Please use this identifier to cite or link to this item: https://ah.nccu.edu.tw/handle/140.119/53842


Title: 以巨災權益賣權、巨災交換,及衍生性商品之保險期貨、GCCI巨災選擇權等新財務工具移轉災害風險之研究
Other Titles: Study on Transferring Catastrophe Risks by Alternative Financial Instruments
Authors: 林建智;周行一;蔡政憲
Contributors: 國立政治大學風險管理與保險學系
行政院金融監督管理委員會保險局
Keywords: 新財務工具移轉災害風險
Date: 2006
Issue Date: 2012-10-22 15:43:10 (UTC+8)
Abstract: 壹、研究計畫目標 本計畫之目標有三項:第一、針對威脅台灣地區之主要災害尋找新的風險移轉工具;第二、是針對Cat-bonds管理住宅地震風險(Residential Earthquake, REQ)之實證研究,即針對台灣已經發行之住宅地震巨災債券,進行成本效益分析,;第三、針對台灣地區住宅地震風險(REQ),利用一些新的風險轉移工具,搭配傳統的保險/再保險,提出整合型風險管理(Integrated Risk Management, IRM)計畫。 針對第一個目標,本研究將汲取歐美日等國之制度與經驗,比較分析我國市場與業界相關基礎建設之完備性,探討引進新興財務風險移轉工具來管理台灣的巨災風險(諸如,地震、颱風或洪水等天然災害)所可能面臨的問題,並試圖提出因應之道。 針對第三項,我們將釐定巨災保險的自留額及風險區間,分別就不同的風險區間決定適合的保險策略,決定不同地區巨災(天然災害)保險的自負額,同時擬定合理商業保險的承保或共保(co-insurance)區間。然後結合第一個目標的研究成果,具體建議如何用新興工具,利用投資者購買的意願,轉移無法承保區間的風險。 貳、研究計劃內容 首先針對商品方面做回顧,藉由對市面上已存有之商品(包含巨災權益賣權、巨災交換,巨災期貨、巨災選擇權、或有資本、以及天氣衍生性商品等),作初步探討來找出「市場中量能較大」、「在國外已有顯著的市場」、或 「具有市場潛力」的商品,並針對這些商品在台灣市場的可行性進行評估。我們將挑選這些比較重要或比較有潛力的商品,根據如下的各種層面進行介紹與論述。 一、市場概況 1. 市場沿革 2. 市場大小 3. 主要參與者: 投資人(source of capital)、market makers/suppliers (資金去處) 4. 交易地點與方式: 集中市場 vs. 店頭市場、有無市場價格、市場價格的客觀程度等 5. 法令規定與監理機關 6. 商品簡介:商品的本質、內涵、與特性,包含發行、起動機制、行銷方式等。 7. 預期報酬率:歷史報酬率、交易成本 8. 風險評估:波動程度、流動性 9. 未來展望 二、運用考量 1. 法令限制:有關稅捐、會計、與法規適用問題之探討。 2. 運用實例: 盡可能蒐集國外以新興財務工具移轉災害風險之實例。 三、可行性分析 1. 歐美日等國之制度與經驗 2. 相關基礎建設之完備性 3. 我國可能面臨之問題與因應之道 本計畫的第二個主要內容,是以Cat-bonds管理REQ之實證研究。將針對目前市面中央再保公司所發行的巨災債券做「成本-效益分析」。 有了上述的商品瞭解以及一些初步的實證經驗,我們將綜合之前兩期計畫的研究成果,以及研究人員出國考察的心得,進行REQ的IRM分析。內容包含: 1. 財務能量與自留容量之評估、 2. 傳統(再)保險工具之應用、以及 3. 新興財務工具之應用 最後提出REQ的整合型風險管理計畫。這部分的內容,經擴大整理後,也將成為本計畫的結論與建議。 參、研究方法 一、針對商品的介紹與分析,我們將以「文獻探討」搭配「實務訪談與專家座談」的方式來進行。盡可能蒐集相關的學術與實務資料來研讀,然後透過書信、電話、與出國訪談等溝通方式瞭解日本及歐美主要國家新財務工具之實際運作經驗,深入瞭解其實施成效及問題。為了更進一步探討利用新興財務工具移轉我國災害風險之可行性,本研究將舉辦專家意見座談會,邀請國內外頂尖學者、業界菁英以及政府相關單位主管,針對我國實際可能面臨之問題進行與深度意見溝通,並將座談會結論彙整成具體建議以作參考。 二、針對中央再保公司所發行的巨災債券,我們將以實際的數字,進行這個案例的「成本-效益分析」。 三、針對REQ的分析,我們將利用「IRM」的方法,利用既有之損失模型,考量新興財務工具與傳統(再)保險工具,規劃未來台灣住宅地震保險制度(個案)之風險管理計畫。
Due to the changes in natural or human hazards and the increasing severity of economic losses, the management of catastrophe loss exposure is critical for enterprises. For the challenge of market competition and the goal of long lasting operation, enterprises need to undertake certain Alternative Risk Transfer (ART) tools, instead of conventional insurance, to spread their risks in a financial risk management approach. To efficiently transfer residential loss exposure related to earthquake, Taiwan issued a 3 years catastrophe bond (Cat. Bond) in 2003. After the implementation, the cost efficiency and the securitization of natural disaster risks become controversial in Taiwan. Furthermore, to identify various kinds of business risks, the emerging concept of Integrated Risk Management has been introduced to combine insurance and finance technology on an integrated approach.。 The main themes of this study include: (1) ART product analysis and the feasibility study of their appliance in Taiwan; (2) Cost efficiency evaluation of Taiwanese Cat. Bond and recommendation for the future possible securitization; (3) Foundation theoretical study of IRM, a case study upon of Munich Re. Group and simulation in Taiwan Residential Earthquake Insurance Fund (TREIF). It is observed that insurance and reinsurance will remain significant for transferring natural catastrophic risks in Taiwan. Most of ART tools can only support the insufficiency of underwriting capacity of insurance or reinsurance market. For Taiwanese users, weather derivative might have the potential to develop in economy of market scale. It is recognized that it is difficult to accurately evaluate the cost efficiency of the Taiwanese Cat Bond. Obviously the cost and expenses of issuance is much higher than procurement of traditional reinsurance. However, those side benefits such as bargain experience, international exposure are not able to be measured. While the margin effect of side benefits decrease, the TREIF should still make it more concisely compared to the price offered by traditional reinsurance market. It is observed that the concept, content, methodology and available tools of IRM have been well discussed in the academic sector. Nevertheless, no practical cases or projects so far could be found in the insurance industry in Taiwan. It is recommended that the insurance companies shall spontaneously design or implement their own IRM project to enhance business performance and security. If not in place, the regulatory authority shall require them to comply by means of its supervisory measures.
Relation: 基礎研究
委託研究
研究期間:9502~ 9511
研究經費:3500仟元
Data Type: report
Appears in Collections:[風險管理與保險學系 ] 國科會研究計畫

Files in This Item:

File Description SizeFormat
RRPG950300.pdf2453KbAdobe PDF1002View/Open
RRPG950300 (1).pdf1686KbAdobe PDF1157View/Open
RRPG950300 (2).pdf3813KbAdobe PDF1404View/Open


All items in 學術集成 are protected by copyright, with all rights reserved.


社群 sharing