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題名 巨災風險證券化之分析
Analysis of Catastrophe Risk Securitization
作者 侯丁月
Hou, Ting-Yueh
貢獻者 曾榮秀<br>鄧家駒
Tsen, Ron S.<br>Mark Tang, G.
侯丁月
Hou, Ting-Yueh
關鍵詞 巨災保險期貨
巨災債券
巨災選擇權
亞式選擇權
Catastrophe Insurance Futures
Cat Bond
Cat Option
Asian Option
日期 2001
上傳時間 18-Apr-2016 16:28:31 (UTC+8)
摘要 90年代由於世界各地巨災頻傳，導致再保險人的承保能量嚴重不足，甚至於威脅到再保險人的清償能力，由於保險市場的容量已無法足夠涵蓋巨災的損失，再保險人開始尋找其他的風險移轉工具，因而在1992年芝加哥交易所保險證券化商品問世---巨災保險期貨。
In the 1990s, many catastrophes occurred around the world, leading to a lack in reinsurers’ underwriting capacity and even, in some cases, threatening their solvency. Because the insurance market as a whole was unable to provide sufficient coverage for the catastrophe losses, reinsurers started looking for other risk transfer and management tools. In 1992, the first insurance securitization product was traded on the Chicago Board of Trade---Catastrophe Insurance Futures.
參考文獻 中文部分
1. 王言， 「保險商品證券化之介紹：期貨之發展與保險期貨之認識」，保險專刊，第27期，1992年3月，120-125。
2. 計弘仁， 「論保險期貨及其對再保險市場之影響」，私立中原大學企業管理研究所碩士論文，民國84年6月。
3. 凌氤寶， 「巨大損失保險期貨」，保險專刊，第35期，1994年3月，93-101。
4. 洪士凱， 「巨災保險期貨避險績效相關因素之敏感度分析」，私立逢甲大學統計與精算研究所碩士論文，民國88年6月。
5. 陳常沂與張經理， 「巨災保險期貨避險之研究」，保險專刊，第47期，1997年3月，74-94。
6. 陳森松， 「論產物保險業新避險工具－保險衍生商品」，保險專刊，第53期，1998年9月，112-125。
7. 陳繼堯等人， 「金融自由化下財務再保險運用實況與將來之發展」，財團法人保險事業發展中心，2000年2月。
8. 張士傑， 「證券化承保風險：保險人及投資人的策略性前景」，財團法人保險事業發展中心，2001年4月。
9. 張偉忠， 「巨災債券之理論與實際」，國立中央大學財務管理研究所碩士論文，民國89年6月。
10. 劉卓皓， 「巨災保險選擇權評價模式之研究」，國立政治大學風險管理與保險學研究所碩士論文，民國86年7月。
11. 蕭鶴賢與賴麗琴， 「各國巨災保險比較研究」，中央再保險公司，2000年3月。
O 英文部分
1. Briys E., 1997, “From Genoa to Kobe: Natural hazards, insurance risks and the pricing of insurance-linked bonds”, London, Lehman Brothers International.
2. Caroly W. Chang, Jack S. K. Chang and Min-Teh Yu, 1996, Pricing Catastrophe Insurance Futures Call Spreads: A Randomized Operational Time Approach, Journal of Risk and Insurance, Vol 63, No.4, 599-617.
3. Cox, J.C., Ross, S.A. and Rubinstein, M., Options pricing: A simplified approach, Journal of Financial Economics, 7, 1979, 229-263.
4. Cox Samuel H. and Hal W. Pederson, 1997, Catastrophe risk bonds, Astin/afir Colloquia, Cairns, Australia, 117-140.
5. Dwight M. Jaffee and Thomas Russell, 1997, Catastrophe Insurance, Capital Markets, and Uninsurable Risks, Journal of Risk and Insurance, Vol 64, No.2, 205-230.
6. Garry Booth and Charles J. Allard Jr, 1999, “Insurance risk securitization: A Guide for Issuers and Investors”, Marsh & McLennan Securities Corp.
7. Glenn Meyers and John Kollar, 1999, Catastrophe risk securitization insurer and investor perspectives, Casualty Actuarial Society “Securitization of Risk” Discussion Paper Program.
8. John C. Cox and Stephen A. Ross, 1975, The Valuation Option for Alternative Stochastic Processes, Journal of Financial Economics, 3, 1976, 145-166.
