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.     

Modeling catastrophic deaths using EVT with a microsimulation approach to reinsurance pricing

Recently, a marked Poisson process (MPP) model for life catastrophe risk was proposed in Ekheden & Hössjer (2014). We provide a justification and further support for the model by considering more general Poisson point processes in the context of extreme value theory (EVT), and basing the choice of model on statistical tests and model comparisons. A case study examining accidental deaths in the Finnish population is provided. We further extend the applicability of the catastrophe risk model by considering small and big accidents separately; the resulting combined MPP model can flexibly capture the whole range of accidental death counts. Using the proposed model, we present a simulation framework for pricing (life) catastrophe reinsurance, based on modeling the underlying policies at individual contract level. The accidents are first simulated at population level, and their effect on a specific insurance company is then determined by explicitly simulating the resulting insured deaths. The proposed microsimulation approach can potentially lead to more accurate results than the traditional methods, and to a better view of risk, as it can make use of all the information available to the re/insurer and can explicitly accommodate even complex re/insurance terms and product features. As an example, we price several excess reinsurance contracts. The proposed simulation model is also suitable for solvency assessment.     

国外巨灾保险制度及其对我国的启示

当前,我国的巨灾保险制度建设正受到空前的关注。本文从域外视角先后考察了关国、英国、法国等国外巨灾保险制度的相关概况,并在此基础上,总结出各国巨灾保险制度共通性的经验：巨灾保险运作模式大体有三种;巨灾保险多有相应立法予以肯认;巨灾保险风险转移机制非单一化。进而从中得出对我国的启示,即我国巨灾保险制度的构建首先需要法律支持,应当因地制宜地借鉴国外巨灾保险法律制度。     

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 risk implications of insurance securitization: The case of catastrophe bonds

Catastrophe (Cat) bonds are insurance securitization vehicles which are supposed to transfer catastrophe-related underwriting risk from issuers to capital markets. This paper addresses key, unanswered questions concerning Cat bonds and offers the following results. First, our findings show firms that issue Cat bonds exhibit less risky underwriting portfolios with less exposure to catastrophe risks and overall less need to hedge catastrophe risk. These results show that the access to the market for insurance securitization is easiest for firms with less risky portfolios. Second, firms that issue Cat bonds are found to experience a reduction in their default risk relative to non-issuing firms and our results, therefore, demonstrate that Cat bonds provide effective catastrophe hedging for issuing firms. Third, firms with less catastrophe exposure, increase their catastrophe exposure following an issue. Therefore, our paper cautions that the ability to hedge catastrophe risk causes some firms to seek additional catastrophe risk.     

巨灾失踪保险理赔问题

伴随巨灾的频发,巨灾失踪人员的保险理赔问题已成为保险业亟待解决的课题。巨灾失踪人员的保险理赔面临哪些困境,保险业应作何反思,并该如何应对。本文结合相关法律规定及保险契约约定,对上述问题进行分析,并提出对策。     

保险平滑政府自然灾害涉灾支出波动风险研究——以地震巨灾财政指数保险为例

我国重大自然灾害频发,导致政府财政救灾与灾后重建等涉灾支出波动较大,影响经济平稳运行,探索平滑财政涉灾支出波动风险的机制具有重要的现实意义。本文通过构建政府财政对地震巨灾救灾与重建支出负担积累模型,根据我国1990~2018年的地震损失数据,预测2019~2026年地震巨灾财政指数保险不同保险金额下,我国地震巨灾财政涉灾支出负担积累的变动情况,并以此检验保险可以平滑财政涉灾支出波动风险~((1))的效果。研究结果表明:政府购买地震巨灾财政指数保险可以有效地平滑财政涉灾支出波动性风险,且波动性随着地震巨灾财政指数保险赔付的增加而减小;当地震巨灾财政指数保险保额分别为50亿元、100亿元、150亿元和200亿元时,可以使财政涉灾支出负担积累分别下降0.0019%、0.0028%、0.0033%和0.0047%。鉴于此,目前我国部分地区实施的巨灾财政指数保险试点可以起到平滑财政涉灾支出的波动性风险,具有推广性。     

Überlegungen zu einem fairen Risikomanagement-Mix in Versicherungsunternehmen

This article deals with the question of how a ?fair risk management mix“ that does not lead to a wealth transfer between shareholders and policyholders can be achieved in a joint-stock insurance company. In our financial model of an insurer, the ?fair“ situation, it is assumed that there is no wealth transfer between shareholders and policyholders when both parties receive a net present value of zero on their investments. Taking the default risk of the insurance company into account, we first model a ?fair“ situation for the insurer’s existing portfolio. Surprisingly, closing a new insurance contract that has been priced on a fair basis and then included in the insurer’s existing portfolio leads to a disequilibrium situation because the net present value for the shareholders is no longer zero. This new net present value can be viewed as the fair price of any risk management measure the insurer must take so as to reestablish an equilibrium for both parties, the shareholders and the policyholders.     

巨灾风险管理的困境与出路——兼论中、美洪水灾害风险管理差异

在经历了几场罕见的大灾大难之后,巨灾风险已经成为举国上下共同关注的话题。许多学者迫切要求国家尽快建立所谓的“完整制度”或“管理体系”,实现巨灾风险管理。这种想法具有代表性。本文通过对中、美两国洪水灾害风险管理实践的分析,认为巨灾是目前人类难于应对和应对不了,而又不得不应对的一种自然灾害。无奈之下,人类可以有两个选择：一...     

