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題名 巨災風險債券之計價分析
Pricing Catastrophe Risk Bonds
作者 吳智中
Wu, Chih-Chung
貢獻者 張士傑
Chang, Shih-Chieh
吳智中
Wu, Chih-Chung
關鍵詞 巨災風險債券
事故發生率
卜瓦松過程
平賭測度
蒙地卡羅方法
Catastrophe risk bonds
claim hazard rate
Poisson process
martingale measure
Monte Carlo method
日期 2001
上傳時間 18-Apr-2016 16:28:40 (UTC+8)
摘要 運用傳統再保險契約移轉風險受限於承保能量的逐年波動，尤其自90年代起，全球巨災頻繁，保險人損失巨幅增加，承保能量急遽萎縮，基於巨災市場之資金需求，再保險轉向資本市場，預期將巨災風險移轉至投資人，促成保險衍生性金融商品之創新，本研究針對佔有顯著交易量的巨災風險債券進行分析，基於Cummins和Geman (1995)所建構巨災累積損失模型，引用Duffie 與Singleton (1999)於違約債券的計價模式，將折現利率表示為短期利率加上事故發生率及預期損失比例之乘積，並將債券期間延長至多年期，以符合市場承保的需求，應用市場無套利假設及平賭測度計價的方法計算合理的市場價值，巨災損失過程將分成損失發展期與損失確定期，以卜瓦松過程表示巨災發生頻率，並利用台灣巨災經驗資料建立合適之損失幅度模型，最後以蒙地卡羅方法針對三種不同型態的巨災風險債券試算合理價值，並具體結論所得的數值結果與後續之研究建議。
Using traditional reinsurance treaties to transfer insurance risks are restrained due to the volatility of the underwriting capacity annually. Catastrophe risks have substantially increased since the early 1990s and have directly resulted significant claim losses for the insurers. Hence the insurers are pursuing the financial capacities from the capital market. Transferring the catastrophe risks to the investor have stimulated the financial innovation for the insurance industry. In this study, pricing issues for the heavily traded catastrophe risk bonds (CAT-bond) are investigated. The aggregated catastrophe loss model in Cummins and Geman (1995) are adopted. While the financial techniques in valuing the defaultable bonds in Duffie and Singleton (1999) are employed to determine the fair prices incorporating the claim hazard rates and the loss severity. The duration of the CAT-bonds is extended from single year to multiple years in order to meet the demand from the reinsurance market. Non- arbitrage theory and martingale measures are employed to determine their fair market values. The contract term of the CAT-bonds is divided into the loss period and the development period. The frequency of the catastrophe risk is modeled through the Poisson process. Taiwan catastrophe loss experiences are examined to build the plausible loss severity model. Three distant types of CAT-bonds are analyzed through Monte Carlo method for illustrations. This paper concludes with remarks regarding some pricing issues of CAT-bonds.
參考文獻 一、 中文部分
1 、 張士傑，山中康司(2000)。 非傳統型式再保險：風險移轉方式。核保學報，第八卷，頁61-85。
2 、 陳繼堯，曾武仁(2000)。 金融自由化下新興風險移轉方式之運用現況與發展。財團法人保險事業發展中心，2000年2月。
二、 英文部分
1、Belonsky G. (1999). Insurance-Linked Securities. New markets Corporate Communication, Swiss Re.
2、Booth G. (1997). Managing Catastrophe Risk. FT Financial Publishing, London.
3、Canter M. , Cole J. , Sandor R. (1996). Insurance Derivatives: A New Asset Class for the Capital Markets and a New Hedging Tool for the Insurance Industry. Journal of Derivatives, Vol. 4, No.2 , 89-104.
4、Cathcart L. and EL-Jahel L. (1998). Valuation of Defaultable Bonds. Journal of Fixed Income, June, 65-78.
5、Christensen, C.V. (2000). Securitization of Insurance Risk. PhD Thesis, University of Aarhaus, Denmark.
