中国巨灾风险融资研究
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摘要
中国幅员辽阔,自然环境和地质结构都比较复杂,气候多变,是自然灾害较严重的国家。根据《中国的减灾行动》提供的数据,中国是世界上自然灾害类型多、发生频繁、灾害损失最严重的少数国家之一。重大自然灾害几乎年年发生,造成了巨大的损失。随着全球自然环境的恶化和我国社会经济的发展,人口和财富日益集中,自80年代中后期开始,我国巨灾发生次数和损失规模呈持续上升的态势。1990-2008年间,平均每年因各类自然灾害造成约3亿人次受灾,倒塌房屋300多万间,紧急转移安置人口900多万人次,直接经济损失2000多亿元人民币。2008年的5·12汶川特大地震灾害造成69229人死亡,374643人受伤,17923人失踪,直接经济损失高达8451亿。
面对巨灾风险及其损失,我国巨灾风险融资现状是：保险市场融资不发达；资本市场融资几近空白；政府是目前主要的融资提供者,但其融资手段单一,灾前融资策略运用不足,融资缺乏计划性,整体融资效率低下。我国巨灾风险发生频繁与损失巨大、且巨灾风险融资落后的客观现实,迫切呼唤建立与发展多视角、多层次、整合性的巨灾风险融资方式,构建中国特色的巨灾风险融资体系。
理论层面看,有关巨灾风险的研究,诸多学者取得了不少卓有成效的理论研究成果。然而,针对中国巨灾风险融资的研究,其文献凤毛麟角,相应的系统、全面、针对性强、创新程度高的探讨就无从谈起。因此,深入开展巨灾风险融资探索与研究具有重要的学术与理论价值。
为此,本文选取巨灾风险融资作为研究对象,在跨学科的研究背景下,以经济学、金融学和风险管理与保险理论为基本理论工具,运用实证研究、规范研究、比较研究、案例研究、数量研究等方法,在理论和实践两个层面对巨灾风险融资和中国巨灾风险基金,展开了不囿于现行常规视角的、本着学术严谨与贴近中国现实的、较为全面、系统和深入的探讨。
全文由八章构成,其主要的内容如下：
一、导论。概括了本文的选题背景和研究意义、研究方法和研究内容。对巨灾风险融资相关的理论文献进行了述评,结合已有文献和本文的成果提出了研究创新和展望。
二、巨灾风险融资的理论基础。根据研究目的和内容界定了巨灾风险、巨灾风险融资等相关概念,分析了巨灾风险对宏观经济的影响；阐述了巨灾风险融资同巨灾风险管理的互动关系,评价了风险融资的地位和作用；进一步,概况性的提出了巨灾风险传统融资面临的挑战,在此基础上展望了巨灾风险融资未来的发展趋势和方向。
三、巨灾风险的保险市场融资。在概述巨灾风险传统融资原理与工具的基础上,基于巨灾风险的自然属性,研究了融资成本的构成与特点；并采用局部均衡理论分析了融资成本的决定机制,探讨了不同市场条件下融资成本的特征。进一步,分析并评价了巨灾风险的融资效率,从供给和需求两个方面探讨分析了融资效率损失的原因；并通过比较研究揭示了不同国家巨灾保险计划的现状和趋势。
四、巨灾风险的资本市场融资。在概述了巨灾风险资本市场融资的原理和工具后,运用金融经济学研究了融资成本的决定机制。通过考察巨灾证券融资成本的历史数据,比较了巨灾证券对再保险在融资成本上的优势。探索了巨灾风险资本市场融资工具的内部效率,提出在给定技术条件和可变技术条件下,选择道德风险和基差风险的最优组合提高融资效率的途径；以及产品设计与融资效率增进的关系。
五、巨灾风险的政府融资。运用经济学理论,结合巨灾风险政府干预与·融资的原理,分析了传统巨灾风险融资市场失灵的原因,探讨了市场失灵在巨灾风险融资市场中的表现：研究了价格歧视的可能性及对融资效率的损害,以及不同政策干预措施(特别是平准费率)在特定条件下对解决可负担问题的有效性,进而提出应当采取权变和组合性的干预措施。本章还发现,由于个体风险相关性、巨灾储备的机会成本、流动性要求等因素的存在,将使“政府在巨灾融资中保持风险中性”这一经典结论无法成立,说明了政府实施灾前融资的依据和必要性。
六、巨灾风险融资的整合。结合前几章的分析,比较评价了保险市场、资本市场和政府在巨灾风险融资中各自的优劣势。提出并论述了一个融合保险市场、资本市场和政府在内的巨灾风险融资机制所产生的整合效应及其对融资效率的改进；进一步,以融资效率为目标,运用流动性缺口模型探讨了不同融资方式的具体整合途径。
七、中国巨灾风险融资的约束和现实选择。在一般理论分析基础上,论述了我国发展巨灾风险融资的必要性和紧迫性；同时,立足我国现状,寻求并评价了保险市场、资本市场和政府对巨灾风险融资的发展形成的约束条件；提出并论证了作为中国巨灾风险融资机制的巨灾风险基金的建立构想、依据和现实适用性等问题。
