外文題目:NewAproachestoManagingCatastrophicInsuranceRisk出處：RiskManagementChallengeandOpportunity作者：UlrichHommelandMischaRitterUlrichHommel原文：NewApproachestoManagingcatastrophicInsuranceRiskUlrichHommelandMischaRitterEuropeanBusinessSchool–InternationalUniversity,SchlossReichartshausen,D-65375Oestrich-Winkel,GermanyAbstract:Insuranceandfinancialmarketsareconvergingas(re-)insurersaresearchingfornewwaysofexpandingtheirunderwritingcapacitiesandmanagingtheirriskexposures.Catastrophe-linkedinstrumentshavealreadyestablishedthemselvesasanewassetclasswhichoffersuniqueprofitanddiversificationopportunitiesfortheinvestorcommunity.Thischapteranalyzestheprincipalforcesbehindthesecuritizationofcatastrophicinsuranceriskandtherebyhighlightskeyfactorswhichdeterminetowhatextentandwithwhatmeansotherformsofinsurancerisks(inparticularothertypesofproperty&casualty,longevity,healthandweatherrisks)canbetransferredtofinancialmarketsinthefuture.JELClassification:G150,G220,G130Keywords:CatastropheRisk,Securitization,Derivatives,Reinsurance,RiskManagement1.IntroductionAlternativeRiskTransfer(ART)isoneofthemostrapidlygrowingsegmentsofthereinsurancebusinesstoday.Itsobjectiveistodevelopalternativedistributionchannels(e.g.insurancecoverageforcaptivedemanders)andtoidentifywaysofexpandingthecapitalbasetosatisfytheever-growingappetiteforreinsurance,mostimportantlyviathesecuritizationofinsurancerisks.ARTisspearheadingtheprocesswhichworkstowardsbridgingthegapbetweeninsuranceandfinancialmarketsandincreasinglyexposesreinsurerstocompetitivepressuresfrominvestmentbanks.Thischapterfocusesontheoneareawherethetransferofinsurancerisktofinancialmarketshasalreadybeencarriedoutsuccessfully,catastrophe(orCAT)risk.Theanalysiswillhighlightkeyaspectswhichwillgainequalprominencewhenorganizedandover-the-counter(OTC)marketsbegintoabsorbotherformsofinsurancerisks,mostimminentlyothertypesofproperty&casualtyrisksaswellaslongevityandhealthrisks(seealsoRiemer-Hommel/Trauthinthisvolume).NotallformsoffinancialinnovationrelatedtosecuritizingCATriskhavebeensuccessful.Allexchange-tradedinstrumentshavebasicallyceasedtoexistinrecentyearsbutareneverthelessincludedinthischaptersincetheyhaveprovideduniqueformsofmanagingCAT-likeexposures.Someofthekeyreasonsforthesefailureswillbefurtherdetailedbelowaswell.Wehavewitnessedanextraordinaryincreaseinthefrequencyandseverityofnaturalcatastrophesinrecentdecadeswhichcanlargelybeexplainedbyanoverallincreaseinpopulationdensity,theappreciationofpropertyvaluesinindustrializedcountries,andanincreaseofinsuredpropertyvaluesinhigh-riskregions.Particularlyproblematicareso-calledmassive-losseventswithinsureddamagesofUSD1bill.ormoresincetheymaythreatenthesolvencyoftheinsuranceindustryasawhole.Property-casualtyinsurershavefacedatotalof36eventsbetween1970and2003eachwithaninsuredlossofoverUSD1.5bill.,28since1990alone.ThemostprominentexamplesareHurricaneAndrew(USD20.9bill.,1992),theNorthridgeEarthquake(USD17.3bill.,1994),TaifunMireille(USD7.6bill.,1991),andHurricanesDariaandLothar(bothUSD6.4bill.,1990/1999).Withtheriseofglobalterrorism,man-madedisastershavealsobecomeacentralissueformanagingCAT-likeexposures.The“September11”attack(2001)hasforinstancecausedtotalinsuredlossesofUSD21.1bill.