以財務再保險、限定再保險移轉災害風險之研究

Abstract

英商信利保險經紀人股份有限公司於中華民國九十四年五月接受行政院金融監督管理委員會保險局委託進行「以財務再保險、限定再保險移轉災害風險之研究」。本研究計劃內容分為下列六大項目：一、財務/限定再保險及其他新興風險移轉工具之沿革及性質 二、財務再保險/限定再保險的風險融通 三、財務再保險/限定再保險的監理 四、財務再保險/限定再保險的案例介紹 五、台灣運用財務再保險/限定再保險移轉巨災風險之可能性評估 六、結論與建議。各項研究內容及成果摘述如下：一、財務/限定再保險及其他新興風險移轉工具之沿革及性質：探討財務再保險/限定再保險在新興風險移轉市場的發展及所扮演的角色，說明財務再保險/限定再保險的型態及其他新興風險移轉工具與財務/限定再保險（ART/FFR）在一般公司、保險人與再保險人等不同對象上的應用，並對銀行金融衍生性商品之近況做簡要說明以及簡短評論保險業與銀行業至今整合有限之原因 二、財務再保險/限定再保險的風險融通：研究財務再保險及限定再保險的訂價、傳統保險商品及財務再保險商品價格比較、財務再保險/限定再保險與傳統再保險在商品結構與功用的成本效率的比較分析、財務再保險/限定再保險的稅負與會計議題、10-10 經驗法則、財務再保險/限定再保險商品之現金流量表與財務再保險/限定再保險在巨災風險融通上扮演的角色 三、財務再保險、限定再保險的監理：除了分析財務再保險、限定再保險商品的保障與條款外，並對主要國家－英國、美國、澳洲、新加坡及日本等國之財務再保險、限定再保險之監理與法律規範做比較研究，期能獲得有用的結論以供委託單位參考；此外也探討財務再保險、限定再保險的風險基礎資本的要求，提出財務衡量法、百分位衡量法、超出衡量法及動差衡量法等風險衡量方法以供選擇，並探討Scaled配置法、Shapley法、Ruhm-Mango-Kreps法及共量法（Co-Measure，CM）等資本配置方法之實例應用 四、財務再保險、限定再保險的案例介紹：在歐美方面本報告詳細介紹HIH保險股份有限公司、Brightpoint公司、ROA公司、Converium公司、Renaissance再保險公司、美國國際集團（AIG）、Chiyoda保險公司、USA等案例；日本與亞太地區財務再保險、限定再保險案例則以Fortress Re為例，加以說明 五、台灣地區運用財務再保險／限定再保險以移轉巨災風險之可能性評估：本報告對現有住宅地震保險共保組織（TREIP）之危險承擔機制之結構及運作進行分析評論，提出建構TREIP模型之方法以及因應未來TREIP之危險承擔機制所可能面臨的情況的解決方案；對此，本公司（英商信利保險經紀人股份有限公司）也於中華民國九十五年五月十八日向台灣住宅地震保險共保組織（TREIP）進行簡報，並提出建議的可行方案供其研究參考 六、結論與建議：綜合應用前述研究之成果，在此提出財務再保險／限定再保險在台灣對天然災害風險移轉的應用、安排及整體策略的配套措施的建議，並分別從現行有關之法律規範及再保會計監理等方面，提出修訂建議以供主管機關參考。 Introduction We at Heath Lambert would like to thank the Taiwan Insurance Bureau for appointing our Company to write a report on Finite and Financial Reinsurance (FFR) for the Taiwanese Market. Our final report follows and we believe that this document fulfils both our original specification and the other areas where more detail was requested as the report progressed. Report Summary FFR as a Class In the report we have traced the development of FFR products from their original conception through to the present day where we discuss the types of product currently available. We have then given examples of how these various products can be applied in specific situations with special attention to the analysis of the cost effectiveness of FFR. Regulatory Issues Connected with FFR Our specification included reference to the accounting, regulation and taxation of FFR products – these topics are very much under scrutiny in the current “post-Spitzer” environment. Accounting and regulation have their own chapters, however the study of taxation proved to require only modest attention. This is not because taxation is unimportant, rather we found that FFR is treated no differently to other forms of reinsurance for tax purposes. The emphasis is on ensuring that FFR is accounted correctly within a sensible regulatory framework. Major Pitfalls in FFR Included within our report are details of some of the cases where FFR has been found to have been used incorrectly. By necessity, and for legal reasons, these case studies are based on information in the public domain, however the exercise is no less useful with this restriction. The case studies give the background to the forces driving the development of the regulation of FFR in the current reinsurance market. The Possibilities for FFR in Taiwan The final part of our report is a discussion of the possibilities for FFR in the Taiwanese Market, particularly in the area of earthquake reinsurance. Within this section we have identified areas where FFR could be applied within the TREIP programme. Key Points Arising from the Report We have identified several key points from our study which will shall highlight under the four general sections summarised above. FFR as a Class Despite the recent problems highlighted by the Spitzer investigation and the subsequent withdrawal of a number of players, FFR is still an important part of the reinsurance market place. Indeed, certain types of FFR such as catastrophe bonds and collateralised reinsurance are expected to increase in importance over the coming years as the schism between the banking and insurance markets continues to narrow. This convergence is driven by the insurance