八、中国巨灾风险基金的机制设计。基于前面的研究并结合我国实际情况,提出了巨灾风险基金建立的目标、原则和具体的保障设计。运用流动性缺口模型,实证研究了中国巨灾风险基金中保险市场、资本市场和政府三者的整合,以及充分利用灾前和灾后融资策略,最大程度的提高巨灾风险融资效率等问题。进一步,本章探讨并提出了中国巨灾风险基金的管理、运作和损失分摊的具体设计,研究了保障中国巨灾风险基金顺利运行的外部支持。
通过上述分析与探索,本文在巨灾风险融资研究上取得了如下进展和创新。
一、随着巨灾风险的频发,巨灾风险管理已引起学术界的高度关注和热烈探讨,并形成了不少研究成果。在中国,对处于巨灾风险管理核心地位的巨灾风险融资的研究文献几近空白,甚至连描述性的界定都不曾出现。为此,本文选择巨灾风险融资为研究对象,并将其纳入金融学、经济学的研究范式,结合金融市场和风险管理理论,运用跨学科方法,以一种普泛的巨灾风险融资财务安排代替传统巨灾风险损失补偿的研究视角,全面、系统、较为深入的开展了以融资效率为核心的巨灾风险融资研究。选题具有探索性和创新性,研究范式、视角和方法突破现有文献的局限,扩展了研究的广度和问题分析的深度。
二、巨灾风险融资效率的研究及其相应的结论与建议是本文研究的又一创新点。具体来讲：1)融资效率损失与政府干预方面,分析了三度价格歧视及可负担性问题存在的可能性,研究了价格歧视下保险人定价和效率损失,以及不同市场条件下,巨灾保险实施平准费率所导致融资效率的差异,特别是收入结构对平准费率实施效果的影响,最后针对性的给出了权变和组合性的干预措施。2)巨灾风险资本市场融资的内部效率方面,从巨灾证券道德风险和基差风险的替代性入手,分别在技术给定和进步条件下,研究了道德风险和基差风险的最优组合以及对融资效率的改进；通过案例研究,分析归纳了巨灾证券产品设计对融资效率的影响。3)融资整合效应方面,提出一个包括保险市场、资本市场和政府在内的融资机制将产生补充效应和替代效应,研究了两类效应的形成,以及改进融资效率的路径和建议。
三、针对中国巨灾风险融资现状,本文提出了建立一种能够有效的将保险市场、资本市场和政府整合起来的巨灾风险融资机制——巨灾风险基金；设计了巨灾基金的目标、原则、保障设计、融资安排、损失分摊和管理运作；运用流动性缺口模型,实证研究了中国巨灾风险融资安排的实践,探讨了将保险市场、资本市场和政府三者整合起来,充分利用灾前和灾后融资策略,以最大程度提高巨灾风险融资效率等一系列设想和建议。
Natural disasters occur frequently in China for its vast in territory, having complex natural environment and geological structure, and variable climate. According to the data of "China's disaster reduction actions", China is one of the few countries that natural disasters occur most frequently and in various types. Serious natural disasters take place almost every year, causing enormous losses. Since the late 80's, the catastrophic losses and occurrences of China keep rising with the global deterioration of the natural environment and China's socio-economic development. From 1990 to 2008, at an average annual rate due to various types of natural disasters, about 300 million people are affected, more than 30000 houses collapsed, over 900 people were resettled emergently, and direct economic loss of more than 200 billion CNY. On May 12th in 2008, Wenchuan earthquake caused 69,229 people killed and 374643 wounded, and 17923 missing which resulted in direct economic losses amounted to 845.1 CNY.