6、Cox S. , Farichild J. , Pedersen H. (2000). Economic Aspects of Securitization of Risk. AUSTIN BULLETIN, Vol. 30, No. 1, 157-193.
7、Cox S. and Pedersen H. (2000). Catastrophe Risk Bonds. North American Actuarial Journal, Vol. 4, N0. 4, 56-82.
8、Cummins D. and Geman H. (1995). Pricing Catastrophe Insurance Futures and Call Spreads: An Arbitrage Approach. The Journal of Fixed Income, March, 46-57.
9、Cummins D. , Lalonde D. , Phillips R. (2001). The Basis Risk of Catastrophe-loss Index Securities. Working paper, The Wharton School.
10、Doherty N. (1997). Innovation in Managing Catastrophe Risk. The Journal of Risk and Insurance, Vol. 64, No. 4, 713-718.
11、Duffie D. and Singleton K. (1999). Modeling Term Structures of Defaultable Bonds. The Review of Financial Studies, Vol.12, No. 4, 687-720.
12、Durrer A. (1996). Insurance Derivatives and Securitization: New Hedging Perspectives for the US Catastrophe Insurance Market?, Economics Research Section, Swiss Re.
13、Froot K. (1998). The Evolving Market for Catastrophic Event Risk. Prepared by Marsh & McLennan Securities Corp. and sponsored by Guy Carpenter. Internet address: www.guycarp.com/pdf/evolvmkt.pdf.
14、Geman H. (1994). CAT Calls. Risk, Vol. 7, No. 9, 86-90.
15、Geman H. (1999). Insurance-Risk Securitisation and CAT Insurance Derivatives. In Insurance and Weather Derivatives: From Exotic Options to Exotic Underlyings . Risk Books. 101-105.
16、Geman H. (1999). The High-Yield Bond Market: Catastrophe Bonds versus Defaultable Bonds. In Insurance and Weather Derivatives: From Exotic Options to Exotic Underlyings. Risk Books. 137-141.
17、Geman H. and Yor M. (1997). Stochastic Time Changes in Catastrophe Option Pricing. Insurance: Mathematics and Economics 21, 185-193.
18、Gerber H. and Shiu E. (1996). Actuarial Bridges to Dynamic Hedging and Option Pricing. Insurance: Mathematics and Economics 18, 183-218.
19、Harrington S. (1997). Insurance Derivatives, Tax Policy, and the Future of the Insurance Industry. The Journal of Risk and Insurance, Vol. 64, No. 4, 719-725.
20、Harrington S. , Mann S. , and Niehans G. (1995). Insurer Capital Structure Decisions and the Viability of Insurance Derivatives. The Journal of Risk and Insurance, Vol. 62, No. 3, 483-508.
21、Harrington S. and Niehans G. (1999). Basis Risk with PCS Catastrophe Insurance Derivative Contract. The Journal of Risk and Insurance, Vol. 66, No. 1, 49-82.
22、Himick H. (1998). Securitized Insurance Risk: Strategic Opportunities for Insurers and Investors. Glenlake Publishing Compant, Ltd., Chicago.
23、Lane M. (1998). Price, Risk, and Ratings for Insurance-Link Notes: Evaluating Their Position in Your Portfolio. Derivative Quarterly, Summer, 36-51.
24、Levin A. , McWeeney P. and Gugliada R. (1999). Structured Finance Tools Used by Insurance Compancies for CAT Bonds and Similar Products Need Special Analytical Techniques. In International Securitization & Structured Finance Report, April 15, 1999, Standard & Poor’s.
25、Louberge H. ,Kellezi E. and Gilli M. (1999). Using Catastrophe-Linked Securities to Diversify Insurance Risk: A Financial Analysis of Cat Bonds. Journal of Insurance Issues, Vol. 22, No. 2, 125-146.
26、Major J. (1999). Index Hedge Performance: Insurer Market Penetration and Basis Risk. In The Financing of Catastrophe Risk, edited by Kenneth A. Froot, The University of Chicago Press, Chicago and London.
