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題名 保險期貨與期貨選擇權之研究
作者 張經理
Zhang, Jing-Li
貢獻者 陳常沂
Chen, Chang-Yi
張經理
Zhang, Jing-Li
日期 1995
上傳時間 28-Apr-2016 15:12:44 (UTC+8)
摘要 自從1992年開始，芝加哥交易所（CBOT）即開始推出一系列以保險業每季的賠款損失作為期貨交易的標的物，以使得保險公司、再保險公司或風險管理者可以藉由保險期貨去規避因承保業務造成的核保風險，或者是因巨災危險、健康保險業務、家庭全益業務所致的財產損失；然而這個新興的發展對於整個保險市場而言，無論是在穩定核保市場、降低交易成本及減少資訊不對稱，有著極重要的影響。
Since 1992 the Chicago Board of Trade(COT)has developed a series of futures contracts based on insurance losses to allow insurers, reinsures, or risk managers to hedge against underwriting or property losses from catastrophes, health insurance, and homeowners policy. This development has the an important role in stabilizing the underwriting market and lowering the transaction costs and information asymmetries. This article introduces catastrophic insurance futures, catastrophic insurance futures options and their related possible problems. It also tests whether Taiwan’s casualty & property companies could hedge against the underwriting risk if catastrophic insurance futures were available. After the empirical analysis, a catastrophe loss process which is similar to Cummins and Geman(1995)method of pricing catastrophic insurance futures is used in my simulation study.
參考文獻 一、中文部份:
書籍:
史綱、李存修、林炯坤、臧大年、劉德明、黃敏助，「 期貨交易理論與實務」，台北，財團法人中華民國證券暨期貨市場發展基金會發行，民國八十二年八月。
2 .朱浩民茗，「期貨市埸分析」，台北，華泰書局，民國八十三年七月。
3 李存修編茗，「 選擇權之交易實務、投資策略與價模式」，台北，財團法人中華民國證券暨期貨市場發展基金會發行，民國八十二年八月。
4 陳繼堯著，「 再保險論一當前趨勢與各型態研究」，台北，三民書局印行，民國七十九年二月。
5 .黃世陽、吳明哲茗，「 Quick Basic 中文版入門」，台北，6 .顏月珠茗，「 商用統計學」， 台北，三民書局，民國七十七年二月四版。
7 .董夢雲著，「 金融選擇權市揚、評價與策略」， 台北，董夢雲發行，民國八十二年七月。
期刊:
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」，保險專刊二十七期，民國八十一年三月。
2 .梁正德、譯，「 保險衍生性商品之現況」， 保險資訊，第122期， pp.33-36
3 淩氥寶，「 巨大損失保險期貨」， 保險專刊，第三十五輯，民閏八十三年三月， pp.93-101
論文:
1 .林明勳，「 利率風險管理一期貨契約交叉避險之研究」，故治大學國際貿易研究所碩士論文，民國八十二年六月
2 .林明馨，「 股價指數期貨與選擇權避險策略之績效評估」國立台灣大學財務金融研究所碩士論文，民國八十二年六月。
3 .計弘仁，「 論保險期貨與對再保險市場之影嚮」，私立中原大學企業管理研究所碩士論文，民國八十四年六月。
4. 郭維裕，「 指數期貨與選擇權避險策略之績效評估一以美國主要市埸指數為例」，臺灣大學商學研究所碩士論文，民七十九年六月。
5 .黃敢瑞，「 重大災害風險模型與再保探討以臺灣農業風害為1」，國立政治大學統計研究所碩士論文，民國八十年六月。
6 .陳鵬仁，「 財務工程在金融創新上的應用利率交換期貨與利交換期貨選擇權之探討」，國立政治大學財政研究所碩士論文，民國八十二年六月。
7 駱聖芬，「 期貨風險極小避險策略實證模型的選擇」，國立中興大學經濟學研究所碩士論文，民國八十四年六月。
8 郭美美，「 保險葉利用國外股價指數期貨避險可行性之研究」國立政治大學保險研究所碩士論文，民國八十三年六月。
9 .鄭文欽，「 股價指數期貨最適避險比率到期日效果之實証研究.」， 國立中央大學財務管理研究所碩士論文，民國八十二年六月。
1 0 ﹒盧陽正，「 國外期貨契約引進、沖險績效衡量與廠商沖險策略之擬定.」，國立交通大學管理科學研究所博士論文民八十三年。
二、英文部份
書籍:
1. Ayling, D. E. “Underwriting Decisions Under Uncertainty:
The Catastrophe Market," Aldershot. Hampshire.1984.
