我国巨灾保险不足的原因与对策

我国巨灾频发,巨灾保险潜在需求巨大,但由于成本过高、缺乏技术和相关法律制度等原因,巨灾保险供给严重不足。为扩大巨灾保险供给,应借鉴国际成功经验,结合我国国情,走政策性支持的商业化巨灾保险道路。通过建立强制性巨灾保险基金、发展再保险市场、完善相关立法和提高公众风险防范意识等分散巨灾风险。     

Personal taxes,cost of insurer equity capital,and the case of offshore hedge fund reinsurers

Insurer investment returns are taxed in the United States at the corporate level and at the personal level when they are distributed to shareholders. This paper examines the implications of personal taxes for the tax cost on insurers equity capital and how these tax costs have varied over time under different tax regimes and with different asset portfolios. The paper also discusses how personal taxes provide tax incentives to form offshore hedge fund reinsurers, which provide an interesting case study illustrating the relevance of personal taxes. Finally, the paper discusses the tax treatment of alternative capital arrangements, such as collateralized reinsurance and sidecars.     

Financial Innovation in the Management of Catastrophe Risk

Like the preceding article, this article argues that the high costs of reinsurance present the opportunity for hedging instruments to be offered to primary insurers that are both competitive with current reinsurance and that offer investors high rates of return. But the combination of high reinsurance premiums and the vast capacity of the capital market for diversification is not sufficient to ensure the success of these new instruments. If new instruments such as catastrophe options and catastrophelinked bonds are to compete successfully with reinsurance, they must provide a cost-effective means of resolving incentive conflicts between the primary insurer and the ultimate risk bearer that are known as "moral hazard." Without an effective solution of this moral hazard problem, the use of past insurance loss data to estimate the potential returns for purchasers of catastrophe bonds and other such instruments will be misleading and unreliable.
As the author demonstrates, both traditional reinsurance and each of the new catastrophe hedging instruments presents insurance companies and other hedgers with the challenge of managing a different combination of moral hazard, credit risk, and basis risk. For example, traditional catastrophe reinsurance is subject to significant credit risk and moral hazard, but little if any basis risk. By contrast, both catastrophe options and bonds can be designed in ways that reduce moral hazard and credit risk, but at the cost of taking on some basis risk. The risk manager's task in such circumstances is to design an instrument that embodies the optimal, or cost-minimizing, trade-off among these three sources of risk.     

建立我国环境巨灾风险损失补偿机制的路径选择

我国面临严重的环境巨灾风险损失,现行环境巨灾风险损失补偿体系存在一定的局限,必须建立行之有效的环境巨灾风险损失补偿机制.建立我国环境巨灾风险损失补偿机制的路径:建立稳定增长的财政投入机制;建立多层次环境巨灾风险应对机制;建立环境巨灾风险再保险机制;建立环境巨灾风险基金;建立环境巨灾风险证券化机制.     

我国巨灾风险管理模式的设计及其运作

商业化、事前补偿的巨灾保险是巨灾风险管理发展的趋势。我国应该逐步构建以政府为主导,涵盖政府、保险公司、再保险公司、资本市场和潜在受灾者五个主体的巨灾风险管理模式。在实际运作中,要考虑巨灾保险承保、保险公司巨灾风险转移和区分潜在客户等。     

The market for catastrophe risk: a clinical examination

This paper examines the market for catastrophe event risk – i.e., financial claims that are linked to losses associated with natural hazards, such as hurricanes and earthquakes. Risk management theory suggests protection by insurers and other corporations against the largest cat events is most valuable. However, most insurers purchase relatively little cat reinsurance against large events, and premiums are high relative to expected losses. To understand why the theory fails, we examine transactions that look to capital markets, rather than traditional reinsurance markets, for risk-bearing capacity. We develop eight theoretical explanations and find the most compelling to be supply restrictions associated with capital market imperfections and market power exerted by traditional reinsurers.     