27、Merton R. (1976). Option Pricing when Underlying Stock Returns Are Discontinuous. Journal of Financial Economics, Vol.3, 125-144.
28、Tomas M. (1998). A Note on Pricing PCS Single-Event Options. Derivative Quarterly, Spring, 23-28.
29、Vanneste M. , Goovaerts M.J. , De Vylder F. , and Kaas R. (1996). A Stochastic Approach to Catastrophe Risks. Scand. Actuarial J. 2, 99-108.
30、Wilmott P. (1998). Derivatives. John Wiley & Sons Ltd. , New York.
描述 碩士
國立政治大學
風險管理與保險研究所
88358024
資料來源 http://thesis.lib.nccu.edu.tw/record/#A2002001467
資料類型 thesis
dc.contributor.advisor 張士傑zh_TW
dc.contributor.advisor Chang, Shih-Chiehen_US
dc.contributor.author (Authors) 吳智中zh_TW
dc.contributor.author (Authors) Wu, Chih-Chungen_US
dc.creator (作者) 吳智中zh_TW
dc.creator (作者) Wu, Chih-Chungen_US
dc.date (日期) 2001en_US
dc.date.accessioned 18-Apr-2016 16:28:40 (UTC+8)-
dc.date.available 18-Apr-2016 16:28:40 (UTC+8)-
dc.date.issued (上傳時間) 18-Apr-2016 16:28:40 (UTC+8)-
dc.identifier (Other Identifiers) A2002001467en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/85416-
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) 88358024zh_TW
dc.description.abstract (摘要) 運用傳統再保險契約移轉風險受限於承保能量的逐年波動，尤其自90年代起，全球巨災頻繁，保險人損失巨幅增加，承保能量急遽萎縮，基於巨災市場之資金需求，再保險轉向資本市場，預期將巨災風險移轉至投資人，促成保險衍生性金融商品之創新，本研究針對佔有顯著交易量的巨災風險債券進行分析，基於Cummins和Geman (1995)所建構巨災累積損失模型，引用Duffie 與Singleton (1999)於違約債券的計價模式，將折現利率表示為短期利率加上事故發生率及預期損失比例之乘積，並將債券期間延長至多年期，以符合市場承保的需求，應用市場無套利假設及平賭測度計價的方法計算合理的市場價值，巨災損失過程將分成損失發展期與損失確定期，以卜瓦松過程表示巨災發生頻率，並利用台灣巨災經驗資料建立合適之損失幅度模型，最後以蒙地卡羅方法針對三種不同型態的巨災風險債券試算合理價值，並具體結論所得的數值結果與後續之研究建議。zh_TW
dc.description.abstract (摘要) Using traditional reinsurance treaties to transfer insurance risks are restrained due to the volatility of the underwriting capacity annually. Catastrophe risks have substantially increased since the early 1990s and have directly resulted significant claim losses for the insurers. Hence the insurers are pursuing the financial capacities from the capital market. Transferring the catastrophe risks to the investor have stimulated the financial innovation for the insurance industry. In this study, pricing issues for the heavily traded catastrophe risk bonds (CAT-bond) are investigated. The aggregated catastrophe loss model in Cummins and Geman (1995) are adopted. While the financial techniques in valuing the defaultable bonds in Duffie and Singleton (1999) are employed to determine the fair prices incorporating the claim hazard rates and the loss severity. The duration of the CAT-bonds is extended from single year to multiple years in order to meet the demand from the reinsurance market. Non- arbitrage theory and martingale measures are employed to determine their fair market values. The contract term of the