巨災風險管理---以巨災債券為例

Abstract

由於近年來巨災損失幅度與頻率提高，再保險市場承保能量萎縮，於是必須尋求新的途徑來解決問題，保險風險證券化商品便是為因應此而衍生，運用此類商品的特性將風險移轉或分散至資本市場，以規避巨災損失。 本篇文章以巨災債券作為出發，首先介紹巨災債券以及其他巨災風險證券化商品的內容及其優缺點；然後透過訂價模型分別對本金沒收型巨災債券與本金保證償還型巨災債券作評價，並對巨災債券價格作敏感性分析，了解相關變數對巨災債券價格的影響；最後由於有無發行巨災債券與巨災債券支付型態不同會造成不同現金流量變化，模擬再保險人在面對巨災風險情況下，採取發行不同巨災債券避險方式來籌措額外資金，支應龐大的理賠損失，並觀察巨災債券約定啟動後，透過不同給付方式償還投資人其現金流量變化情形。 在巨災債券價格敏感性分析中，本金沒收型與本金保證償還型巨災債券無論是零息債券或分期付款給付方式設定，價格與啟動水準呈現正向關係，價格與巨災損失發生頻率、損失標準差呈負向關係；價格與本金沒收型的本金回收比率呈正向關係。此外，本金保證償還型巨災債券價格高於本金沒收型債券價格，其發行成本較低。 在現金流量模擬中，再保險人有發行巨災債券避險時，跨期平均數即跨期利潤提高，本金沒收和本金保證償還型皆如此；跨期平均數之標準差則大於未發行巨災債券避險者，可能為獲利性的提高導致。另外在本金保證償還型下，相同年期的零息債券與分期付款比較，分期付款的跨期平均數的標準差皆有明顯的下降，顯示攤還方式使再保險人降低現金流量的波動，但跨期平均數較低。再保險人可依其對跨期利潤與跨期現金流量波動風險容忍程度作一取捨，決定其發行巨災債券避險之支付方式，達到更好的風險分散。

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.