本文關(guān)鍵詞： 巨災(zāi) 巨災(zāi)債券 巨災(zāi)保險(xiǎn) 債券定價(jià)　出處：《西南財(cái)經(jīng)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：近年來(lái),巨災(zāi)事件導(dǎo)致的經(jīng)濟(jì)損失及其發(fā)生頻率呈現(xiàn)上升趨勢(shì)。各種自然災(zāi)害造成的巨災(zāi)使得保險(xiǎn)公司的承保能力嚴(yán)重不足,給他們的償付能力帶來(lái)巨大的挑戰(zhàn),同時(shí),再保險(xiǎn)公司的承保能力也不足以滿足保險(xiǎn)市場(chǎng)對(duì)分散巨災(zāi)風(fēng)險(xiǎn)的需求。在此背景下,國(guó)際保險(xiǎn)市場(chǎng)出現(xiàn)了以巨災(zāi)債券為典型代表的新型風(fēng)險(xiǎn)管理手段,以期通過(guò)保險(xiǎn)市場(chǎng)與資本市場(chǎng)之間的深層次融合來(lái)共同應(yīng)對(duì)巨災(zāi)風(fēng)險(xiǎn)。巨災(zāi)債券是一種保險(xiǎn)公司構(gòu)造和發(fā)行的用于風(fēng)險(xiǎn)轉(zhuǎn)移或籌措資金的創(chuàng)新型金融工具,它利用資本市場(chǎng)上投資者眾多、市場(chǎng)容量大、資金充裕、風(fēng)險(xiǎn)高度分散等特點(diǎn),將保險(xiǎn)市場(chǎng)上的風(fēng)險(xiǎn)進(jìn)行分割和標(biāo)準(zhǔn)化,從而把風(fēng)險(xiǎn)轉(zhuǎn)嫁到資本市場(chǎng)。 巨災(zāi)債券本身作為連接資本市場(chǎng)和保險(xiǎn)市場(chǎng)的工具,是巨災(zāi)風(fēng)險(xiǎn)證券化的主要手段之一,通過(guò)資本市場(chǎng)最大限度的分散風(fēng)險(xiǎn)已成為國(guó)際上應(yīng)對(duì)巨災(zāi)的一個(gè)重要手段。巨災(zāi)債券在拓展了保險(xiǎn)市場(chǎng)承保范圍的同時(shí),也為資本市場(chǎng)提供了更多的低風(fēng)險(xiǎn)、高收益的投資工具,有利于加強(qiáng)公司的風(fēng)險(xiǎn)管理,保證市場(chǎng)的穩(wěn)定。因此,發(fā)行巨災(zāi)債券,借助資本市場(chǎng)來(lái)分散巨災(zāi)風(fēng)險(xiǎn),不僅可以緩解保險(xiǎn)公司面臨的承保能力不足的壓力,而且能夠減輕國(guó)家財(cái)政對(duì)巨災(zāi)進(jìn)行的補(bǔ)償負(fù)擔(dān)。 我國(guó)作為自然災(zāi)害的高發(fā)地區(qū),災(zāi)害種類多樣,每年因自然災(zāi)害導(dǎo)致的經(jīng)濟(jì)損失極其嚴(yán)重。進(jìn)入21世紀(jì)后,各種自然災(zāi)害造成的直接經(jīng)濟(jì)損失明顯加重,2000—2012年年均經(jīng)濟(jì)損失高達(dá)約3300億元,巨額的經(jīng)濟(jì)損失給人民生產(chǎn)生活和國(guó)民經(jīng)濟(jì)健康穩(wěn)定發(fā)展造成了極大的影響。而我國(guó)傳統(tǒng)的巨災(zāi)損失補(bǔ)償主要依靠政府的財(cái)政資金和社會(huì)救濟(jì),通過(guò)保險(xiǎn)途徑對(duì)巨災(zāi)損失的補(bǔ)償卻相當(dāng)?shù)纳�。因�?這樣的巨災(zāi)損失補(bǔ)償方式存在很大的問(wèn)題,一方面財(cái)政補(bǔ)償方式由于受經(jīng)濟(jì)目標(biāo)約束,具有一定剛性,在資金來(lái)源、補(bǔ)償效率、補(bǔ)償程度等方面都存在一定的局限性。另一方面,受償付能力等因素制約,中國(guó)財(cái)產(chǎn)保險(xiǎn)行業(yè)承保能力明顯不足,無(wú)力承擔(dān)巨災(zāi)風(fēng)險(xiǎn)責(zé)任的巨額損失。因而每次巨災(zāi)導(dǎo)致的大部分損失仍由受災(zāi)人自身承擔(dān)。對(duì)此,我國(guó)需要建立起相應(yīng)的巨災(zāi)保險(xiǎn)制度,以應(yīng)對(duì)每次發(fā)生的巨災(zāi)災(zāi)害。 因此,巨災(zāi)債券作為解決巨災(zāi)風(fēng)險(xiǎn)的有效途徑之一,就要求密切關(guān)注國(guó)際保險(xiǎn)業(yè)發(fā)展的這一新動(dòng)向,對(duì)巨災(zāi)債券的運(yùn)行機(jī)制和定價(jià)等問(wèn)題展開(kāi)深入研究,探索和研究適合中國(guó)巨災(zāi)債券的途徑選擇,促使巨災(zāi)風(fēng)險(xiǎn)保險(xiǎn)體系不斷完善,不僅有利于中國(guó)保險(xiǎn)業(yè)自身的發(fā)展,而且對(duì)于構(gòu)建和諧社會(huì),實(shí)現(xiàn)國(guó)家社會(huì)經(jīng)濟(jì)可持續(xù)健康發(fā)展均具有積極意義。 本文主要圍繞巨災(zāi)債券的運(yùn)行機(jī)制與定價(jià)進(jìn)行分析,首先詳細(xì)介紹了我國(guó)巨災(zāi)保險(xiǎn)市場(chǎng)的現(xiàn)狀,通過(guò)分析我國(guó)保險(xiǎn)市場(chǎng)的承保能力,提出巨災(zāi)債券是我國(guó)應(yīng)對(duì)巨災(zāi)風(fēng)險(xiǎn)的現(xiàn)實(shí)選擇。