CAT-bonds is divided into the loss period and the development period. The frequency of the catastrophe risk is modeled through the Poisson process. Taiwan catastrophe loss experiences are examined to build the plausible loss severity model. Three distant types of CAT-bonds are analyzed through Monte Carlo method for illustrations. This paper concludes with remarks regarding some pricing issues of CAT-bonds.en_US
dc.description.tableofcontents 封面頁
證明書
致謝詞
論文摘要
符號表
目錄
圖表目錄
第一章 緒論
第一節 研究動機與目的
第二節 研究方法
第三節 研究範圍與限制
第四節 研究架構
第二章 相關文獻及計價基礎
第一節 保險衍生型商品計價基礎
第二節 巨災損失發生情形及計價
第三節 無法履約風險下之利率期間模型
第三章 巨災債券之交易與經濟意義
第一節 巨災債券之定義
壹、巨災債券之交易架構
貳、巨災債券之現金流量
第二節 巨災債券契約型態
第三節 巨災債券的供給與需求
壹、巨災債券的供給
貳、巨災債券的需求
第四章 巨災債券之計價
第一節 不完全市場
第二節 離散模型下巨災債券之計價
壹、直覺模型
貳、財務理論模型
參、計價實例
第三節 連續模型下巨災債券之計價
壹、利率模型
貳、巨災債券之計價
第五章 實證模擬分析
第一節 台灣巨災經驗損失模型
第二節 巨災債券計價模擬
壹、本金沒收型巨災債券
貳、本金部分保證型巨災債券
參、本金保證償還型巨災債券
肆、模擬結果
第六章 結論與後續研究建議
第一節 結論
第二節 後續研究建議
參考文獻		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#A2002001467en_US
dc.subject (關鍵詞) 巨災風險債券zh_TW
dc.subject (關鍵詞) 事故發生率zh_TW
dc.subject (關鍵詞) 卜瓦松過程zh_TW
dc.subject (關鍵詞) 平賭測度zh_TW
dc.subject (關鍵詞) 蒙地卡羅方法zh_TW
dc.subject (關鍵詞) Catastrophe risk bondsen_US
dc.subject (關鍵詞) claim hazard rateen_US
dc.subject (關鍵詞) Poisson processen_US
dc.subject (關鍵詞) martingale measureen_US
dc.subject (關鍵詞) Monte Carlo methoden_US
dc.title (題名) 巨災風險債券之計價分析zh_TW
dc.title (題名) Pricing Catastrophe Risk Bondsen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 一、 中文部分
1 、 張士傑，山中康司(2000)。 非傳統型式再保險：風險移轉方式。核保學報，第八卷，頁61-85。
2 、 陳繼堯，曾武仁(2000)。 金融自由化下新興風險移轉方式之運用現況與發展。財團法人保險事業發展中心，2000年2月。
二、 英文部分
1、Belonsky G. (1999). Insurance-Linked Securities. New markets Corporate Communication, Swiss Re.
2、Booth G. (1997). Managing Catastrophe Risk. FT Financial Publishing, London.
3、Canter M. , Cole J. , Sandor R. (1996). Insurance Derivatives: A New Asset Class for the Capital Markets and a New Hedging Tool for the Insurance Industry. Journal of Derivatives, Vol. 4, No.2 , 89-104.
4、Cathcart L. and EL-Jahel L. (1998). Valuation of Defaultable Bonds. Journal of Fixed Income, June, 65-78.
5、Christensen, C.V. (2000). Securitization of Insurance Risk. PhD Thesis, University of Aarhaus, Denmark.
6、Cox S. , Farichild J. , Pedersen H. (2000). Economic Aspects of Securitization of Risk. AUSTIN BULLETIN, Vol. 30, No. 1, 157-193.
7、Cox S. and Pedersen H. (2000). Catastrophe Risk Bonds. North American Actuarial Journal, Vol. 4, N0. 4, 56-82.
8、Cummins D. and Geman H. (1995). Pricing Catastrophe Insurance Futures and Call Spreads: An Arbitrage Approach. The Journal of Fixed Income, March, 46-57.
9、Cummins D. , Lalonde D. , Phillips R. (2001). The Basis Risk of Catastrophe-loss Index Securities. Working paper, The Wharton School.
