effectively after a catastrophe takes place. This research evaluation model is made under the conditions of a perfect market; the market with efficiency; the note price of the capital reflects Poisson distribution when a catastrophe happens; the non- systematic risk; the insurance company has the right to issue the capital notes according to the designed interest rate when both the catastrophe stated in the insurance policy happens and the amount of compensation money reaches its top. By looking into the trend of issued, the total amount reached 1.1 billions catastrophe bond amounts every year over the past to years. It’s structure, period trade type one, still constantly improved and changed. Catastrophe bond is not designed not to choice of capital replace the traditions reinsure but represent a new alternative for the catastrophe risk management.
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