markets’ appetite for new capital and the banking markets’ appetite for uncorrelated investments. Regulatory Issues Connected with FFR The current raft of regulation concerning FFR has in the main been aimed at eradicating “hidden” practices. “Side” letters and “handshake” agreements are now outlawed - the focus is on ensuring transparency in all dealings. Transparency eliminates many of the problems of the past. The correct accounting of FFR transactions involves the use of deposit accounting for future assets and liabilities where appropriate. Such deposit transactions should be mirrored in the reinsurers balance sheet. Once FFR transactions are transparent and correctly accounted, taxation follows the normal rules applying. At present, in the wake of the Spitzer investigation, the regulation of FFR contracts is in a state of flux in many jurisdictions. In the UK the FSA is favouring a “principles” approach on the basis that the more rules that are put in place, the more ways market practitioners will find around those rules. Other markets operate on a more “rules” based approach. In Europe the impending application of Solvency II will have a major influence on the potential benefits of certain types of FFR such as solvency quota shares. There is therefore no global standard for the regulation of FFR, and such a standard is unlikely to evolve in the foreseeable future. Major Pitfalls in FFR Where the newer standards for the regulation of FFR are applied, many of the past abuses of FFR would be avoided. Possibilities for FFR in Taiwan There are essentially 3 main areas for likely usage of Finite and Financial Reinsurance techniques in Taiwan. These are as follows: 1. The most likely buyers of Finite and Financial Reinsurance products are domestic Taiwanese insurance companies. Typically they will consider Finite Risk Policies at the bottom end of their Reinsurance Programmes - helping to reduce their net retentions per event, annually and over a period of years. In addition, they are likely to increasingly consider the purchase of CAT Bonds at the very top end of their programmes – partly to increase available capacity (which is currently shrinking in world markets) but perhaps more importantly to guarantee the security of capacity at this level. Their interest in Catastrophe Bonds will be dependent on their own unique aggregation of catastrophe exposures and perils sought may extend from earthquake and typhoon to perhaps include more unusual exposures including bird flu. 2. Depending on the knowledge base of Risk Managers and Finance Directors of larger domestic Taiwan Corporations, it is possible that these entities might start looking to buy Finite Risk/Retention Financing Policies in order to help finance their retentions in their traditional insurance programmes. Policies bought at this level may apply as a reinsurance of captives or perhaps as an alternative to captive arrangements. It is unlikely that any Taiwanese corporations will consider Catastrophe Bond as they are unlikely to have sufficient concentration of exposures to make the purchase of such bond a financially viable option for them. Other techniques ranging from contingent Capital to Credit Enhancement may start to appear in this market place however it will largely be dependent on their insurance broker’s knowledge and ability to arrange and explain these quite complex transactions. 3. Government Level – we have outlined on our presentation certain strategies that the Government should consider as part of a co-ordinated and considered approach to the provision of funds to be made available in the event of a major catastrophe. The precise definition of “catastrophe” still needs to be established however given the magnitude of the exposure and the size of the limits required, we feel that a blend of a number of different Alternative Risk Transfer techniques will need to be utilised in order to design the most efficient long term strategy for dealing with this issue.