(in2003USD).TraditionalinsurancemarketslacktheabilitytosupplysufficientcoverageforexistingCATriskexposures.TheU.S.insuranceindustryforinstancecontrolsanequitycapitalbaseofUSD350bill.AsingleearthquakewithanepicenternearOrangeCounty(CA)orahurricanecomingtoshoreinthevicinityofMiami(FL)mayalreadyimposedamageclaimsofuptoUSD50-100bill.onU.S.property&casualtyinsurers,anamountlargeenoughtoprobablyputanumberofinsuranceprovidersinastateoffinancialdistress.Primaryinsurershaverespondedbyreducingtheavailabilityofinsurancecoverage(e.g.homeownerinsuranceinhighriskareas)andbyraisinginsurancepremiumsanddeductibles.Statelegislatorshaveinsomecasesreactedbysettinguppublicinsuranceschemes(e.g.CaliforniaEarthquakeAuthority,1996),byestablishingguarantyfunds(e.g.FloridaHurricaneCatastropheFund)andbypassinglegislativemoratoriumswhichpreventprimaryinsurersfromstoppingtosupplyCATriskcoverage.Inthiscontext,itisalsoimportanttonotethatthegapbetweentotaleconomiclossesandlossesactuallyinsuredwidenssignificantlyaswemovefromthedevelopedworldtotransitioneconomiesandunderdevelopedcountries.Theprimaryreasonfortheproperty&casualtyinsurers’continuedoverexposuretoCATriskhasbeenthelimitedavailabilityoftraditionalreinsurancecoveragewhichis,however,notsurprisinggiventhereinsuranceindustry’snarrowcapitalandsurplusbaseofUSD42bill.(1997).TherisingdemandforreinsurancehaspushedCATreinsurancepremiumsupby72%between1990and2002alonewhiletheprimaryinsurers’attachmentpoints(equivalenttodeductibles)haveforinstancerisenby73%between1985and1994.Theaveragecoverageformassive-losseventsexceedingUSD5bill.hadrisenmarkedlyintheU.S.since1970butstillfailedtoreach30%in1994.Hence,theinsuranceindustry’skeychallengesincetheearly1990shadbeenthesearchforalternativemeansofreinsuringCATrisks.Theworld’sequityandfixedincomemarketswithacapitalizationofmorethanUSD30trillioncoupledwiththeorganizedandover-the-counter(OTC)marketsforderivativeinstrumentsprovidethecapabilityandaspirationtoabsorbsomeoftheseexposures.Asoutlinedinsection2,CAT-linkedsecuritiesoffernewportfoliodiversificationopportunitiesforinvestorsgiventheirstatisticalindependencefromsystematicmarketrisk.Inaddition,traditionalCATreinsurancereturnsstillexceedtherisk-freeratewhichrepresentstheadequateminimumrequiredreturnintheabsenceofarbitrageandcapitalconstraints.Thediscussioninsection3explainsthatcontractdesignmayeitheraimatreplicatingthepayoffstructureoftraditionalreinsurancecontractsorgeneratepayoffpatternstailoredaroundtheinsurer’sspecificriskmanagementneed.Asdiscussedinsection4,theuseofCATderivativesfurtherenablesinsurerstoobtainamorefavorableriskprofile,aboveallbyreducingtheiroverallCATriskexposure,byobtainingasuperiorgeographicaldiversificationoftheircontractportfolioandbyeliminatingso-calledmoralhazardrisk.Section6providesanoverviewofthevarioushedgingstrategiestobepursuedwithCATderivatives.AkeyissuerelatedtotheusageofCATderivativesisthevaluationofthesecontractswhichisdiscussedinsection6.Finally,theconcludingremarks(section7)analyzetheimplicationsofsecuritizationanddisintermediationforthefuturedevelopmentofthereinsuranceindustry,inparticularitsroleasanagentforthepoolingandbearingofrisk.CAT-linkedsecuritiesenableinsurerstoreduceandrestructuretheirexistingriskexposuresandtherebyenhancetheirrisk-bearingcapacities.Itthereforeseemsappropriatetobeginthediscussionbyreviewingsomeoftheeconomicrationaleswhyinsurersshouldengageinactiveriskmanagement.Onagenericlevel,corporateriskmanagementcanbejustifiedonthebasisofmarketimperfectionswhichimplyaninvalidationofModigliani-Miller’s(1958)irrelevancetheorem.Specifically,corporate(asopposedtoinvestor-based)hedgingactivitiesmayraiseshareholdervalueby(a)reducingtheagencycostsofequityfinancing(riskpreferenceproblem,performancesignaling)anddebtfinancing(underinvestmentandassetsubstitutionproblem)associatedwithasymmetricinformation;(b)reducingthecorporatetaxburdeninanenvironmentwithconvextaxschedules(e.g.statutoryprogressivity,lossforwardandtaxcreditprovisions);(c)reducingthetransactioncostsofhedgingassociatedwithscaleeffects,asymmetricinformation(i.e.,inabilityofshareholderstodeterminethefirm’strueexposure)orstructuralaccessbarriers;(d)reducingtheexpectedcostsoffinancialdistress(i.e.,reducingtheprobabilityofencounteringfinancialdistressandthedirectaswellasindirectcostsassociatedwithfinancialdistress);(e)improvingtheavailabilityofinternallygeneratedcashflowsinanenvironmentwithhigherabsolutecostsaswellasrisingmarginalcostsofexternalfinancing;(f)helpingoptimizethefirm’sriskportfolio(i.e.,byhelpingtoeliminatenon-compensatedriskexposures).Whileallofthesemotivesaremoreorlessapplicabletotheinsurancebusinessaswell,itmustberecognizedthatthereareimportantdifferences.Insurersdonotconsiderriskanundesirablesideeffectofdoingbusiness;itistheirbusiness.Theypool,repackage,cedeaswellasretrocede,diversify,andbearallformsofriskexposures.Maintainingtheabilitytodeliverontheircontractualobligationsliesattheheartoftheirriskmanagementactivities(d).Inaddition,consolidationpressuresresultingfromtheinternationalizationoftheinsurancebusinessforcemarketparticipantstopursuemarketexpansionstrategieswhichimplytheneedtoexpandunderwritingcapacitywithinternalorexternalmeans(e).Financialmarketsofferuniqueopportunitiesforcontract-basedreplicationofCATriskexposureswhichenablesinsurerstocedeexposuresdirectlyto(primarilyinstitutional)investors.Insurersaretypicallyspecializedincertainproductsegmentsandregions,ifonlyforhistoricalreasons,andmaythereforebepreventedfromexploitingtheirfullmarketpotentialinordertoavoidtheoverexposuretocertainriskfactors.Traditionalreinsuranceoffersopportunitiestocedesomeoftheserisksbutisoftensaidtorequirespecialpremiumstocompensateforagencyriskgiventhereinsurers’limitedabilitytoevaluatetheriskprofileoftheprimaryinsurer’scontractportfolio.Financialmarketsprovideadditionalopportunitiesfortheoptimizationofaninsurer’sriskportfolio(f),forinstanceviaCATswapmarkets,andhelptoreducetheexposuretoagencyriskaswellasitsprice(a).TraditionalandART-BasedCATReinsuranceCATreinsurancecanbeobtainedwiththeobjectivetoeithertransferrisktoanotherpartyortoprovidefinancingintheoccurrenceofadisastrousevent.Theexistingtransactionstructurescanbasicallybegroupedintothefollowingfourcategories:?TraditionalReinsurance:Transactionwhichinvolvesthetransferofinsuranceriskfromapartywhohasassumedsuchriskfromathirdpartybymeansofaninsurancecontract(cedinginsurer)toanotherpartywhoisspecializedinassumingsuchrisk(reinsurer).ThistransactiontypeemphasizesthetransferofCATrisk.?FinancialReinsurance:Transactionswhichcombinetraditionalreinsuranceproductswithfinancingcomponentsforpurposesofgeneratingsurplusrelief,catastrophecoverage,taxoptimization,andincomesmoothing.Theemphasisistypicallyplacedonriskfinancingratherthanonthetransferofrisk.Contractingpartiesareprimaryinsurersandreinsurers.Finiteriskreinsuranceasoneexampleoffinancialreinsurancemaybeusedtocomplementspecificcoveragegaps(e.g.unhedgedlosslayers,settlementrisk)ratherthanthefullunderlyingrisk.?Securitization:Transferof(insurance)riskfromonepartywhohasassumedorisdirectlysubjecttosuchrisktoanotherpartyviatheissuanceofsecuritieswitharisk-linkedpayoffstructure(e.g.CATbonds).Thetransactionsrepresentamixtureofrisktransferandriskfinancingwithanemphasistypicallyplacedonthelatter.Ofparticularrelevanceinthiscontextarealsocontingentfinancingfacilitieswhichprovidefinancialsupportatthediscretionofthecoveredpartyorupontheoccurrenceofacatastrophicevent(e.g.ContingentSurplusNotes).?Derivatives:Transferof(insurance)riskbymeansofissuingderivativeinstrumentswitharisk-specificunderlying(e.g.lossindex).Iftheunderlyingissufficientlystandardizedtoallowexchange-trading,thenwealsospeakofinsurancecommoditization.Dependingonthespecificcontractdesign,thistransactiontypemayemphasizethetransferofrisk(e.g.CATswaps)orriskfinancing(e.g.CATequityputs).Accordingtoourdefinition,thedistinguishingfeatureofsecuritizationrelativetoderivativestransactionsisthepresenceofaninitialriskexposurewhichistransferredtoinvestorsbythevirtueofbeingpackagedintoafinancialinstrument.However,wewillapplythisdefinitionratherlooselyandincludeunderthisheadingliability-backedsecuritiesaswellasstructureswithembeddedCATderivatives(e.g.bondissueswithcouponslinkedtoaCATlossindex).TraditionalCATreinsurancecontractsaretypicallytreaty-basedratherthanfacultativeandarespecifiedasexcess-of-loss(non-proportional)policies,i.e.,thereinsurercoversallclaimswhichexceedacertainminimumlevel(stop-losscover),alsocalledattachmentpoint.Inessence,theprimaryinsurerexchangesexposuretopeaklossesresultingfromso-calledcorrelatedeventrisk24againstthepaymentofaconstantpremiumstream.Theattachmentpointsfunctionasdeductiblesandhelptoreducethereinsurer’smoralhazardrisk.Thesameobjectivemay,however,beachievedwithacoinsurancearrangement(alsocalledproratacoverage)whereinsurerandreinsurersharethelossesinconstantproportionsor,alternatively,withprotectivecovenantswhichplacebehavioralconstraintsontheinsurer’sbehavior(e.g.withrespecttotheacquisitionofnewbusinessindisaster-proneareas).Itisnotuncommonforthereinsurertocaphisobligationsbydefininganupperattachmentpoint(limit)beyondwhichhewillnolongeroffercompensationforinsurancelosses,i.e.,hemerelyofferscoverageforalosslayer.Asaresult,theprimaryinsurerretainsthepeakofthelossexposurebut,inreturn,reduceshisexposuretocounterparty(credit)risk,i.e.,theriskthatthereinsurerbecomesinsolventasaresultofthecatastrophicevent.Thereinsurermayalternativelychoosetoofferso-calledstate-contingentreinsurancewhichisbasedontheobjectiveseverityofacatastrophicevent(e.g.totaldamages,disasterseverityindexvaluesuchastheRichterscale)ratherthanontheinsurer’sactuallosses.Bydoingso,thereinsurerprotectshimselfagainstmoralhazardriskbutexposestheprimaryinsurertoadditionalbasisrisk.ThisisalsothedirectiontakenbyART-basedCATriskcoverage.ThemaindifficultyofinsuringCATrisksistoresolvetheapparentmismatchbetweenastablepremiumflowandfluctuatinginsuranceclaimsgiventhatinsuranceproviderslacktheincentivetobuildupCAT-contingentsurplusfunds.Forone,theinvestmentofex-antecapitaltendstogeneratesub-parreturnsandthereforedepressestheinsurer’soverallprofitability.Second,duetothelackofabindingcommitmentmechanism,someinsurerswouldfinditindividuallyrationaltoconvertthesefundsintounderwritingcapacityandcompeteforbusinessbydrivingdowninsurancepremiums,therebydepressingindustryprofitabilityevenmore.Third,insurerssetupascorporationsmayinviteraiderstoundertakehostiletakeoverwiththebuild-upofex-antecapitalwhilemutualinsurersmaybepushedintoaroll-backofratesbytheirmembershiporconsumeradvocates.Inaddition,insurersfaceanumberofregulatoryconstraintssuchasaccountingrestrictionsonthebuild-upofcontingencysurplus(e.g.underU.S.FASBNo.5)andtaxprovisionswhichtreatadditionstoex-antecapitalandinterestonthesefundsastaxableincome.AsdocumentedbyJaffee/Russell(1997,p.215)forthecaseoftheU.S.,insurersalsoseemtolackadynamicallyconsistentpremiumstrategywhichtakesCAT-relatedlosspeaksintoaccountandwhichensuresacertainsmoothnessinthepremiumdevelopment.FollowingHurricaneAndrew,averageinsuranceratesincreasedby65%between1992and1995.TheNorthrigdeearthquaketriggeredrequestsforrateincreasesfrom101insurancecompanies.StateFarmforinstanceappliedfora97.2%increaseinCAT-linkedpolicypremiumsandreceivedregulatoryapprovalfora65%hike.ThetraditionalCATreinsurancegaphasledtotheemergenceofanumberofART-basedsolutions,includingseveralfinancial-market-basedtransactionstructures.外文題目：NewApproachestoManagingCatastrophicInsuranceRisk出處：RiskManagementChallengeandOpportunity作者：UlrichHommelandMischaRitterUlrichHommel譯文：管理巨災保險風險的新的方法

