巨災風險管理---以巨災債券為例
Date Issued
2005
Date
2005
Author(s)
蔡秉均
DOI
zh-TW
Abstract
The frequency and severity of catastrophe losses have increased in recent years, resulting in the capacity of reinsurance narrowed. Instruments used to securitize catastrophe risk have been created to diversify risk to capital markets. This paper briefly introduces some of them and then focuses on catastrophe bonds.
Catastrophe bonds can be classified into two categories, principal protected bond and principal at risk bond. The valuation of both types of catastrophe bonds is illustrated by using catastrophe loss model and stochastic interest rate model. Sensitivity analyses show that variables involved, such as trigger value, loss frequency, loss volatility, and the ratio of principal to be paid, influence bond price.
In addition, different payment structures of catastrophe bond have various cash outflow for issuers. This paper simulates cash flows of a reinsurer which issues principal protected bonds or principal at risk bonds to hedge catastrophe risk. The results show that issuing both types of catastrophe bonds can increase intertemporal profits significantly. Volatility of cash flow varies with different setting. It provides some point of view for a reinsurer to spread out cash outflow by issuing catastrophe bonds with special payment structure.
Subjects
巨災債券
評價
跨期利潤
複合卜瓦松過程
catastrophe bond
valuation
Compound Poisson Process
Type
thesis