England; Brookfield, Vt., U.S.A. : Gower.
2.Bowerman O,Connell "Forecasting And Time Series An
Applied Approach," Dubury press, 1993, third edition.
3.Hull. John.”Options, Futures, And Other Derivative
Securities," Englewood Cliffs, N.J. : Prentice Hall, 1993 2nd edition .
4.Harry M Kat "The Efficiency of Dynamic Trading Strategies
In Imperfect Markets." Thesis Publishers Amsterdam,1993.
5.Robert B.Milier "Minitab Handbook For Business And
Economics, " 1988.
期刊論文:
1. Black,Fischer,"The Pricing Of Commodity Contracts ,”Journal of Financial Economics, (1976), 3: 167 -179.
2. Black,Fisher and Myron Scholes,"The Pricing Of Options And Corporate Liabilities," Journal of Political Economy,(1973),81 :637-659 .
3. Bluford Putman, "Searching For Zero-Beta Catastrophes,"
GL OBAL INVESTOR (April ,1994): 37.
4. Cagle,Julie and Scott Harrington,"The Impact Shock To
Capital On Insurance Company Stock Prices", (1992) working paper, Xavier University, October, Ohio.
5. Carolyn W.Chang,Jack S.K. Chang,and Min-Ten Yu,"Pricing
Catastrophe Insurance Futures Call Spreads,"1995.
6. Chandrasekhar Mishra and Jorge L.Urrutia "An option Base
Approach To Determining The Optimal Reinsurance Stop-Loss Premium," Advances In Futures And Options Research ;(1984) Vol 7:313-321.
7. Chicago Board of Trade 1994 Catastrophe Insurance Futures And Options:A Reference Guide,Chicage ,CBOT IL.
8. Chicago Board of Trade, January -1995; CA T, Catastrophe
Insurance Futures &Options Background Report.
9. Chicago Board of Trade, 1994; Insurance Company Statutory Accounting Guidelines For Insurance Futures And Options
10. Chicago Board of Trade, 1995; PCS Catastrophe Insurance
Options:A users Guide.
11. Chicago Board of Trade, 1995;PCS Catastrophe Insurance
Options: The New Standardized Alternative For Managing
Catastrophe Risk.
12. Cox, Samuel and Robert Schwebach "Insurance Futures
And Hedging Insurance Price Risk," Journal of Risk And
Insurance ,"(1992)59:628-644.
13. Cummins J.Oavid and Helyette Geman "An Asian Option
Approach To The Valuation of Insurance Futures Contracts."
The Review of Futures Markets (1993)9.1 O:Vo113 :518-521.
14. Cummins J.David And Helyette Geman "Pricing Catastrophe
Insurance Futures And Call Spreads:An Arbitrage Approach. "Journal of Ax Income (March 1995)Vo1A ISS:4 : 46-57.
15. D`Arcy.Steven P. and Virginia Grace France "Catastrophe
Insurance Futures,"(1992).CPCU Journal ,December: 202-
213.
16. D`ArcY,Steven P. and Virginia grace France" Symposium
On Insurance Futures-- Catastrophe Futures :A better Hedge
For Insurance."Journal of Risk And Insurance (1992)59 :575
-600.
17. David Foppert "Uncertain Futures." BEST` VIEW (1993)
March: 22.
18. Doherty.Neil and George Dionne "Insurance With
Undiversifiable Risk:Contract Structure and Organizational
Form of Insurance Firms," Journal of Risk and Uncertainty(1992)6: 187-203.
19. Douglas Mcleod,"Wider Use Of Cat Futures And Options
Predicted," Business Insurance.April (1994):11.
20. Dr. Lohmar,"Futures of Insurance And Reinsurance of
Natural Hazards" ,台灣地區颱風地震災害及保險問題研討會實錄，中央再保險公司印，民國八十二年十一月。
21. Gavin Souter "Using Derivatives To Cut Risk Requires
Carefu I Management," Business Insurance, June 19( 1995)
:15.