摘要：保險業和金融市場正在融合為（再）保險公司，為擴大其承保能力和風險管理方面尋找新的途徑。災難掛鉤投資工具已經確立了新的資產類別，為投資者提供了獨特的盈利和社會多元化的機會。本章分析巨災保險風險證券化背后的主要力量，從而突出決定其長度的關鍵因素是什么，以及其他形式的保險風險的意義（特別是其他類型的財產及意外險，長壽，健康和氣候風險）可以被轉移到了未來的金融市場。關鍵詞：巨災風險，證券化，衍生性商品，再保險，風險管理

1.介紹

替代風險轉移（ART）是現今再保險領域增長最迅速的業務之一。其目標是開發替代分銷渠道（如為自保需求者提供保險覆蓋），并確定如何擴大資本基礎，最重要的是通過保險風險證券化來滿足再保險日益增長的胃口。替代風險轉移在再保險市場和金融市場之間起橋梁作用，彌合他們之間的缺口——不斷曝光的來自投資銀行的競爭壓力。本章重點介紹保險風險已經成功轉移到金融市場的一個領域，災難（或CAT）風險。該分析將重點突出，當組織和過度的柜臺交易（OTC）市場開始吸收其他形式的保險風險，其他類型的財產及意外險風險以及健康長壽風險將得到同等的重視。并非所有與巨災風險證券化相關的金融創新都取得了成功。最近幾年所有交易所交易文書已基本不復存在，不過，這一章包括在內，因為他們提供獨特形式來管理與貓債券相似的暴露。對這些失敗的關鍵原因有以下將進一步詳細介紹。

我們目睹了近幾十年來的頻率和程度嚴重的自然災害的顯著增加，在很大程度上提高了整體的人口密度，工業化國家的資產價值升值，以及高風險地區保險價值的增加。特別有問題的是所謂的大量損失的被保險人賠償10億美元的事件。或者更多，因為它們可能危及整個保險業的償付能力。財產險保險公司在1970年到2003年期間總共有36個事件，被保險人的損失超過15億美元。，自1990年以來就有28個。最突出的例子是安德魯颶風（209億美元。，1992年），北嶺地震（173億美元，1994），米雷耶臺風（76億美元，1991年），和颶風達里亞和洛薩（包括64億美元，1990/1999）。隨著全球恐怖主義的興起，人為災害也成為管理似貓債券風險的一個核心問題?！?.11”襲擊（2001），導致保險損失總額達到211億美元。

