發(fā)布時間：2018-07-06 12:51

  本文選題：巨災(zāi)債券 + 公共私人合作��； 參考：《中國科學(xué)技術(shù)大學(xué)》2012年博士論文

【摘要】：在巨災(zāi)損失不斷攀升的趨勢下,對巨災(zāi)風(fēng)險管理和融資顯得尤為重要。目前,國際上最為認可和支持的是通過發(fā)展巨災(zāi)保險來拓展巨災(zāi)損失的融資渠道。然而,由于巨災(zāi)風(fēng)險自身的特點,很多國家商業(yè)性的巨災(zāi)保險市場出現(xiàn)了供需雙冷的局面,巨災(zāi)的災(zāi)前融資機制并沒有起到人們預(yù)期中的作用。究其原因,主要是因為巨災(zāi)風(fēng)險融資具有準(zhǔn)公共品性,而巨災(zāi)風(fēng)險融資的準(zhǔn)公共品性,可以通過公共私人合作的方式解決。公共部門和私人部門為了提供某種公共服務(wù),可通過公共私人合作方式,建立起一種長期的合作伙伴關(guān)系,公共部門和私人部門能在這樣的伙伴關(guān)系中,發(fā)揮各自的優(yōu)勢提供公共服務(wù),共同分擔(dān)風(fēng)險、分享收益。 目前,一方面,我國在公共私人合作方面已具有初步的理論基礎(chǔ)和實踐操作,另一方面,金融一體化和金融創(chuàng)新發(fā)展,使得保險市場和資本市場能夠連接起來,越來越多的保險資金在資本市場進行多種渠道的投資,而資本市場的雄厚的資金實力也為一些巨災(zāi)損失提供一定的保障,這為巨災(zāi)風(fēng)險證券化奠定了基礎(chǔ)。本文正是基于公共私人合作理論,結(jié)合巨災(zāi)風(fēng)險證券化中最為成功的巨災(zāi)債券的實踐和理論分析,構(gòu)建了一個基于公共私人合作的,包含政府公共部門,保險市場、資本市場在內(nèi)的巨災(zāi)風(fēng)險管理融資體系,并運用實證分析、案例分析、均衡分析、博弈分析及金融資產(chǎn)定價理論對基于公共私人合作的巨災(zāi)債券進行了設(shè)計和定價。 第1章為導(dǎo)論,介紹了研究背景、相關(guān)文獻綜述、研究思路方法、文章主要內(nèi)容、結(jié)構(gòu)安排及創(chuàng)新點等。近年來,巨災(zāi)損失頻繁發(fā)生,對巨災(zāi)風(fēng)險管理和融資理論的研究對實踐具有重大的現(xiàn)實意義。這一章對巨災(zāi)債券、公共私人合作、政府通過公共私人合作來干預(yù)巨災(zāi)風(fēng)險管理等相關(guān)文獻及理論基礎(chǔ)進行了梳理和回顧,并闡述了論文的框架和創(chuàng)新點。 第2章首先對巨災(zāi)及巨災(zāi)風(fēng)險管理進行了概念闡述,對巨災(zāi)風(fēng)險證券化最為成功的產(chǎn)品——巨災(zāi)債券的運作機制、觸發(fā)機制、定價等方面進行了概念的梳理。介紹了巨災(zāi)債券發(fā)行的基本概況,并基于投資組合理論,利用國際股票市場、房地產(chǎn)市場、公司債券市場、商品市場以及巨災(zāi)債券市場的指標(biāo)數(shù)據(jù),對巨災(zāi)債券對投資組合的影響進行實證分析,詳細分析了巨災(zāi)債券在金融危機前后以及金融危機期間對投資組合的影響。 第3章從巨災(zāi)風(fēng)險融資的準(zhǔn)公共品性入手,分析了巨災(zāi)風(fēng)險的不可保性,巨災(zāi)市場保險失靈以及政府通過公共私人合作的方式如何干預(yù)巨災(zāi)保險市場,考察了政府與私人保險公司之間基于公共私人合作的風(fēng)險分擔(dān)機制對保險市場均衡的影響,具體舉措包括政府向私人保險公司提供再保險服務(wù)、支付巨災(zāi)保險業(yè)務(wù)傭金以及政府發(fā)行巨災(zāi)債券等。最后給出了基于公共私人合作的巨災(zāi)風(fēng)險管理的一些案例并進行評析與總結(jié)。 第4章對巨災(zāi)融資水平進行闡述,并基于公共私人合作,為在巨災(zāi)融資水平3以上的國家,構(gòu)建了包含了政府公共部門、保險市場、資本市場在內(nèi)的巨災(zāi)風(fēng)險管理的基本框架,并對基于公共私人合作的巨災(zāi)債券的參與主體、具體結(jié)構(gòu)、發(fā)行流程進行了設(shè)計。 第5章對基于公共私人合作的巨災(zāi)債券的風(fēng)險分擔(dān)進行研究。首先基于信息傳遞博弈理論分別對政府公共部門與保險市場的巨災(zāi)風(fēng)險分擔(dān)、政府公共部門與資本市場的巨災(zāi)風(fēng)險分擔(dān)進行分析,得到混同策略和分離策略下的完美貝葉斯均衡的條件。最后結(jié)合巨災(zāi)建模理論、巨災(zāi)債券定價模型、隨機利率分布模型的分析研究,給出了基于公共私人合作巨災(zāi)債券的定價模型與定價步驟。 第6章對較為成功的基于公共私人合作的巨災(zāi)債券——2006年墨西哥政府發(fā)行的純參數(shù)巨災(zāi)債券的設(shè)計及其定價進行了實證分析。 第7章在分析中國地震巨災(zāi)風(fēng)險管理現(xiàn)狀的基礎(chǔ)上,設(shè)計了基于公共私人合作的中國地震巨災(zāi)債券,包括中國地震巨災(zāi)債券的基本框架、參與主體與具體結(jié)構(gòu)等。并以中國大陸1996——2011年間的地震巨災(zāi)損失數(shù)據(jù)作為樣本,對地震巨災(zāi)損失進行建模,利用中國現(xiàn)行的基準(zhǔn)利率及上海銀行間同業(yè)拆放利率Shibor進行利率建模,結(jié)合基于公共私人合作的中國地震巨災(zāi)債券的具體結(jié)構(gòu)給出了由政府發(fā)起的,基于公共私人合作的中國地震巨災(zāi)債券的具體定價結(jié)果。 第8章是全文的總結(jié)與展望。
[Abstract]:In the trend of rising catastrophe loss, it is very important to manage and finance catastrophe risk. At present, the financing channel of catastrophe loss is expanded by developing catastrophe insurance in the world. However, because of the characteristics of catastrophe risk itself, there is a double cold supply and demand in the commercial catastrophe insurance market of many countries. The main reason is that catastrophe risk financing has quasi public character, and the quasi public character of catastrophe risk financing can be solved by the way of public private cooperation. The public sector and the private sector can pass the public service to provide some kind of public service. The way of public and private cooperation establishes a long-term partnership. The public sector and the private sector can provide public services, share risks and share profits in such partnerships.