22. Geman,H.,and M Yor."Bessel Processes ,AsiAn Options,And
Perpetuities," Mathematical Finance, (1993)No.4:349-375.
23. George Flanigan,& William L.Scott,"CAT Spreads At The
CBOT Coming Alive,"CPCU Journal ,December (1994):210-214.
24. Hoyt,Robert E. " Use of Financial Futures By Life Insurers," The Journal of Risk and Insurance (1989)56:740-748.
25. James A.Hayes,Joseph B.Cole and David I. Meiselman, "Health Insurance Derivatives:The Newest Application of Modern Financial Risk Management," Business Economics April(1993) :36-40.
26. Judy Greenwald ,"At Present, Interest Is Lacking In
Insurance Futures," Business Insurance, Novermber
1(1993):37-38.
27. Jonson,L, "The Theory of Hedging And Speculation In
Commodity Futures," Review of Economic Studies, 27,
June, (1960):131-151.
28. Kathleen McCullough,"Catastrophe Insurance Futures,"
Risk Management ,August (1995): 31-39.
29. Mark G.Tang "Correlated Random Number Generator," Dept.
of Information Sciences And systems Morgan State University
Baltimore, MD 21239 ,September (1994).
30. Mary Ann Bosse ,ASteven Graham "An Examiniatio of The
Futures Market For Catastrophe Insurance," The Journal of
Insurance Issues (1994jVol XVII,No.2 :23-45.
31. Niehaus Greg and Steven V.Mann "The Trading of
Underwriting Risk :An Analysis of Insurance Futures Contracts And Reinsurance," The Journal of Risk And Insurance(1992) Vol . Llx, No.4: 601-627.
32. Ropert Goshay and Richard Sandor "An Inquiry Into The
Feasibility of a Reinsurance Future Market," Journal of Business Finance(1973), Vol.5 NO.2: .
33. Russ Ray "Catastrophe Derivatives," Risk Management,
October (1993):75-79.
34. Russ Ray "The Futures Look Bright," Financail Executive
,July/August (1993):45-47
35. Russ Ray, "Futures, "The Futurist, "Nov/Dec(1995): 15-18.
36 . Russ Ray, "The Pros And Cons of Insurance Futures,"
CPCU ,Journal, December(1993) : 197 -200 .
37. Scott E.Harrington,Steven V Mann ,and Greg Niehaus
"Insurer Capital Structure Decisions And The Viavility of
Insurance Derivatives," The Journal of Risk and Insurance
(1995) Vol.62 No.31 :483
38. Sherman, Richard E. "Actuaries And Insurance Futures ,"Actuarial Review(1991) 18 : 6-7
39. Shimko,D. "The Valuation of Multiple Claim Insurance
Contracts," Journal of Financial and Quantitative Analysis ,27, No.2 (1992) :229-246.
40. Snyder,John H "1993 Hurricane Andrew :A Postmortem,", Best Review, Property/Casualty Insurance Edition, 92: 16: 1 05-1 08.
41. Society`s Columbus Chapter,"How Have The Catastrophe of 1992 Affected Solvency Capacity,And Reinsurance In The PIC Industry?," CPCP Journar,June (1995) :77-90.