Reinsurance for Natural and Man-Made Catastrophes in the United States: Current State of the Market and Regulatory Reforms

U.S. insurers are heavily dependent on global reinsurance markets to enable them to provide adequate primary market insurance coverage. This article reviews the response of the world's reinsurance industry to recent mega-catastrophes and provides recommendations for regulatory reforms that would improve the efficiency of reinsurance markets. The article also considers the supply of insurance and reinsurance for terrorism and makes recommendations for joint public–private responses to insuring terrorism losses. The analysis shows that reinsurance markets responded efficiently to recent catastrophe losses and that substantial amounts of new capital enter the reinsurance industry very quickly following major catastrophic events. Considerable progress has been made in improving risk and exposure management, capital allocation, and rate of return targeting. Insurance price regulation for catastrophe-prone lines of business is a major source of inefficiency in insurance and reinsurance markets. Deregulation of insurance prices would improve the efficiency of insurance markets, enabling markets to deal more effectively with mega-catastrophes. The current inadequacy of the private terrorism reinsurance market suggests that the federal government may need to remain involved in this market, at least for the next several years.     

论巨灾期货及其市场演进

巨灾期货是一种以巨灾损失相关指数为标的物的期货合约.从1992年ISO指数巨灾期货的兴起,再到1995年被PCS巨灾指数期权的所取代,以及后来2007年CME飓风期货的最新推出可以看出一种巨灾期货的市场发展是一个不断尝试,逐步完善的过程.其市场演进呈现出四个趋势:标的指数的被人为操纵可能性降低、更新速度加快、道德风险与信息不对称问题减少、基差风险降低.     

WHERE'S THE CAT GOING? SOME OBSERVATIONS ON CATASTROPHE BONDS

This article provides an assessment of the current state of the market for catastrophe (or "Cat") bonds. Given the changes in insurance markets since September 11th, the demand for Cat bonds is likely to increase. For issuers, Cat bonds have the effect of transferring risks to the capital markets that would normally be underwritten by insurance or reinsurance companies. And as a substitute for insurance, Cat bonds have the potential to help issuers address problems such as lack of capacity and real risk transfer, cyclicality, and credit risk that are commonly associated with insurance and reinsurance markets. Investors value Cat bonds in part because of their low correlations with stocks and conventional bonds. Notable trends in the structuring of the products involve higher levels of risk transfer, longer-term contracts, and linkage to a portfolio of catastrophic risks.     

Insurance Derivatives: A New Asset Class for the Capital Markets and a New Hedging Tool for the Insurance Industry

The number and severity of natural catastrophes has increased dramatically over the last decade. As a result, there is now a shortage of capacity in the property catastrophe insurance industry in the U.S. This article discusses how insurance derivatives, particularly the Chicago Board of Trade's catastrophe options contracts, represent a possible solution to this problem. These new financial instruments enable the capital markets to provide the insurance industry with the reinsurance capacity it needs. The capital markets are willing to perform this role because of the new asset class characteristics of securitized insurance risk: positive excess returns and diversification benefits.
The article also demonstrates how insurance companies can use insurance derivatives such as catastrophe options and catastrophe-linked bonds as effective, low-cost risk management tools. In reviewing the performance of the catastrophe contracts to date, the authors report promising signs of growth and liquidity in these markets.     

The Optimal Write-Down Coefficients in a Percentage for a Catastrophe Bond

Catastrophe bonds, also known as CAT bonds, are insurance-linked securities that help to transfer catastrophe risks from insurance industry to bond holders. When the aggregate catastrophe loss exceeds a specified amount by the maturity, the CAT bond is triggered and the future bond payments are reduced. This article first presents a general pricing formula for a CAT bond with coupon payments, which can be adapted to various assumptions for a catastrophe loss process. Next, it gives formulas for the optimal write-down coefficients in a percentage, implemented by Monte Carlo simulations, which maximize two measurements of risk reduction, hedge effectiveness rate (HER) and hedge effectiveness (HE), respectively, and examines how the optimal write-down coefficients in a percentage help reinsurance or insurance companies to mitigate extreme catastrophe losses. Last, it demonstrates how the number of coupon payments, loss share, retention level, strike price, maturity, frequency, and severity parameters of the catastrophe loss process and different interest rate models affect the optimal write-down coefficients in a percentage with numerical examples for illustrations.     