9. John C. Cox, Stephen A. Ross and Mark Rubinstein, 1979, Option Pricing: A Simplified Approach, Journal of Financial Economics, 7, 1979, 229-263.
10. John Wiley & Sons, 1998, “Option, futures and exotic derivatives: Theory, application and practice”, Chichester West Sussex, England; New York, 225-439.
11. Joseph B. Cole and Richard L. Sandor, 1994, “Opportunities for Hedging and Trading with Catastrophe Insurance Futures and Options”, the Handbook of the Derivatives & Synthetics, 195-209.
12. Kenneth Froot, 1998, “The Evolving Market for Catastrophic Event Risk”, Marsh & McLennan Securities Corp.
13. Merton, R. C., 1976, Option pricing when underlying stock returns are discontinuous, Journal of Financial Economics, 3, 1976, 125-144.
14. New perspectives risk securitization and contingent capital solutions, 1997, Swiss Re New Markets.
15. Richard R. Anderson, Eduardo Canabarro, Fouad Bendimerad and Markus Finkemeier, 1998, Fixed Income Research: Analyzing insurance-linked securities. , Goldman, Sachs & Co.
16. Richard W. Gorvett, 1999, Insurance securitization: The development of a new asset class, Casualty Actuarial Society “Securitization of Risk”Discussion Paper Program.
17. Samuel H. Cox and Robert G. Schwebach, 1992, Insurance Futures and Hedging Insurance Price Risk, Journal of Risk and Insurance, Vol LIX, No.4, 628-644.
18. Sigma-Swiss Re, 1996, Insurance derivatives and securitization: New hedging perspectives for the US catastrophe insurance market? , Sigma No.5, Swiss Re.
19. Sigma-Swiss Re, 2000, World insurance in 1999: Soaring life insurance business, Sigma, No.9, Swiss Re.
20. Sigma-Swiss Re, 2001, Natural catastrophes and man-made disasters in 2000: fewer insured losses despite huge floods, Sigma No.2, Swiss Re.
21. Stephen P. D’Arcy, 1992, Catastrophe Futures: A Better Hedge for Insurers, Journal of Risk and Insurance, Vol LIX, No.4, 575-601.
22. Stephen P. D’Arcy and Richard W. Gorvett, 1999, Pricing Catastrophe Risk：Could Cat Futures Have Coped with Andew? , Casualty Actuarial Society “Securitization of Risk” Discussion Paper Program.
23. Stuart A. Klugman, Harry H. Panjer and Gordon E. Willmot, 1998, “Loss model: From data to decisions”, Wiley Series in Probability and Statististics.
24. Trent R. Vaughn, 1999, Property/Liability Insurance Risk Management and Securitization, Casualty Actuarial Society “Securitization of Risk” Discussion Paper Program.
25. Vivek J. Bantwal & Howard C. Kunreuther, 1999, A cat bond Premium Puzzle? , Paper reports on research supported by the Wharton Financial Institutions Center and the Wharton Risk Management and Decision Processes Center Project on “Managing Catastrophic Risks”.