巨灾保险可负担性研究

本文对比研究了巨灾保险的三种可负担性定义,分别是参考法定义、规范性定义、有效需求定义,并对其划分办法在巨灾保险中的应用进行了探讨。参考法定义简单直观但是划分结果却比较模糊,规范性定义和有效需求定义分别从收入分配和代表性群体的保险需求为划分依据定义可负担性,后两者结果比较精确且各有优劣。通过问卷调查得到的结论更支持有效需...     

农业巨灾保险的需求意愿及其影响因素

本文基于六省市的调查数据,对农民的农业巨灾保险需求意愿进行了特征性描述。并采用Logistic回归模型分别对有无政府补贴情况下,农民对农业巨灾保险的需求意愿及其影响因素进行分析,同时还对农民购买农业巨灾保险意愿的稳定性及其影响因素进行检验。结果表明,政府补贴能有效释放农业巨灾保险的潜在需求。是否参加过农业专业或合作组织、农民文化程度、家庭总收入、农业巨灾风险发生频率以及家庭拥有土地规模等因素显著影响农民对农业巨灾保险需求意愿的稳定性,并能促成农民购买农业巨灾保险行为的发生。     

基于有限理性的农业巨灾保险主体行为分析及优化

基于有限理性的进化博弈分析框架,本文分析了农业巨灾保险主体群落基因复制动态变化过程。研究发现,农民个体是否购买农业巨灾保险关键取决于个体的比较预期收益和其所要承担选择成本的大小。而保险公司与投保农民的博弈轨迹不存在使博弈双方共同稳定的进化稳定策略,只能实现农业巨灾保险市场上平均意义上较优策略。同时,由于农业巨灾风险强破坏性和发生概率分布厚尾性的影响,政府的有效行为具有优化农业巨灾保险主体行为变迁轨迹的效能。     

巨灾保险应该强制参保吗?——基于强制保险的发展逻辑

尽管利用巨灾保险来补偿巨灾损失的做法已经得到越来越多的认同,但是人们对于巨灾保险是否应该采取强制参保的方式尚存明显争议。本文通过考察强制保险的两种基本形态——社会保险与强制性商业责任保险的历史发展背景,总结出强制保险发展的基本逻辑,然后以此为衡量标准对巨灾保险是否应该采取强制参保的方式进行了探讨。本文研究发现,巨灾保险并没有满足采取强制参保方式的所有标准,这或许正是人们对这一问题存在争议的原因。     

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.     

我国巨灾风险可保性的理性思考

巨灾保险虽然一直未能真正踏上破冰之旅,但近年频发加剧的巨灾,使巨灾保险再次成为保险业的聚焦领域。巨灾风险可保性争论不休,业界徘徊不前,厘清巨灾风险的保险属性,可否引导市场参与巨灾风险的有效管理,特别是金融市场、保险市场和资本市场的联动推进,更是尚需解决的问题。基于巨灾风险管理的理论分析认为,我国巨灾风险具备可保性有其理...     

我国巨灾保险立法模式探讨

巨灾保险制度的建立必须以巨灾保险法律制度为基础,探讨适合我国巨灾保险立法模式是巨灾保险法律制度建设首先必须解决的问题之一。本文通过考察世界各国巨灾保险立法模式的类型,借鉴巨灾保险先行国家和地区的成功经验,依据我国现阶段的国情和法治状况,总结出我国巨灾保险立法模式比较可行的选择是采专项型立法模式,首先针对地震风险制定《地震保险法》,在此基础上逐步建立针对其他灾种的巨灾保险法律制度。     

混合供给模式下巨灾保险市场的激励与约束研究

巨灾保险具有准公共物品属性,既可以由政府提供,也可以由市场提供,单纯依靠政府和私人市场提供都存在较大弊端,政府和私人部门合作,采用混合供给模式可以形成互补优势,提高效率,这已成为国际巨灾保险市场发展的一大趋势。本文以混合供给模式下的巨灾保险市场为对象,分析巨灾保险市场中的委托代理关系,并对如何构建有效的激励与约束机制进行了初步探讨。     

论政府在农业巨灾保险体系中的角色定位

农业巨灾保险的公共产品特性以及我国所处的经济发展阶段决定了政府在构建农业巨灾保险体系中的主导地位,但由于政府的缺位,使得我国的保险法规、保险机构、财政支持和救助方式等方面与农业巨灾保险体系建设的要求相差甚远,农业巨灾保险体系亟待完善。为了加快我国的农业巨灾保险体系建设,政府需要在法律制定、资金保障、保险市场拓展、运作模式、辅助风险控制等方面做出积极的努力。     

适合中国国情的巨灾保障体系选择--区域性强制巨灾保险

我国是世界上自然灾害发生频繁、灾害损失较严重的国家之一,每年都因自然灾害而使国民经济和人民生活遭受巨大的负面影响。特别是2008年发生的南方冰雪灾害和汶川地震,更是暴露出我国巨灾保障体系的缺失,建立完善的巨灾保障体系已经势在必行。笔者根据我国的具体同情,提出了建立区域性强制臣灾保险体系的设想。