The Shareholder Wealth Effects of Insurance Securitization: Preliminary Evidence from the Catastrophe Bond Market

Insurance securitization has long been hailed as an important tool to increase the underwriting capacity for companies exposed to catastrophe-related risks. However, global volumes of insurance securitization have remained surprisingly low to date which raises questions over its benefits. In this paper, we examine changes in the market value of insurance and reinsurance firms which announce their engagement in insurance securitization by issuing catastrophe (Cat) bonds. Consistent with the hitherto underwhelming contribution of Cat bonds to global catastrophe coverage, we do not find evidence that Cat bonds lead to strong wealth gains for shareholders in the issuing firm. More importantly, we report large variations in the distribution of wealth effects in response to the issue announcement. We show that the wealth effects for shareholders in firms which issue Cat bonds appear to be driven by explanations according to which Cat bonds offer cost savings relative to other forms of catastrophe risk management (and less by the potential of Cat bonds to hedge catastrophe risk). Thus, abnormal returns are particularly large for issues by firms which face low levels of loss uncertainty (which reduces the information acquisition costs in financial markets) as well as for issues during periods when prices for catastrophe coverage (including Cat bonds) are low.     

CAT Bonds and Other Risk-Linked Securities: State of the Market and Recent Developments

This article reviews the current status of the market for catastrophic risk (CAT) bonds and other risk-linked securities. CAT bonds and other risk-linked securities are innovative financial vehicles that have an important role to play in financing mega-catastrophes and other types of losses. The vehicles are especially important because they access capital markets directly, exponentially expanding risk-bearing capacity beyond the limited capital held by insurers and reinsurers. The CAT bond market has been growing steadily, with record amounts of risk capital raised in 2005, 2006, and 2007. CAT bond premia relative to expected losses covered by the bonds have declined by more than one-third since 2001. CAT bonds now appear to be priced competitively with conventional catastrophe reinsurance and comparably rated corporate bonds. CAT bonds have grown to the extent that they now play a major role in completing the market for catastrophic-risk finance and are spreading to other lines such as automobile insurance, life insurance, and annuities. CAT bonds are not expected to replace reinsurance but to complement the reinsurance market by providing additional risk-bearing capacity. Other innovative financing mechanisms such as risk swaps, industry loss warranties, and sidecars also are expected to continue to play an important role in financing catastrophic risk.     

巨灾债券与巨灾保险风险分散

巨灾债券,作为一种债权合同,相对于巨灾再保险而言,虽然是一个两极端产品,但在分散风险方面具有其不可比拟的优势。在大额损失时,巨灾债券是巨灾再保险的一种很好的替代产品。另外,巨灾风险债券的发行对巨灾再保险免赔额具有积极影响。     

Pricing Double-Trigger Reinsurance Contracts: Financial Versus Actuarial Approach

This article discusses various approaches to pricing double‐trigger reinsurance contracts—a new type of contract that has emerged in the area of ‘‘alternative risk transfer.’’ The potential coverage from this type of contract depends on both underwriting and financial risk. We determine the reinsurer's reservation price if it wants to retain the firm's same safety level after signing the contract, in which case the contract typically must be backed by large amounts of equity capital (if equity capital is the risk management measure to be taken). We contrast the financial insurance pricing models with an actuarial pricing model that has as its objective no lessening of the reinsurance company's expected profits and no worsening of its safety level. We show that actuarial pricing can lead the reinsurer into a trap that results in the failure to close reinsurance contracts that would have a positive net present value because typical actuarial pricing dictates the type of risk management measure that must be taken, namely, the insertion of additional capital. Additionally, this type of pricing structure forces the reinsurance buyer to provide this safety capital as a debtholder. Finally, we discuss conditions leading to a market for double‐trigger reinsurance contracts.     

