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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 曾郁仁 | |
dc.contributor.author | Shu-Ting Chao | en |
dc.contributor.author | 趙淑婷 | zh_TW |
dc.date.accessioned | 2021-06-13T16:53:32Z | - |
dc.date.available | 2005-07-04 | |
dc.date.copyright | 2005-07-04 | |
dc.date.issued | 2005 | |
dc.date.submitted | 2005-06-16 | |
dc.identifier.citation | 一、中文部分
1.吳智中(2001),「巨災風險債券之計價分析」,政治大學風險管理與保險學系碩士論文。 2.吳奉遠(2001),「巨災事件對產險業股價影響之研究」,中正大學財務金融系碩士論文。 3.吳紫揚(2004),「CIR變異性參數利率模型-信用卡債權證券評價之應用」,國立台灣大學財務金融系碩士論文。 4.李君屏(2002),「巨災保險連結證券財務評價模式之探討」,保險專刊第一期,頁61-74。 5.侯丁月(2001),「巨災風險證券化之分析」,政治大學風險管理與保險學系碩士論文。 6.陳森松(1998),「論產物保險業新避險工具-保險衍生商品」,保險專刊,頁112-125。 7.陳信憲、洪麗琴、鍾佳伶(2004),「巨災債券之理論與實際」,證券櫃檯,頁63-71。 8.曾郁仁(1999),「巨災保險之風險與再保險市場」,災後重建的財政規劃與巨災風險證券化研討會。 9.黃志仁、林忠機(2002),「巨災保險證券化之探討」,產業論談,頁67-82。 10.黃凱溥(2002),「台灣地區巨災債券應用之價格分析」,實踐大學企業管理系碩士論文。 11.張宏賓(2000),「巨災債券及巨災選擇權契約之發展現狀與在臺灣之應用可行性(上)」,證券暨期貨管理,頁1-21。 12.張宏賓(2000),「巨災債券及巨災選擇權契約之發展現狀與在臺灣之應用可行性(下)」,證券暨期貨管理,頁1-16。 13.張偉忠(2000),「巨災債券之理論與實際」,中央大學財務管理系碩士論文。 14.葉淑玲(2003),「台灣重大災難事件對產險業股價報酬之影響」,國立高雄第一科技大學金融營系碩士論文。 15.劉璐璐(2003),「巨災風險證券化之研究-我國實施巨災風險證券化可行性之探討」,淡江大學保險學系保險經營碩士班碩士論文,。 16.鄭濟世(2002),’巨災風險管理與政府監理’,台灣經濟金融月刊第454期,頁68-78。 二、英文部分 1.Christopher McGhee, 2004, “Market Update: The Catastrophe Bond Market at Year-End 2003”, Guy Capenter & Company, Inc. and MMC Securities Corp. 2.Cox, J., J. Ingersoll and S. Ross, 1985, “A Theory of the Term Structure of Interest Rates”, Econometrica 53, pp.385-408. 3.Cox, S. H. and R. G. Schwebach, 1992, “ Insurance Futures and Hedging Insurance Price Risk”, The Journal of Risk and Insurance, Vol.59, pp.628-644. 4.Cox, S.H., and H.W. Pedersen, 2000, “Catastrophe Risk Bonds,” North American Actuarial Journal, Vol.4, pp.56-82. 5.Cummins, J. D., 1999, “The Insurance Link to Securities”, Risk Management, August. 6.Cummins, J. D. and H. Geman, 1995, “Pricing Catastrophe Futures and Call Spreads: An Arbitrage Approach”, Journal of Fixed Income, March, pp.46-57. 7.Davi M. D’Agostino, 2002, “Catastrophe Insurance Risks-The Role of Risk-Linked Securities.”, United States General Accounting Office, October. 8.Davi M. D’Agostino, 2003, “Catastrophe Insurance Risks-Status of Efforts to Securitize Natural Catastrophe and Terrorism Risk.”, United States General Accounting Office, April. 9.Doherty, N. A., 1997, “Financial Innovation in the Management of Catastrophe Risk”, Journal of Applied Corporate Finance10, pp.84-95. 10.Dwight M. Jaffee, Thomas Russell, 1997, “Catastrophe Insurance, Capital Markets, and Uninsurable Risks”, The Journal of Risk and Insurance, Vol.64, No2, pp.205-230. 11.Froot, K., etc., 1998, “The Evolving Market for Catastrophic Event Risk”, Marsh & McLennan Securities Corp. and Guy Carpenter., August. 12.Johannes Skylstad Tynes, 2000, “Catastrophe Risk Securitization ”, Journal of Insurance Regulation, Vol.19, pp.3-27. 13.Litzenberger, R. H., D. R. Beaglehole and C. E. Reynolds, 1996, “Assessing Catastrophe Reinsurance-Linked Securities as a New Asset Class”, Journal of Portfolio Management, Special Issue, pp.76-86. 