构建和谐社会中的巨灾风险防范——我国地震巨灾风险证券化的实证分析
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摘要
党的十六大首次提出了“和谐社会”的概念,而人与自然的和谐成为这一概念的重要内涵之一。我国作为世界上自然灾害最严重的国家之一,亟需构筑符合我国国情的巨灾风险防范体系。保险风险证券化作为国际保险市场化解巨灾风险的一项重要创新,也正在为我国保险业所关注。为此本文选取了在我国发生频率最高、造成损失最大的自然灾害—地震灾害作为研究对象,对我国地震巨灾债券的构建与定价进行了实证分析,即利用实际的样本数据和有关非寿险精算的有关原理,构建了我国的地震巨灾债券,并同时完成了价格体系的制定。以上研究可以为巨灾风险证券化在我国的推广提供可资参考的方法与依据。
As one of the countries that suffered seriously from natural disasters in the world,it is urgent for China to build an adaptive prevention system against catastrophic risk.Catastrophic risk Securitization,as a significant innovation to eliminate catastrophic risk in international insurance market,has been focused on by China's insurance field.In the paper,taking seismic disaster as example,which occurred most frequently and devastated most seriously,we analyzed the conformation of seismic disaster security and its pricing.In practice,the composing of securities for seismic disaster and its pricing is based on real sample data and non-life-insurance calculation.
As one of the countries that suffered seriously from natural disasters in the world,it is urgent for China to build an adaptive prevention system against catastrophic risk.Catastrophic risk Securitization,as a significant innovation to eliminate catastrophic risk in international insurance market,has been focused on by China's insurance field.In the paper,taking seismic disaster as example,which occurred most frequently and devastated most seriously,we analyzed the conformation of seismic disaster security and its pricing.In practice,the composing of securities for seismic disaster and its pricing is based on real sample data and non-life-insurance calculation.
引文
[1]Alessandro Iuppa,“Alternate Risk Transfer(ART)-The Perspective From The United States of America,”CIRC&OECD,2002(6):352-353.
[2]Alexander Murmann,“Pricing Catastrophe Insurance Derivatives”,The Wharton School,2001(6):264-269.
[3]Peter Carayannopoulos,Paul Kovace,“Insurance Securitization-Catastrophic event exposure and the role of insurance linked securities in address-ing risk”,ICLR Reseach Paper Series No.27,2003(1):23-35.
[4]Eduardo Canabarro,Richard R.Anderson,“Analyzing Insurance-linked Securities”,Fixed Income Reseach,1998(10):24-28.
[5]Vivek.J.Bantwal,Howard C.Kunreuther,“A Cat Bond Premium Puzzle?”,The Wharton School,1999(26):153-157.
[6]C.Vorm Christensen,“A New Model for Pricing Catastrophe Insurance Derivatives”,Centre for Analytical Finance,Working Paper Series No.28,1999(3):45-52.
[7]Helmut Grundl,Hato Schmeiser,“Pricing Double-Trigger Reinsurance Contracts:Financial Versus Actuarial Approach”,The Journal of Risk andInsurance,No.4,2002(69):449-468.
[2]Alexander Murmann,“Pricing Catastrophe Insurance Derivatives”,The Wharton School,2001(6):264-269.
[3]Peter Carayannopoulos,Paul Kovace,“Insurance Securitization-Catastrophic event exposure and the role of insurance linked securities in address-ing risk”,ICLR Reseach Paper Series No.27,2003(1):23-35.
[4]Eduardo Canabarro,Richard R.Anderson,“Analyzing Insurance-linked Securities”,Fixed Income Reseach,1998(10):24-28.
[5]Vivek.J.Bantwal,Howard C.Kunreuther,“A Cat Bond Premium Puzzle?”,The Wharton School,1999(26):153-157.
[6]C.Vorm Christensen,“A New Model for Pricing Catastrophe Insurance Derivatives”,Centre for Analytical Finance,Working Paper Series No.28,1999(3):45-52.
[7]Helmut Grundl,Hato Schmeiser,“Pricing Double-Trigger Reinsurance Contracts:Financial Versus Actuarial Approach”,The Journal of Risk andInsurance,No.4,2002(69):449-468.
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