頁籤選單縮合
題 名 | Managing Catastrophe Risk with Financial Innovation |
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作 者 | Chang,Chiu-cheng; | 書刊名 | 中華民國精算學會會報 |
卷 期 | 21:1 1997.10[民86.10] |
頁 次 | 頁248-260 |
分類號 | 563.75 |
關鍵詞 | Catastrophic risks; Excess of loss reinsurance; Call spreads; Catastrophe bonds; Insurance derivatives; Insurance risk securitization; |
語 文 | 英文(English) |
英文摘要 | In this paper, we use financial engineering of securities and derivative instruments to convey insurance risk directly to investors in the capital markets. It is shown how a reinsurer could form a bridge between traditional reinsurance and catastrophe-linked bonds. An equation is developed for the price of a pure catastrophe bond, which puts both principal and interest at risk, in terms of the probability of occurrence of the insured catastrophic event. Also, it is shown that catastrophe call spread contracts are economically equivalent to excess of loss reinsurance contracts and it is argued that such call spreads are likely to be the most efficient vehicle for transferring catastrophic risk exposure to investors. |
本系統中英文摘要資訊取自各篇刊載內容。