14.Louberge, H., E. Kellezi and M. Gilli, 1999, “ Using Catastrophe-Linked Securities to Diversify Insurance Risk: A Financial Analysis of CAT Bonds”, Journal of Insurance Issues 22(2), pp.125-146. 15.Lee, J.P., and M.T. Yu, 2002,“Pricing Default-Risky CAT Bonds with Moral Hazard and Basis Risk,” Journal of Risk and Insurance, Vol.69, pp.25-44. 16.Nobuyoshi Yamori, Takeshi Kobayashi,1999, “Is It True that Insurers Benefit From A Catastrophic Event: Market Reactions to the 1995 Hanshin-Awaji Earthquake,” Pacific Basin Working Paper Series No. PB99-04. 17.Shelor, R. M., Anderson, D. C., and Cross, M. L.,1992, “Gaining from loss: Property-Liability insurer stock value in the aftermath of the 1989 California earthquake,” Journal of Risk and Insurance, Vol.59, pp.476-487. 18.Sigma-Swiss Re, 2005, “Natural Catastrophes and man-made disasters in 2004”, Sigma No.1, Swiss Re. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/38940 | - |
dc.description.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。 | zh_TW |
dc.description.abstract | 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. | en |
dc.description.provenance | Made available in DSpace on 2021-06-13T16:53:32Z (GMT). No. of bitstreams: 1 ntu-94-R92723022-1.pdf: 392633 bytes, checksum: 59af8d9366c5246bbb0850a2b0dcf694 (MD5) Previous issue date: 2005 | en |
dc.description.tableofcontents | 第一章 緒 論---------------------------------------- 1
第一節 研究動機與目的-------------------------------- 1 第二節 研究架構------------------------------------- 3 第二章 巨災債券介紹及市場現況------------------------ 5 第一節 巨災債券介紹---------------------------------- 5 第二節 巨災債券發行架構------------------------------ 8 第三節 巨災債券特色--------------------------------- 10 第四節 巨災債券全球市場與台灣現況------------------- 12 第三章 文獻回顧-------------------------------------- 17 第一節 巨災債券財務評價方法-------------------------- 17 第二節 重大巨災事件對產險業股價影響之實證研究------ 22 第四章 研究方法-------------------------------------- 27 第一節 模擬巨災債券價格----------------------------- 27 第二節 跨期利潤平滑分析----------------------------- 32 第三節 敏感度分析------------------------------------ 36 第五章 模擬結果-------------------------------------- 37 第一節 模型參數設定---------------------------------- 37 第二節 數值範例------------------------------------- 38 第三節 綜合分析-------------------------------------- 48 第六章 結論與建議------------------------------------ 50 第一節 結論------------------------------------------ 50 第二節 後續研究建議---------------------------------- 51 參考文獻---------------------------------------------- 52 | |
dc.language.iso | zh-TW | |
dc.title | 巨災債券平滑保險公司跨期利潤之研究 | zh_TW |
dc.title | Analysis of the Smoothing Ability of CAT Bond | en |
dc.type | Thesis | |
dc.date.schoolyear | 93-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 王仁宏,黃瑞卿 | |
dc.subject.keyword | 巨災債券,利潤平滑,評價, | zh_TW |
dc.subject.keyword | CatBond,Smoothing,Valuation, | en |
dc.relation.page | 55 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2005-06-17 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
顯示於系所單位: | 財務金融學系 |
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