10、Doherty N. (1997). Innovation in Managing Catastrophe Risk. The Journal of Risk and Insurance, Vol. 64, No. 4, 713-718.
11、Duffie D. and Singleton K. (1999). Modeling Term Structures of Defaultable Bonds. The Review of Financial Studies, Vol.12, No. 4, 687-720.
12、Durrer A. (1996). Insurance Derivatives and Securitization: New Hedging Perspectives for the US Catastrophe Insurance Market?, Economics Research Section, Swiss Re.
13、Froot K. (1998). The Evolving Market for Catastrophic Event Risk. Prepared by Marsh & McLennan Securities Corp. and sponsored by Guy Carpenter. Internet address: www.guycarp.com/pdf/evolvmkt.pdf.
14、Geman H. (1994). CAT Calls. Risk, Vol. 7, No. 9, 86-90.
15、Geman H. (1999). Insurance-Risk Securitisation and CAT Insurance Derivatives. In Insurance and Weather Derivatives: From Exotic Options to Exotic Underlyings . Risk Books. 101-105.
16、Geman H. (1999). The High-Yield Bond Market: Catastrophe Bonds versus Defaultable Bonds. In Insurance and Weather Derivatives: From Exotic Options to Exotic Underlyings. Risk Books. 137-141.
17、Geman H. and Yor M. (1997). Stochastic Time Changes in Catastrophe Option Pricing. Insurance: Mathematics and Economics 21, 185-193.
18、Gerber H. and Shiu E. (1996). Actuarial Bridges to Dynamic Hedging and Option Pricing. Insurance: Mathematics and Economics 18, 183-218.
19、Harrington S. (1997). Insurance Derivatives, Tax Policy, and the Future of the Insurance Industry. The Journal of Risk and Insurance, Vol. 64, No. 4, 719-725.
20、Harrington S. , Mann S. , and Niehans G. (1995). Insurer Capital Structure Decisions and the Viability of Insurance Derivatives. The Journal of Risk and Insurance, Vol. 62, No. 3, 483-508.
21、Harrington S. and Niehans G. (1999). Basis Risk with PCS Catastrophe Insurance Derivative Contract. The Journal of Risk and Insurance, Vol. 66, No. 1, 49-82.
22、Himick H. (1998). Securitized Insurance Risk: Strategic Opportunities for Insurers and Investors. Glenlake Publishing Compant, Ltd., Chicago.
23、Lane M. (1998). Price, Risk, and Ratings for Insurance-Link Notes: Evaluating Their Position in Your Portfolio. Derivative Quarterly, Summer, 36-51.
24、Levin A. , McWeeney P. and Gugliada R. (1999). Structured Finance Tools Used by Insurance Compancies for CAT Bonds and Similar Products Need Special Analytical Techniques. In International Securitization & Structured Finance Report, April 15, 1999, Standard & Poor’s.
25、Louberge H. ,Kellezi E. and Gilli M. (1999). Using Catastrophe-Linked Securities to Diversify Insurance Risk: A Financial Analysis of Cat Bonds. Journal of Insurance Issues, Vol. 22, No. 2, 125-146.
26、Major J. (1999). Index Hedge Performance: Insurer Market Penetration and Basis Risk. In The Financing of Catastrophe Risk, edited by Kenneth A. Froot, The University of Chicago Press, Chicago and London.
27、Merton R. (1976). Option Pricing when Underlying Stock Returns Are Discontinuous. Journal of Financial Economics, Vol.3, 125-144.
28、Tomas M. (1998). A Note on Pricing PCS Single-Event Options. Derivative Quarterly, Spring, 23-28.
29、Vanneste M. , Goovaerts M.J. , De Vylder F. , and Kaas R. (1996). A Stochastic Approach to Catastrophe Risks. Scand. Actuarial J. 2, 99-108.
30、Wilmott P. (1998). Derivatives. John Wiley & Sons Ltd. , New York.		zh_TW