【摘要】：蘇皖地區(qū)位于我國東部,地跨長江、淮河兩大流域。受江淮流域季風(fēng)氣候等影響,降水偏多且年際分布不均勻,臺(tái)風(fēng)、洪澇等氣象巨災(zāi)頻繁發(fā)生。長期以來,面對(duì)洪澇災(zāi)害造成的巨額經(jīng)濟(jì)損失,都是政府充當(dāng)了最大的救濟(jì)者。隨著損失的不斷增大,政府的財(cái)政壓力加重,傳統(tǒng)的災(zāi)害管理模式漸漸失靈。由于我國巨災(zāi)風(fēng)險(xiǎn)保障體系不健全,一旦洪澇巨災(zāi)發(fā)生,保險(xiǎn)公司連帶再保險(xiǎn)公司都可能面臨破產(chǎn)。為此越來越多的保險(xiǎn)公司開始將目光轉(zhuǎn)向?qū)嵙π酆竦馁Y本市場,來轉(zhuǎn)嫁洪澇巨災(zāi)風(fēng)險(xiǎn),緩解資金不足等問題,洪澇災(zāi)害風(fēng)險(xiǎn)證券化油然而生,具有很大的發(fā)展?jié)摿�。因此研究洪澇�?zāi)害風(fēng)險(xiǎn)證券化是我國保險(xiǎn)業(yè)和政府所需關(guān)注的重要前沿課題,具有重要的經(jīng)濟(jì)意義和社會(huì)意義。 本文首先從蘇皖地區(qū)洪澇災(zāi)害風(fēng)險(xiǎn)管理現(xiàn)狀出發(fā)研究傳統(tǒng)災(zāi)害管理模式的局限性,以及盡快發(fā)展洪澇巨災(zāi)債券的必要性。其次利用現(xiàn)金流貼現(xiàn)模型對(duì)兩時(shí)期和多時(shí)期下洪澇債券的定價(jià)問題進(jìn)行精算分析,分析了不同風(fēng)險(xiǎn)下再保險(xiǎn)公司的分保成本及再保險(xiǎn)費(fèi)率問題。再次運(yùn)用SPSS構(gòu)建蘇皖地區(qū)1981—2012年洪澇災(zāi)害的損失分布模型,結(jié)合資本資產(chǎn)定價(jià)模型來完成洪澇債券的初步定價(jià)設(shè)計(jì)并加以完善。最后從實(shí)際出發(fā),借鑒國外經(jīng)驗(yàn),從完善再保險(xiǎn)市場和逐步發(fā)展洪災(zāi)保險(xiǎn)證券化兩方面,探索我國成功發(fā)展洪澇災(zāi)害保險(xiǎn)證券化的有效途徑。
[Abstract]:Jiangsu-Anhui region is located in the east of China, across the Yangtze River, Huaihe River basin. Influenced by the monsoon climate of the Jianghuai River Basin, the precipitation is on the high side and the interannual distribution is uneven. Typhoon, flood and other meteorological catastrophes occur frequently. For a long time, the government has acted as the biggest relief because of the huge economic losses caused by flood disaster. With the increasing of losses, the financial pressure of the government is increasing, and the traditional disaster management mode is gradually out of order. Due to the imperfect system of catastrophe risk protection in China, once floods occur, insurance companies may face bankruptcy. For this reason, more and more insurance companies begin to turn their eyes to the strong capital market to transfer the flood catastrophe risk and alleviate the shortage of funds. The flood disaster risk securitization arises spontaneously and has great development potential. Therefore, the study of flood risk securitization is an important frontier subject that the insurance industry and the government should pay attention to, which has important economic and social significance. Based on the current situation of flood risk management in Jiangsu and Anhui provinces, this paper studies the limitation of traditional disaster management model and the necessity of developing flood catastrophe bond as soon as possible. Secondly, using the discounted cash flow model, this paper makes an actuarial analysis on the pricing of flood bonds in two and more periods, and analyzes the reinsurance costs and reinsurance rates of reinsurance companies under different risks. The loss distribution model of flood disaster in Jiangsu and Anhui provinces from 1981 to 2012 is constructed by using SPSS, and the preliminary pricing design of flood bonds is completed and perfected with the capital asset pricing model. Finally, from the practical point of view, drawing on the experience of foreign countries, and from two aspects of perfecting the reinsurance market and developing flood insurance securitization step by step, this paper explores the effective ways to successfully develop the flood insurance securitization in China.
【學(xué)位授予單位】：南京信息工程大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51;P426.616

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