根據(jù)國(guó)外關(guān)于對(duì)巨災(zāi)債券的運(yùn)行機(jī)制及其定價(jià)的研究,期望建立起適應(yīng)我國(guó)國(guó)情的巨災(zāi)債券運(yùn)行模式,在此基礎(chǔ)上,對(duì)我國(guó)地震巨災(zāi)債券進(jìn)行了初步設(shè)計(jì),并對(duì)地震損失分布進(jìn)行了擬合。主要包括以下幾個(gè)部分： 第一部分是本文的緒論,論述了本文研究的背景及意義,對(duì)國(guó)內(nèi)外在巨災(zāi)風(fēng)險(xiǎn)可保性與再保險(xiǎn)、巨災(zāi)債券運(yùn)行機(jī)制、巨災(zāi)債券定價(jià)等方面的研究文獻(xiàn)進(jìn)行評(píng)述,并在此基礎(chǔ)上,提出本文的研究?jī)?nèi)容和方法,及本文的主要?jiǎng)?chuàng)新點(diǎn)等。 第二部分針對(duì)我國(guó)目前的巨災(zāi)保險(xiǎn)市場(chǎng)進(jìn)行了詳細(xì)的介紹,深入分析了當(dāng)前我國(guó)的巨災(zāi)損失補(bǔ)償途徑,說(shuō)明我國(guó)巨災(zāi)保險(xiǎn)制度缺位以及保險(xiǎn)市場(chǎng)承保能力不足的問(wèn)題,從我國(guó)發(fā)展巨災(zāi)債券的必要性和可行性兩方面提出巨災(zāi)債券是我國(guó)應(yīng)對(duì)巨災(zāi)風(fēng)險(xiǎn)的現(xiàn)實(shí)選擇。 第三部分介紹了巨災(zāi)發(fā)生前與發(fā)生后的巨災(zāi)債券的運(yùn)行機(jī)制,以及對(duì)資本市場(chǎng)投資者的影響,分析了巨災(zāi)債券的多種觸發(fā)機(jī)制及各自的優(yōu)缺點(diǎn),并就巨災(zāi)債券的發(fā)起人、投資者、SPV、信用評(píng)級(jí)機(jī)構(gòu)等市場(chǎng)主要參與者進(jìn)行了說(shuō)明,最后介紹了巨災(zāi)債券成功發(fā)行的國(guó)際案例。 第四部分分析了影響巨災(zāi)債券定價(jià)的主要因素,如不同觸發(fā)機(jī)制對(duì)巨災(zāi)債券價(jià)格的影響,巨災(zāi)債券與資本市場(chǎng)其他產(chǎn)品的關(guān)聯(lián)性,匯率與債券評(píng)級(jí)等因素的影響,重點(diǎn)介紹了三種經(jīng)典的巨災(zāi)債券定價(jià)模型,并進(jìn)行了比較分析。 第五部分以地震為例,對(duì)我國(guó)的地震巨災(zāi)債券進(jìn)行初步設(shè)計(jì),同時(shí)以近二十幾年的地震損失數(shù)據(jù)為樣本,對(duì)地震的損失分布金額和損失分布次數(shù)進(jìn)行擬合,并在此基礎(chǔ)上利用利率的二項(xiàng)分布模型進(jìn)行定價(jià)研究。 最后,提出在我國(guó)現(xiàn)實(shí)國(guó)情下,通過(guò)借鑒國(guó)外的先進(jìn)經(jīng)驗(yàn),發(fā)展我國(guó)巨災(zāi)保險(xiǎn)市場(chǎng)的方法和措施。
[Abstract]:In recent years, catastrophic events caused economic losses and the frequency of occurrence of an upward trend. All kinds of natural disasters caused by the catastrophe insurance companies underwriting a serious shortage of capacity, bring great challenges to their solvency and reinsurance capacity is insufficient to meet the demand of insurance market to disperse catastrophe risk under this background. The international insurance market, a new risk management method to catastrophe bonds as a typical representative, in order to pass between the insurance market and capital market deep fusion to jointly cope with the catastrophe risk. Catastrophe bond is a kind of insurance company structure and issue for risk transfer or financing of innovative financial instruments, many investors use it the capital market, the market capacity, liquidity, risk characteristics of highly dispersed, the risk of insurance market segmentation and standard The risk is transferred to the capital market.
