巨災債券平滑保險公司跨期利潤之研究

Abstract

巨災保險和一般保險最主要的不同在於巨災事件的發生彼此不獨立且理賠金額各期之間變異巨大，可能導致承保巨災風險業務的保險公司面臨嚴重地跨期利潤不平滑的問題。因此，維持利潤的穩定成為管理者最重要的任務。 本研究嘗試從平滑保險公司跨期利潤的觀點出發，針對巨災債券作分析，希望找出有效平滑保險公司跨期利潤的模式。首先，本文分析是否可透過發行巨災債券來最小化跨期平均利潤價值的波動程度，接著並比較不同履約方式之巨災債券維持利潤穩定性的效用何者較優。此外，針對損失啓動條件、損失平均值、損失標準差、本金回收比率與股價變動等因素，來探討是否會影響結果之不同。 模擬結果如下： 一、發行巨災債券對產險公司的跨期利潤平滑效果較無發行巨災債券的情況好，符合Jaffee and Russell(1997)提出的觀點：保險公司可利用巨災債券來移轉承擔巨災損失變異很大的風險。 二、股債轉換型巨災債券平滑跨期利潤的能力明顯優於聯結型債券。此外，即使改變不同的損失參數也不會影響到股債轉換型巨災債券平滑跨期利潤較優的能力。 三、股債轉換型巨災債券價格高於直接聯結型巨災債券。 綜合上述的論點，本研究認為巨災債券可作為再保險的輔助工具，且股債轉換型債券未來有機會取代聯結型債券。

The major difference between the catastrophe insurance and other insurable risks is that the annual pattern of catastrophe risk is highly variable. Therefore, the insurance companies encounter the problem of smoothing out surplus. Solving the fundamental problem of the mismatch between the size of annual premiums and the much larger size of possible catastrophe losses becomes the most important task that managers have to handle. This article aims to find an effective way that can smooth the surplus of the insurance company. First, we analysis whether using the Cat bond can work out the problem and can minimum the volatility of average surplus. Then we further compare the smoothing ability of catastrophe-linked bonds and catastrophe convertible bonds. Finally, we conduct a sensitivity analysis. This allows us to understand the variables related to influencing the prices and smoothing ability of different kind of Cat Bonds. From the simulation, we realize the following results. First, issuing the Cat Bond can get the better smoothing effect than do not issuing the Cat Bond. It follows the conclusion of Jaffee and Russell (1997). Second, catastrophe-convertible bonds smooth surplus better than catastrophe-linked bonds. Even varying the related variable will not change this phenomenon. Finally, the price of catastrophe-convertible bonds is larger than catastrophe-linked bonds. It means if the insurance company issue catastrophe-convertible bonds, it will get more from the investor. To comprehensive the above results, we think the catastrophe-convertible bonds have the chance to take the place of the traditional catastrophe-linked bonds.