Market Price of Insurance Risk Implied by Catastrophe Derivatives

Abstract

Insurance derivatives facilitate the trading of insurance risks on capital markets, such as catastrophe derivatives that were traded on the Chicago Board of Trade. Simultaneously, insurance risks are traded through reinsurance portfolios. In this paper we make inferences about the market price of risk implied by the information embedded in the prices of these two assets.     

巨灾风险管理中的行业损失担保

行业损失担保是一种赔付主要由巨灾所造成的整个保险行业损失所触发的保险连结证券。与传统再保险相似,它也要事先确定合约的涵盖地域、灾害种类、责任限额和有效时间等。但它与传统再保险不同在于,赔付取决于两个损失触发条件,即购买者的实际损失和整个保险行业的损失。本文从行业损失担保的市场发展、定义与运行机制、精算定价等角度,对其进行了系统梳理分析,并把它与其他巨灾风险连接证券进行了比较。     

Reinsurance and corporate taxation in the United Kingdom life insurance industry

There are two main tax-related arguments regarding the use of reinsurance – the income volatility reduction and the income level enhancement arguments. The income volatility reduction argument contends that firms facing convex tax schedules have incentives to hedge in order to reduce the volatility of their annual taxable income and thereby lower expected tax liabilities [Smith, C.W., Stulz, R.M., 1985. Optimal hedging policies. Journal of Financial and Quantitative Analysis 19, 127–140]. The income level enhancement argument, advanced by Adiel [Adiel, R., 1996. Reinsurance and the management of regulatory ratios and taxes in the property–casualty insurance industry. Journal of Accounting and Economics 22, 207–240], is more specific to hedging via reinsurance. This perspective holds that reinsurance enhances current reported earnings via the receipt of reinsurance commissions and so increases tax liabilities. Consequently, insurance firms with high marginal tax rates should use less reinsurance than those with low marginal tax rates if tax matters. Prior studies using data on financial derivatives have produced mixed results on the validity of the first argument, while Adiel (1996) finds the second argument insignificant in his study of the use of reinsurance by a sample of United States (US) property–liability insurance firms. This study tests the two tax-related arguments using 1992–2001 data for a sample of United Kingdom (UK) life insurance firms. We find that UK life insurers with low before-planning marginal tax rates tend to use more reinsurance; in contrast, tax convexity is found to have no significant impact on the purchase of reinsurance and so the volatility-reduction argument is not supported.     

巨灾保险市场风险识别模式的有效性分析——基于多期的巨灾保险合同研究

在市场化的巨灾保险机制运行过程中,信息不对称所引发的风险识别问题容易导致巨灾保险合同偏离最优均衡状况进而诱发市场失灵,因此,合理有效的识别投保人的风险类型显得尤为重要。在以信息经济学中的逆向选择与信号传递理论为基础,利用不完全动态信息博弈模型对巨灾保险中的风险识别模式进行研究后的结果表明,后验风险识别模式同样可以有效甄别投保人的风险状况,风险分离均衡后的巨灾保单可以在多期的合同中达到精练贝叶斯均衡。     

Homeowners Insurance With Bundled Catastrophe Coverage

We estimate the demand for homeowners insurance in Florida and New York with indicated loss costs as our proxy for the quantity of real insurance services demanded. We decompose the demand into the demand for coverage of catastrophe perils and the demand for noncatastrophe coverage and estimate these demand functions separately. Our results are relatively consistent in New York and Florida, including evidence that catastrophe demand is more price elastic than noncatastrophe demand. We also find evidence that consumers value options that expand coverage, buy more insurance when it is subsidized through regulatory price constraints, and consider state guaranty fund provisions when purchasing insurance.