Catastrophe bond itself as the connection of the capital market and insurance market, is one of the main means of catastrophe risk securitization, the maximum capital market risk has become an important means of international response to catastrophe. Catastrophe bonds in the insurance market to expand insurance coverage at the same time, also provides a low risk for more capital market, high return investment instruments, to strengthen the risk management of the company, to ensure the stability of the market. Therefore, issuing catastrophe bonds, with the capital market to disperse catastrophe risk, can not only ease the underwriting insurance company is faced with insufficient ability stress, but also can reduce the burden of compensation of national financial catastrophe.
China is a natural disaster prone areas, various types of disasters, natural disasters every year because of the economic loss due to extremely serious. After entering in twenty-first Century, the direct economic losses caused by various natural disasters increased from 2000 to 2012 the average annual economic losses of up to about 330 billion yuan, which has a great influence on the huge economic losses to people's production life and the national economy healthy and stable development. And the catastrophe loss compensation in China rely mainly on the traditional government fiscal funds and social relief, by way of compensation for loss of catastrophe insurance is quite small. Therefore, there is a big problem in this kind of way of compensation, a financial compensation due to economic constraints. Have certain rigidity, the efficiency of compensation in the source of funds, compensation, etc. there are some limitations. On the other hand, is restricted by factors such as solvency, Chinese The property insurance industry underwriting capacity is obviously insufficient, unable to bear the huge loss of catastrophe risk liability. Most of the losses thus caused shall be borne by each catastrophe still affected people. In this regard, China needs to establish the catastrophe insurance system, in order to cope with the catastrophe happened every time disaster.
Therefore, the catastrophe bonds as one of the effective ways to solve the catastrophe risk, this requires a new trend to pay close attention to the development of international insurance industry, the problem of operating mechanism and the pricing of catastrophe bonds, exploration and selection of ways for Chinese catastrophe bonds, the catastrophe risk insurance system continues to improve, not only conducive to the development of Chinese insurance itself, but also for building a harmonious society, are of positive significance to achieve sustainable and healthy development of national economy and society.
This paper mainly focuses on the operation mechanism and the pricing of catastrophe bonds is analyzed, first introduced the status quo of catastrophe insurance market in our country, through the analysis of China's insurance market capacity, the catastrophe bond is a realistic choice to deal with catastrophe risk in China. According to the research on the operation mechanism of catastrophe bond pricing and abroad, hoping to establish according to the operation mode of catastrophe bonds in China, on the basis of China's earthquake catastrophe bond in the preliminary design, and the earthquake loss distribution was fitted. Mainly includes the following parts:
The first part is the introduction, discusses the background and significance of this study, the domestic and foreign catastrophe risk insurability reinsurance and catastrophe bonds, operation mechanism, research of catastrophe bonds pricing and other aspects of the review, and on this basis, this paper puts forward the research contents and methods, and the main innovation.
The second part detailed introduction to our current catastrophe insurance market, in-depth analysis of the current our country compensation way, that the catastrophe insurance system in China and the absence of the capability of insurance industry problems, put forward catastrophe bonds from the two aspects of necessity and feasibility of developing catastrophe bonds in China is a realistic choice to deal with catastrophe risk in China.
The third part introduces the operation mechanism of catastrophe occurred before and after the occurrence of catastrophe bonds, as well as the impact on the capital market investors, analyzed several kinds of catastrophe bonds trigger mechanism and their respective advantages and disadvantages, and sponsors on catastrophe bond investors, SPV, credit rating agencies and other market participants are described, finally the success of catastrophe bonds issued by the international case.
The fourth part analyzes the main factors affecting the pricing of catastrophe bond, such as different trigger mechanism influence on the price of catastrophe bonds, related catastrophe bonds and capital market of other products, the impact of exchange rate and bond rating and other factors, mainly introduced three classic catastrophe bond pricing model, and comparative analysis.
The fifth part of the earthquake as an example, the preliminary design for China earthquake catastrophe bonds, while nearly 20 years of earthquake loss data as the sample, fitting the seismic loss distribution and the amount of loss distribution, pricing rate of two using the distribution model and on this basis.
In the end, the methods and measures for developing the catastrophe insurance market in China are put forward by using the advanced experience of foreign countries in the actual conditions of our country.

【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51;F842.64

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