描述 碩士
國立政治大學
風險管理與保險研究所
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002002951
資料類型 thesis
dc.contributor.advisor 陳常沂zh_TW
dc.contributor.advisor Chen, Chang-Yien_US
dc.contributor.author (Authors) 張經理zh_TW
dc.contributor.author (Authors) Zhang, Jing-Lien_US
dc.creator (作者) 張經理zh_TW
dc.creator (作者) Zhang, Jing-Lien_US
dc.date (日期) 1995en_US
dc.date.accessioned 28-Apr-2016 15:12:44 (UTC+8)-
dc.date.available 28-Apr-2016 15:12:44 (UTC+8)-
dc.date.issued (上傳時間) 28-Apr-2016 15:12:44 (UTC+8)-
dc.identifier (Other Identifiers) B2002002951en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/87577-
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.abstract (摘要) 自從1992年開始，芝加哥交易所（CBOT）即開始推出一系列以保險業每季的賠款損失作為期貨交易的標的物，以使得保險公司、再保險公司或風險管理者可以藉由保險期貨去規避因承保業務造成的核保風險，或者是因巨災危險、健康保險業務、家庭全益業務所致的財產損失；然而這個新興的發展對於整個保險市場而言，無論是在穩定核保市場、降低交易成本及減少資訊不對稱，有著極重要的影響。zh_TW
dc.description.abstract (摘要) Since 1992 the Chicago Board of Trade(COT)has developed a series of futures contracts based on insurance losses to allow insurers, reinsures, or risk managers to hedge against underwriting or property losses from catastrophes, health insurance, and homeowners policy. This development has the an important role in stabilizing the underwriting market and lowering the transaction costs and information asymmetries. This article introduces catastrophic insurance futures, catastrophic insurance futures options and their related possible problems. It also tests whether Taiwan’s casualty & property companies could hedge against the underwriting risk if catastrophic insurance futures were available. After the empirical analysis, a catastrophe loss process which is similar to Cummins and Geman(1995)method of pricing catastrophic insurance futures is used in my simulation study.en_US
dc.description.tableofcontents 第一章緒論..........1
第一節研究背景與動機..........1
第二節研究目的與研究範圍..........3
第三節研究方法與研究限制..........5
第四節研究架構..........6
第二章保險期貨與期貨選擇權之簡介-以巨災保險期貨與期貨選擇權為例..........9
第一節巨災保險期貨之發展背景..........9
第二節巨災保險期貨與期貨選擇權之意義..........13
第三節巨災保險期貨與期貨選擇權之契約內容..........19
第四節巨災保險期貨與期貨選擇權之功能..........27
第三章相關理論及文獻探討..........35
第一節、保險期貨避險之可行性..........35
第二節最適避險理論..........39
第三節保險期貨與期貨選擇權之定價..........50
第四節保險期貨與再保險..........58
第四章實證及模擬避險之設計..........67
第一節巨災保險期貨避險之實證..........67
第二節模擬避險之步驟..........72
第五章模擬結果與相關問題討論..........99
第一節結果分析與討論..........99
第六章結論與建議..........94
第一節結論..........107
第二節建議..........111
第三節後續研究建議..........115
參考書目..........117
附錄一：巨災保險期貨模擬避險程式設計..........129		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002002951en_US
dc.title (題名) 保險期貨與期貨選擇權之研究zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 一、中文部份:
書籍:
史綱、李存修、林炯坤、臧大年、劉德明、黃敏助，「 期貨交易理論與實務」，台北，財團法人中華民國證券暨期貨市場發展基金會發行，民國八十二年八月。
2 .朱浩民茗，「期貨市埸分析」，台北，華泰書局，民國八十三年七月。
3 李存修編茗，「 選擇權之交易實務、投資策略與價模式」，台北，財團法人中華民國證券暨期貨市場發展基金會發行，民國八十二年八月。
4 陳繼堯著，「 再保險論一當前趨勢與各型態研究」，台北，三民書局印行，民國七十九年二月。
5 .黃世陽、吳明哲茗，「 Quick Basic 中文版入門」，台北，6 .顏月珠茗，「 商用統計學」， 台北，三民書局，民國七十七年二月四版。
7 .董夢雲著，「 金融選擇權市揚、評價與策略」， 台北，董夢雲發行，民國八十二年七月。
期刊:
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」，保險專刊二十七期，民國八十一年三月。
2 .梁正德、譯，「 保險衍生性商品之現況」， 保險資訊，第122期， pp.33-36
