导　　师： 刘少波

学科专业： 020204

授予学位： 硕士

作　　者： ;

机构地区： 暨南大学

摘　　要： 20世纪90年代,面对频繁发生的巨灾,西方发达国家通过发行巨灾风险证券化产品,有效地提高了保险业的承保能力和抵御风险的能力。中国是巨灾频发的国家之一,但目前分散巨灾风险的渠道狭窄,这样既不利于灾后重建和救助,也不利于中国经济的可持续发展。因此参照西方发达国家的成功经验,引入巨灾风险证券化,分散巨灾风险损失,对我国无疑具有重要的意义。 本文先对巨灾风险的传统转移分散方式—再保险进行了分析研究,传统再保险的缺陷使其在巨灾风险不断扩大的背景下陷入发展困境,巨灾风险证券化应运而生,它为巨灾风险分散提供了新的解决方案。 本文在对巨灾风险证券化的基本原理分析基础上,对国际上现行的主要巨灾风险证券化产品进行研究后发现,巨灾债券是目前最成熟、应用最广泛的巨灾证券化产品。所以本文以巨灾债券为例,运用现金流量法对其金融学的定价进行了分析,并以美国USAA公司发行的飓风债券为例,对巨灾债券的发行程序进行了分析,以期对我国发展巨灾风险证券化起到借鉴作用。 本文通过研究得出,我国已经具备了发展巨灾风险证券化的基础条件,并对在中国发展巨灾风险证券化的必要性和可行性进行了深入分析。但同时,目前也还存在诸多的制约因素。因此,在现阶段我们应该建立和完善市场供求体系;构建符合中国国情的巨灾风险模型,建立巨灾风险指数体系;建立符合中国国情的巨灾发行机构;建立信用评级制度,吸引投资者投资;建立巨灾风险证券化的制度保障体系;最后我们还要结合中国的国情分阶段地发展巨灾风险证券化,短期内可先发行巨灾债券,待条件成熟后再全面发展巨灾风险证券化。 In the 1990s,some western developed countries effectivly enhanced the underwriting capacity and the risk-resisting capability of the insurance industry through the issuing of catastrophe risk securitization products to face the loss from the catastrophe risk.China is of the countries which suffer from catastrophe.Although the channels is narrow in avoiding catastrophe risk,which is adverse to the main post-disaster reconstruction and relief work and the sustainable development of China's economy.Therefore,it is important to our country to introduce learn from the successful experience of Western developed countries and introduce catastrophe risk securitization so as to transfer and reduce losses. This paper attempts to analyze the reinsurance,the traditional way of risk transfer for catastrophe risks,and its defects of probably falling into difficulty under risk expansion.Thus the catastrophe risk securitization comes into being,which offers a new solution to the problem of risk transfer and reduction. On the basis of the fundamental theoretic analysis and research into main catastrophic securitization products on the current international market,the author proves that catastrophic securitization is the most mature and most widely applied products.And with such an example, this paper attempts to give a definition for finance studies under the currency flow methodology. An introduction to the USAA hurricane securities and its issuing procedure is also made to offer reference to the development of catastrophic securitization in China. It comes to the conclusion that the basic conditions for issuing of catastrophic securitization is already there in China.Along with an in-depth analysis for its necessity and feasibility,this paper also identifies the restraint elements for its development.Therefore,we should establish and improve the market demand and supply system,develop the suitable catastrophic risk management model and risk index system fitting Chinese conditions,set up the credit rating system to attract investment,build the system guarantee mechanism,and last but not the least, issue short term catastrophic bonds before the all-round development of catastrophic risk securitization.

关 键 词： 再保险 巨灾风险 巨灾风险证券化 巨灾债券

分 类 号： [X43 F832.51]

领　　域： [环境科学与工程] [经济管理]