傳統型保險市場缺乏能力提供有效的CAT風險的覆蓋面。例如在美國保險業的管制法案規定了3500億美元基本股權資本。橘郡（CA）附近的一個單一地震或邁阿密海岸（佛羅里達州）附近的颶風就可能已經造成索賠高達500億至1000億美元的損失。美國財產險保險公司的數量遠遠多于在金融危機狀態下的保險供應商的數目。主要保險商的反應是減少保險覆蓋范圍（如：在高風險地區的屋主保險），或者提高保險費和免賠額。州議員在某些情況下作出的反應是設立公共保險計劃（如加利福尼亞州地震局，1996），建立擔保基金（例如佛羅里達州颶風巨災基金），并暫停傳遞的防止停止供應巨災風險保險覆蓋面的主要立法。在這種情況下，還必須指出，總的經濟損失和實際損失差距顯著擴大意味著我們從發達國家轉移到欠發達國家的經濟轉型。

財產和意外傷亡保險公司的持續過度暴露貓債券風險的主要原因是傳統的再保險覆蓋面能力的限制，但這并不奇怪，因為再保險業的資本和盈余基礎縮小到420億美元。（1997年）。再保險需求上升推高了CAT的再保險保費僅2002年至1990年就上漲了72%，主要保險的觸發點（相當于免賠額）在1985年到1994年上升73%，美國自1970年以來超過50億美元的大量損失事件的覆蓋面有所上升，但仍然未能在1994年達到30％。因此，保險業20世紀90年代初以來的主要的挑戰是搜索再保險風險的替代手段。

全球資本市場的資產和固定收益超過30萬億美元，利用有組織的和柜臺交易（OTC）衍生工具提供能力和愿望吸納這些暴露的風險。如第2部分所示，利用市場風險統計的巨災債券相關的證券投資組合為投資者提供了獨立投資主體多元化的機會。此外，在套利和資本約束的情況下，傳統的巨災再保險的回報仍超過無風險利率所代表的充足的最低要求。在第三部分的討論解釋說，合約設計的目的可能不是在復制傳統再保險合同的收益結構或產生大約保險人的具體的風險管理需要的收益模式的基礎上。如第4節所討論的，巨災風險的衍生工具的使用進一步使保險公司創造更有利的風險收益，通過降低整體巨災風險暴露，通過他們地理多樣化的投資組合的的合同優化，并消除所謂的道德風險。第6部分介紹了巨災風險的各種避險策略與巨災風險的衍生工具。一個涉及到使用巨災衍生工具的關鍵的問題是在第6討論的合同的估價。最后，總結發言（第7條），特別是它作為匯集和承受風險機構的角色來分析再保險業未來發展證券化和脫媒的影響。

巨災掛鉤的證券使保險公司減少和調整其現有的風險暴露，從而提高他們的風險承受能力。因此，它似乎應首先回顧經濟學原理，來討論為什么一些保險公司應該進行積極的風險管理。莫迪利亞尼-米勒（1958）認為，企業可愿意運用一個通用指標進行合理的風險管理，這意味著市場不完善的無關定理失效的基礎。具體來說，企業（相對于投資者為基礎的）對沖活動可能會提高股東價值通過：

（一）減少股權融資（風險偏好的問題，表現信令）和債務融資（投資不足和資產替代問題）與不對稱信息相關的代理成本；

（二）減少環境中的企業稅收負擔（如法定的累進，損失前鋒和稅收抵免的規定）；（三）減少對沖規模效應，非對稱信息（即股東無法確定該公司的真實接觸）或結構性進入壁壘相關的交易成本；

（d）減少財務困難的預期成本（即減少遇到金融危機的直接和概率以及財務危機的間接費用）；

（五）改善具有較高的絕對成本的環境下內部產生的現金流量可作為上升的外部融資的邊際成本；

（六）協助優化公司的風險投資組合（即通過幫助