3 淩氥寶，「 巨大損失保險期貨」， 保險專刊，第三十五輯，民閏八十三年三月， pp.93-101
論文:
1 .林明勳，「 利率風險管理一期貨契約交叉避險之研究」，故治大學國際貿易研究所碩士論文，民國八十二年六月
2 .林明馨，「 股價指數期貨與選擇權避險策略之績效評估」國立台灣大學財務金融研究所碩士論文，民國八十二年六月。
3 .計弘仁，「 論保險期貨與對再保險市場之影嚮」，私立中原大學企業管理研究所碩士論文，民國八十四年六月。
4. 郭維裕，「 指數期貨與選擇權避險策略之績效評估一以美國主要市埸指數為例」，臺灣大學商學研究所碩士論文，民七十九年六月。
5 .黃敢瑞，「 重大災害風險模型與再保探討以臺灣農業風害為1」，國立政治大學統計研究所碩士論文，民國八十年六月。
6 .陳鵬仁，「 財務工程在金融創新上的應用利率交換期貨與利交換期貨選擇權之探討」，國立政治大學財政研究所碩士論文，民國八十二年六月。
7 駱聖芬，「 期貨風險極小避險策略實證模型的選擇」，國立中興大學經濟學研究所碩士論文，民國八十四年六月。
8 郭美美，「 保險葉利用國外股價指數期貨避險可行性之研究」國立政治大學保險研究所碩士論文，民國八十三年六月。
9 .鄭文欽，「 股價指數期貨最適避險比率到期日效果之實証研究.」， 國立中央大學財務管理研究所碩士論文，民國八十二年六月。
1 0 ﹒盧陽正，「 國外期貨契約引進、沖險績效衡量與廠商沖險策略之擬定.」，國立交通大學管理科學研究所博士論文民八十三年。
二、英文部份
書籍:
1. Ayling, D. E. “Underwriting Decisions Under Uncertainty:
The Catastrophe Market," Aldershot. Hampshire.1984.
England; Brookfield, Vt., U.S.A. : Gower.
2.Bowerman O,Connell "Forecasting And Time Series An
Applied Approach," Dubury press, 1993, third edition.
3.Hull. John.”Options, Futures, And Other Derivative
Securities," Englewood Cliffs, N.J. : Prentice Hall, 1993 2nd edition .
4.Harry M Kat "The Efficiency of Dynamic Trading Strategies
In Imperfect Markets." Thesis Publishers Amsterdam,1993.
5.Robert B.Milier "Minitab Handbook For Business And
Economics, " 1988.
期刊論文:
1. Black,Fischer,"The Pricing Of Commodity Contracts ,”Journal of Financial Economics, (1976), 3: 167 -179.
2. Black,Fisher and Myron Scholes,"The Pricing Of Options And Corporate Liabilities," Journal of Political Economy,(1973),81 :637-659 .
3. Bluford Putman, "Searching For Zero-Beta Catastrophes,"
GL OBAL INVESTOR (April ,1994): 37.
4. Cagle,Julie and Scott Harrington,"The Impact Shock To
Capital On Insurance Company Stock Prices", (1992) working paper, Xavier University, October, Ohio.
5. Carolyn W.Chang,Jack S.K. Chang,and Min-Ten Yu,"Pricing
Catastrophe Insurance Futures Call Spreads,"1995.
6. Chandrasekhar Mishra and Jorge L.Urrutia "An option Base
Approach To Determining The Optimal Reinsurance Stop-Loss Premium," Advances In Futures And Options Research ;(1984) Vol 7:313-321.
7. Chicago Board of Trade 1994 Catastrophe Insurance Futures And Options:A Reference Guide,Chicage ,CBOT IL.
8. Chicago Board of Trade, January -1995; CA T, Catastrophe
Insurance Futures &Options Background Report.
9. Chicago Board of Trade, 1994; Insurance Company Statutory Accounting Guidelines For Insurance Futures And Options
10. Chicago Board of Trade, 1995; PCS Catastrophe Insurance
Options:A users Guide.
11. Chicago Board of Trade, 1995;PCS Catastrophe Insurance
Options: The New Standardized Alternative For Managing
Catastrophe Risk.
12. Cox, Samuel and Robert Schwebach "Insurance Futures
And Hedging Insurance Price Risk," Journal of Risk And
Insurance ,"(1992)59:628-644.
13. Cummins J.Oavid and Helyette Geman "An Asian Option
Approach To The Valuation of Insurance Futures Contracts."
The Review of Futures Markets (1993)9.1 O:Vo113 :518-521.
14. Cummins J.David And Helyette Geman "Pricing Catastrophe
Insurance Futures And Call Spreads:An Arbitrage Approach. "Journal of Ax Income (March 1995)Vo1A ISS:4 : 46-57.
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