描述 碩士
國立政治大學
風險管理與保險研究所
87358021
資料來源 http://thesis.lib.nccu.edu.tw/record/#A2002001463
資料類型 thesis
dc.contributor.advisor 曾榮秀<br>鄧家駒zh_TW
dc.contributor.advisor Tsen, Ron S.<br>Mark Tang, G.en_US
dc.contributor.author (Authors) 侯丁月zh_TW
dc.contributor.author (Authors) Hou, Ting-Yuehen_US
dc.creator (作者) 侯丁月zh_TW
dc.creator (作者) Hou, Ting-Yuehen_US
dc.date (日期) 2001en_US
dc.date.accessioned 18-Apr-2016 16:28:31 (UTC+8)-
dc.date.available 18-Apr-2016 16:28:31 (UTC+8)-
dc.date.issued (上傳時間) 18-Apr-2016 16:28:31 (UTC+8)-
dc.identifier (Other Identifiers) A2002001463en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/85412-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 風險管理與保險研究所zh_TW
dc.description (描述) 87358021zh_TW
dc.description.abstract (摘要) 90年代由於世界各地巨災頻傳，導致再保險人的承保能量嚴重不足，甚至於威脅到再保險人的清償能力，由於保險市場的容量已無法足夠涵蓋巨災的損失，再保險人開始尋找其他的風險移轉工具，因而在1992年芝加哥交易所保險證券化商品問世---巨災保險期貨。zh_TW
dc.description.abstract (摘要) In the 1990s, many catastrophes occurred around the world, leading to a lack in reinsurers’ underwriting capacity and even, in some cases, threatening their solvency. Because the insurance market as a whole was unable to provide sufficient coverage for the catastrophe losses, reinsurers started looking for other risk transfer and management tools. In 1992, the first insurance securitization product was traded on the Chicago Board of Trade---Catastrophe Insurance Futures.en_US
dc.description.tableofcontents 封面頁
證明書
致謝詞
論文摘要
目錄
圖表目錄
第一章 緒論
1.1 研究動機與研究目的
1.2 研究限制與研究架構
第二章 證券化介紹及文獻探討
2.1 再保險市場之演變
2.2 相關文獻探討
2.3 保險證券化商品之起源及商品之介紹
2.4 傳統再保險與保險證券化商品之優缺點
第三章 理論基礎
3.1 保險證券化商品之定價模型
3.2 巨災債券定價模型
3.3 巨災選擇權定價模型
第四章 實證研究
4.1 損失分佈及合適之模式
4.2 巨災債券之模擬
4.3 巨災選擇權之模擬
第五章 結論與建議
5.1 結論
5.2 對台灣發行保險證券化商品的建議
附表
附表1：近幾年巨災交易一覽表
附表2：Catastrophe Insurance Options Contract pecifications
附表3：PCS指數與GCCI指數之比較表
附表4：1995∼2000 Trade Monthly Volumes of Insurance Options
附表5：1970∼2000年前四十大巨災事件保險損失金額一覽表
參考文獻		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#A2002001463en_US
dc.subject (關鍵詞) 巨災保險期貨zh_TW
dc.subject (關鍵詞) 巨災債券zh_TW
dc.subject (關鍵詞) 巨災選擇權zh_TW
dc.subject (關鍵詞) 亞式選擇權zh_TW
dc.subject (關鍵詞) Catastrophe Insurance Futuresen_US
dc.subject (關鍵詞) Cat Bonden_US
dc.subject (關鍵詞) Cat Optionen_US
dc.subject (關鍵詞) Asian Optionen_US
dc.title (題名) 巨災風險證券化之分析zh_TW
dc.title (題名) Analysis of Catastrophe Risk Securitizationen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 中文部分
1. 王言， 「保險商品證券化之介紹：期貨之發展與保險期貨之認識」，保險專刊，第27期，1992年3月，120-125。
2. 計弘仁， 「論保險期貨及其對再保險市場之影響」，私立中原大學企業管理研究所碩士論文，民國84年6月。
3. 凌氤寶， 「巨大損失保險期貨」，保險專刊，第35期，1994年3月，93-101。
4. 洪士凱， 「巨災保險期貨避險績效相關因素之敏感度分析」，私立逢甲大學統計與精算研究所碩士論文，民國88年6月。
5. 陳常沂與張經理， 「巨災保險期貨避險之研究」，保險專刊，第47期，1997年3月，74-94。
6. 陳森松， 「論產物保險業新避險工具－保險衍生商品」，保險專刊，第53期，1998年9月，112-125。
7. 陳繼堯等人， 「金融自由化下財務再保險運用實況與將來之發展」，財團法人保險事業發展中心，2000年2月。
8. 張士傑， 「證券化承保風險：保險人及投資人的策略性前景」，財團法人保險事業發展中心，2001年4月。
9. 張偉忠， 「巨災債券之理論與實際」，國立中央大學財務管理研究所碩士論文，民國89年6月。
10. 劉卓皓， 「巨災保險選擇權評價模式之研究」，國立政治大學風險管理與保險學研究所碩士論文，民國86年7月。
11. 蕭鶴賢與賴麗琴， 「各國巨災保險比較研究」，中央再保險公司，2000年3月。
O 英文部分
1. Briys E., 1997, “From Genoa to Kobe: Natural hazards, insurance risks and the pricing of insurance-linked bonds”, London, Lehman Brothers International.