At present, on the one hand, China has a preliminary theoretical basis and practical operation in the field of public and private cooperation. On the other hand, financial integration and financial innovation are able to connect the insurance market with the capital market, and more and more insurance funds are invested in various channels in the capital market, and the capital market is rich in capital. It is based on the practice and theoretical analysis of the most successful catastrophe bond in catastrophe risk securitization, which is based on the practice and theoretical analysis of the most successful catastrophe bond in the catastrophe risk securitization, which is based on the public joint private partnership, including the public sector of the government, and the insurance. The financial system of catastrophe risk management, including market and capital market, is designed and priced by empirical analysis, case analysis, equilibrium analysis, game analysis and financial asset pricing theory for the catastrophe bond based on public and private cooperation.
The first chapter is the introduction, introduced the research background, the related literature review, the research thinking method, the main content, the structure arrangement and the innovation point. In recent years, the catastrophe loss frequently occurred, the research on the catastrophe risk management and the financing theory has great practical significance to the practice. This chapter is on the catastrophe bond, the public private cooperation, the government through The literature and theoretical basis of public private cooperation to intervene catastrophe risk management are reviewed and reviewed, and the framework and innovation of the paper are elaborated.
The second chapter first introduces the concept of catastrophe and catastrophe risk management, the most successful product of the catastrophe risk securitization, the operation mechanism of catastrophe bond, the trigger mechanism, the pricing and so on. It introduces the basic situation of the issue of catastrophe bond, based on the theory of portfolio, using the international stock market, and the real estate. The index data of the market, the corporate bond market, the commodity market and the catastrophe bond market, the impact of the catastrophe bond on the portfolio is empirically analyzed, and the impact of the catastrophe bond on the portfolio is analyzed in detail before and after the financial crisis and during the financial crisis.
The third chapter, starting with the quasi public character of the catastrophe risk financing, analyzes the insurability of catastrophe risk, the failure of the catastrophe market insurance and how the government intervenes in the catastrophe insurance market through the way of public private cooperation, and investigates the balance of risk sharing mechanism between the government and private insurance companies on the basis of public private and private cooperation. The specific measures include the government's provision of reinsurance services to private insurance companies, the payment of catastrophe insurance business commission and the government issue of catastrophe bonds. Finally, some cases of catastrophe risk management based on public private cooperation are given and reviewed and summarized.
The fourth chapter expounds the level of catastrophe financing, and builds the basic framework of catastrophe risk management including the government public sector, the insurance market and the capital market, based on the public private cooperation, and the main body, the concrete structure and the circulation flow of the catastrophe bonds, which are based on the public private joint work. The design was carried out.
The fifth chapter studies the risk sharing of catastrophe bonds based on public private cooperation. First, based on the information transfer game theory, the catastrophe risk sharing of the government public sector and the insurance market, and the catastrophe risk sharing between the government public sector and the capital market are analyzed, and the perfect Bayes under the mixed strategy and the separation strategy are obtained. In the end, combining the catastrophe modeling theory, the catastrophe bond pricing model and the stochastic interest rate distribution model, the pricing model and pricing steps of the catastrophe bond based on public private partnership are given.
The sixth chapter makes an empirical analysis of the more successful catastrophe bond based on public private cooperation - the design and pricing of the pure parameter catastrophe bond issued by the Mexico government in 2006.
The seventh chapter, based on the analysis of the current situation of earthquake catastrophe risk management in China, designs a Chinese earthquake catastrophe bond based on public private cooperation, including the basic framework of the Chinese earthquake catastrophe bond, the participants and the concrete structure, and takes the earthquake catastrophe loss data of the Chinese mainland for the period of 1996 to 2011 as a sample to damage the earthquake catastrophe. The model is lost and the interest rate modeling is made using the current benchmark interest rate in China and the interbank dismantling interest rate Shibor in Shanghai. The specific pricing results of the Chinese earthquake catastrophe bond, sponsored by the government and based on the public private cooperation, are given in combination with the concrete structure of the Chinese earthquake catastrophe bond based on public private cooperation.
The eighth chapter is the summary and Prospect of the full text.
【學(xué)位授予單位】：中國科學(xué)技術(shù)大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224

【參考文獻】

相關(guān)期刊論文 前4條

1 楊凱;齊中英;黃鳳;;我國發(fā)展巨災(zāi)保險所面臨的供需不足分析及建議[J];商業(yè)研究;2006年06期

2 陳敬武;袁志學(xué);黃耕;李雅;;PPP項目風(fēng)險的模糊綜合評價方法研究[J];河北工業(yè)大學(xué)學(xué)報;2006年05期

3 張漢卓,聶敏;運用公私合作模式進行城市軌道交通建設(shè)融資[J];城市軌道交通研究;2004年05期

4 陶正如;陶夏新;;巨災(zāi)保險衍生品[J];自然災(zāi)害學(xué)報;2007年04期

相關(guān)碩士學(xué)位論文 前3條

1 韓蘊新;民營教育中的“公私合作”模式[D];對外經(jīng)濟貿(mào)易大學(xué);2003年

2 廖雨果;公私合作制（PPPs）中的政府角色與職能分析[D];上海交通大學(xué);2007年

3 周云圣;公私合作模式（PPP）及其在我國的應(yīng)用[D];東北財經(jīng)大學(xué);2003年

，

本文編號：2102846