巨灾再保险/债券定价模型分析与实证研究

China’s terrain is vast and complex，the west leaning on the world’s highest Qinghai-Tibet Plateau，the east on the world’s vastest Pacific Ocean.A majority of the territory is on the two natural hazards belt of the world：the Pacific-Rim region and the Northern Hemisphere mid-latitude region.China is one of countries influenced by the most serious catastrophe in the world，having much higher annual frequency of drought，flood，typhoon，freezing and other natural disasters than the world average.And，a significant part of an annual GDP increment was engulfed by the disasters loss.For a long time，the diversification mechanism of catastrophe risk in China is mainly supported by the state financial investment and only limited in guaranteeing the basic livelihood of the people in the disaster-stricken areas.Therefore，it is urgently necessary for the Chinese government to utilize innovative financial instruments to redistribute disaster risk in a comprehensive innovation system，with the aim to ease the financial burden to a certain extent and to help the victims recover from the catastrophe as soon as possible.Diversification mechanism of catastrophe risk has attracted much attention in many developed countries.Since the early 1990s，the developed countries has innovated financial tools to deal with catastrophe risk，and the hotspots are focused on two aspects：catastrophe reinsurances and catastrophe bonds.However，in the case of catastrophe events，reinsurance might not have sufficient capital to cover the loss.For example，a single earthquake could significantly threaten the credit risk of many reinsrurers.Recently，asset and liability management（ALM）has become widely understood as the core activity for reinsurance companie.Historically，insurance companies in China rarely take management strategy to support ALM activities.Therefore，it is of importance of this dissertation to study catastrophe risk diversification mechanism based on the catastrophe loss in China under the perspective of asset and liability management.This dissertation aims to study the catastrophe reinsurance pricing and catrastrophe bonds pricing based on the catrastrophe loss in China，as well to propose policy suggestions on the implementation of catastrophe reinsurance/bond in China.For this purpose，this dissertation is organized as follows.Firstly，the concepts of catastrophe risk and the diversification mechanism of catastrophe risk are introduced，theories and models related to catastrophe reinsurance/bond pricing are systematically described.Secondly，based on asset and liability management，catastrophe reinsurance pricing has been model and studied by Monte Carlo simulation.The parameter sensitivity on the rate on line（ROL）of reinsurance was further investigated according to the earthquake/flood loss in China.Then，based on the asset and liability management and interest rate model，the catastrophe bond pricing was valued according to the earthquake/flood loss in China.Finally，according to the numerical results，policy suggestions are proposed on the issuing system of catastrophe reinsurance/bond in China.According to the theoretical analysis and numerical simulation，conclusions of this dissertation are as following：Firstly Based on the asset and liability management and loss distribution of flood/earthquake in China，the catastrophe reinsurance pricing was investigated.And，the ROL of catastrophe reinsurance are evaluated by Monte Carlo simulation with consideration of no default risk and of issuing catastrophe bonds，especially.Besides，the effects of asset/liability ratio，deductible，debet structure on the catastrophe reinsurance rates are also taken into account.Simulation results show that：（1）Issuing catastrophe bonds is beneficial in improving catastrophe reinsurance rates，as well as in reducing the default risk；（2）Asset/liability ratio，deductible，debet structure，triggering level have great effects on the ROL；（3）Due to the difference of earthquake loss distribution and flood loss distribution in China，the earthquake reinsurance solvency is required to be ￥100 billion and flood reinsurance solvency scale to be ￥10，000 billion.Secondly Based on the asset and liability management and earthquake/flood loss in China，the catastrophe bonds price is evaluated by Monte Carlo simulation with consideration of multiple risks，including default risk，moral risk and basis risk.Besides，the effects of catastrophe frequency parameter，loss variance and trigger level on the catastrophe bonds pricing are also taken into account.Simulation results indicate that：（1）The catastrophe bonds price increased with the increase of trigger level K，and catastrophe occurred frequency parameter r，catastrophe loss variance σi have great effects on the catastrophe bonds price；（2）Default risk，moral risk，and basis risk are the important factors that affect catastrophe bond prices and have cumulative effects on the reduce of catastrophe bond prices；（3）Effective asset liability management can disperse the multiple risks above and improve the catastrophe bond prices.Thirdly Based on the simulation results of catastrophe reinsurance pricing and catastrophe bonds pricing，policy suggestions were put forward on the issuing system of catastrophe insurance/bonds in China.It is suggested that：（1）The diversification mechanism of catastrophe risk in China should be a comprehensive innovation system leaded by government and jointed by insurance/reinsurance companies，etc.；（2）Based on the asset liability management，insurance/reinsurance companies are required to set up risk awareness system in the issuing of catastrophe bonds/reinsurance；（3）Due to the great difference of the catastrophe loss of earthquake and flood in China，the catrophe reinsurance/bonds of earthquake can be firstly issued in China.For the catrophe reinsurance/bonds of flood in China，it is suggest to be implemented in one province of China.The main innovations of this dissertation are as following：（1）Interest rate elasticity definitions on assets and liabilities，ØAand ØL，were introduced in the catastrophe reinsurance/bond pricing model，which extend the applicability of the catastrophe reinsurance/bond pricing model.（2）Based on the earthquake/flood loss in China，the catastrophe reinsurance/bond pricing in China has been investigated，providing a theoretical guidance and reference for the implementation of catastrophe reinsurance/bond in China.（3）From the perspective of asset liability management，the multiple risk factors on catastrophe bond pricing have been studied.The simulation results show that high asset-liability ratio is of importance in improving the bond prices，as well in decentralizing interest rate risk，default risk，et al.（4）Based on the simulation results of catastrophe reinsurance pricing and catastrophe bonds pricing，policy suggestions were put forward on the issuing system of catastrophe insurance/bonds in China.To sum up，this dissertation provides theoretical analysis and practical guidance for the implementation of catastrophe reinsurances/bonds in China.In theory，it enriches the domestic research in this field.In practice，it provides the reference on catastrophe reinsurances/bonds pricing，as well on the implantation of catastrophe reinsurances/bonds in China.Key Words：Catastrophe reinsurance pricing；Catastrophe bond pricing；Asset liability management；Monte Carlo simulation

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