再保險危機與最適再保險合約

911之後，2002年再保險費激增而容量卻大幅度下降。本文利用最適契約理論提出對此一現象的解釋與因應之道。我們首先證明保險公司與再保公司最適契約的型態不決定於風險的分配，反而決定於保險公司與再保公司的風險偏好。因此，我們推論911所造成的重大理賠損失與類似911無法避險的危機使得再保公司轉變得非常趨避風險，因而全面降低各險種的共保比例；同時，再保公司為了重新累積資本也全面提高各險種的再保費，本文最後根據理論提出我們對再保市場可能的預期與建議。
關鍵字：再保、最適契約、風險趨避

Reinsurance Crisis and Optimal Reinsurance Contract

　　　　　　　　　　　　　　　　　　　　　　(Hsien-Chan Ho)*(Larry Y. Tzeng)

After 911 catastrophe in New York City, the premium of the reinsurance soared while the capacity of reinsurance shrank. In this article, we provide a rationale to explain the occurrence of this reinsurance crisis. By analyzing the optimal contract between the insurer and the re-insurer, we find that a large negative shock on the re-insurers capital and the existence of an independent background risk can consistently explain the phenomenon in the reinsurance market after 911. We further discuss our predictions and possible solutions to cope with the reinsurance crisis.

Keywords:reinsurance, optimal contract, risk averse