2. Caroly W. Chang, Jack S. K. Chang and Min-Teh Yu, 1996, Pricing Catastrophe Insurance Futures Call Spreads: A Randomized Operational Time Approach, Journal of Risk and Insurance, Vol 63, No.4, 599-617.
3. Cox, J.C., Ross, S.A. and Rubinstein, M., Options pricing: A simplified approach, Journal of Financial Economics, 7, 1979, 229-263.
4. Cox Samuel H. and Hal W. Pederson, 1997, Catastrophe risk bonds, Astin/afir Colloquia, Cairns, Australia, 117-140.
5. Dwight M. Jaffee and Thomas Russell, 1997, Catastrophe Insurance, Capital Markets, and Uninsurable Risks, Journal of Risk and Insurance, Vol 64, No.2, 205-230.
6. Garry Booth and Charles J. Allard Jr, 1999, “Insurance risk securitization: A Guide for Issuers and Investors”, Marsh & McLennan Securities Corp.
7. Glenn Meyers and John Kollar, 1999, Catastrophe risk securitization insurer and investor perspectives, Casualty Actuarial Society “Securitization of Risk” Discussion Paper Program.
8. John C. Cox and Stephen A. Ross, 1975, The Valuation Option for Alternative Stochastic Processes, Journal of Financial Economics, 3, 1976, 145-166.
9. John C. Cox, Stephen A. Ross and Mark Rubinstein, 1979, Option Pricing: A Simplified Approach, Journal of Financial Economics, 7, 1979, 229-263.
10. John Wiley & Sons, 1998, “Option, futures and exotic derivatives: Theory, application and practice”, Chichester West Sussex, England; New York, 225-439.
11. Joseph B. Cole and Richard L. Sandor, 1994, “Opportunities for Hedging and Trading with Catastrophe Insurance Futures and Options”, the Handbook of the Derivatives & Synthetics, 195-209.
12. Kenneth Froot, 1998, “The Evolving Market for Catastrophic Event Risk”, Marsh & McLennan Securities Corp.
13. Merton, R. C., 1976, Option pricing when underlying stock returns are discontinuous, Journal of Financial Economics, 3, 1976, 125-144.
14. New perspectives risk securitization and contingent capital solutions, 1997, Swiss Re New Markets.
15. Richard R. Anderson, Eduardo Canabarro, Fouad Bendimerad and Markus Finkemeier, 1998, Fixed Income Research: Analyzing insurance-linked securities. , Goldman, Sachs & Co.
16. Richard W. Gorvett, 1999, Insurance securitization: The development of a new asset class, Casualty Actuarial Society “Securitization of Risk”Discussion Paper Program.
17. Samuel H. Cox and Robert G. Schwebach, 1992, Insurance Futures and Hedging Insurance Price Risk, Journal of Risk and Insurance, Vol LIX, No.4, 628-644.
18. Sigma-Swiss Re, 1996, Insurance derivatives and securitization: New hedging perspectives for the US catastrophe insurance market? , Sigma No.5, Swiss Re.
19. Sigma-Swiss Re, 2000, World insurance in 1999: Soaring life insurance business, Sigma, No.9, Swiss Re.
20. Sigma-Swiss Re, 2001, Natural catastrophes and man-made disasters in 2000: fewer insured losses despite huge floods, Sigma No.2, Swiss Re.
21. Stephen P. D’Arcy, 1992, Catastrophe Futures: A Better Hedge for Insurers, Journal of Risk and Insurance, Vol LIX, No.4, 575-601.
22. Stephen P. D’Arcy and Richard W. Gorvett, 1999, Pricing Catastrophe Risk：Could Cat Futures Have Coped with Andew? , Casualty Actuarial Society “Securitization of Risk” Discussion Paper Program.
23. Stuart A. Klugman, Harry H. Panjer and Gordon E. Willmot, 1998, “Loss model: From data to decisions”, Wiley Series in Probability and Statististics.
24. Trent R. Vaughn, 1999, Property/Liability Insurance Risk Management and Securitization, Casualty Actuarial Society “Securitization of Risk” Discussion Paper Program.
25. Vivek J. Bantwal & Howard C. Kunreuther, 1999, A cat bond Premium Puzzle? , Paper reports on research supported by the Wharton Financial Institutions Center and the Wharton Risk Management and Decision Processes Center Project on “Managing Catastrophic Risks”.		zh_TW