巨災保險連結證券財務評價模式之探討

本文整理與分析巨災保險連結證券的相關文獻，以財務評價理論的角度，比較在集中市場交易之保險期貨契約、保險期貨選擇權、PCS巨災選擇權以及私下募集之巨災債券等巨災保險連結證券的評價模式。本文首先介紹在確定利率及連續擴散巨災損失隨機過程下巨災保險連結證券的評價模式，其次說明在隨機利率與含有巨災損失跳躍的巨災損失隨機過程下的相關評價模式。最後再介紹納入道德風險、基差風險、產險公司財務狀況及負債結構等重要因素的評價模式。透過這些重要文獻的分析與探討，本文提供了巨災保險連結證券相關財務評價模式的完整輪廓。
關鍵字：巨災保險相關證券、保險期貨契約、保險期貨選擇權、PCS巨災保險選擇權、巨災債券、道德風險、基差風險

An Overview of the Financial Pricing Models for Catastrophe-Linked Securities

　　　　　　　　　　　　　　　　　　　　　　　　　　　　(Jin-Ping Lee)

We review the papers related to the catastrophe-linked security pricing theory. The early papers of pricing the CAT futures in case of deterministic interest rate and pure diffusion loss process as well as the papers of pricing the CAT bonds with moral hazard and basis risk are all examined. The assumptions of the pricing models come closely to the real world. We also present the relationship among the financial pricing models for all catastrophe-linked securities such as CAT futures, CAT futures options, PCS insurance options, and CAT bonds. This paper provides the property & casualty (re)insurers and the investors a simple but complete structure for the catastrophe-linked security financial pricing theories.

Keywords:catastrophe-linked securities, CAT futures, CAT options, PCS insurance options, CAT bonds, moral hazard, basis risk