Facing the great catastrophic risk and losses, the current situation of China's catastrophe risk financing is:underdevelopment of financing in the insurance market; rare financing channels in the capital market; the government is the main provider of catastrophe risk financing. Government is the main supporter of financing when catastrophe happened, which financing means is simple, inadequate ex ante financing strategy and lacking of planning, the overall catastrophe risk financing is inefficiency. Meanwhile the frequent occurrence and tremendous losses of catastrophe risk and the underdevelopment of catastrophe risk financing in China, it is urgent that the multiple and integral catastrophe risk financing system with Chinese characteristics should be established
Theoretically, many researchers who studied on catastrophe risk financing have made a lot of fruitful achievements. However, there is few materials of catastrophe risk financing in domestic academic field, and so almost no articles talking about related system, and innovation. Therefore it is valuable in academic and practical field to develop the study of catastrophe risk financing.
Thus, this thesis selects catastrophe risk financing as the research object, in the perspective of interdisciplinary, based on the economics, finance and insurance and risk management theory, using empirical analysis, normative analysis, case studies, comparative study, quantitative studies as the main methods, to explore the related issues of catastrophe risk financing from the t academic and practical view. The thesis is composed by eight chapters. The main content of this thesis is arranged as follows:
1.Introduction. In this part, the author summarizes the background and significance of this thesis, methods and main content. After reviewing the literature of catastrophe risk financing and related issues, the author proposes the innovation and outlook of the study.
2.The basis of catastrophe risk financing. According to the target and contents of the study, the article defines the concepts of catastrophe risk, catastrophe risk financing and other related issues, describes its impact on the macroeconomic, then explores the interactive relationship between catastrophe risk financing and catastrophe risk management, and evaluates the role of risk financing. Furthermore, based on the challenges that traditional measures of catastrophe risk financing is confronted with, it illustrates the future trend for catastrophe risk financing development.
3.Catastrophe risk financing in the insurance market. Based on the principle and tools of traditional catastrophe risk. financing, this thesis analyzes the characteristics of the cost's composition of insurance financing, how the financing cost is determined using the partial equilibrium theory, and the difference of the financing cost in different market conditions. Onwards, it evaluates the efficiency of catastrophe risk financing, and illustrate the reasons for the loss of financing efficiency from supply and demand. Finally, it concludes the current situation and trends of catastrophe insurance plan in different by comparative study.
4.Catastrophe risk financing in the capital market. After describing the generalization of the catastrophe risk financing theories and tools in the capital market, this thesis explores the internal efficiency of catastrophe risk financing and put forward how to optimize the portfolio of moral hazard and basis risk to improve financing efficiency in a given technology and variable condition by using financial economics to study the determination of the financing cost, and comparing the catastrophe reinsurance with catastrophe securities in financing cost through empirical data exploration. Finally it shows the relationship between product design and financial efficiency by case study.
5. The catastrophe risk financing by government. Using economics, this thesis analyzes the causes and performance of market failure in traditional catastrophe risk financing. It studies the possibility of price discrimination and its damage of financing efficiency; the affordability and solutions, as well as the various policy interventions effectiveness under specific conditions (especially the fixed premium), thus it suggests the adoption of adaptable and combined intervention. Finally it concluded that for the existence of dependent individual risks, the opportunity cost of catastrophe reserves, liquidity requirements, the classic conclusions that "Government in catastrophe risk financing maintains risk neutral" cannot exist, so it is necessary for the government to carry out ex ante financing.
6. Integration catastrophe risk financing. Based on the analysis before and comparing the advantages and disadvantages of the catastrophe risk financing in the insurance market, capital market and government, this thesis demonstrates the integration effect and impact on the improvements of financing efficiency in an integrated system that including insurance market, capital market and government. In order to improve financing efficiency, the specific integration way was proposed by the liquidity gap model.
7. The constraint and choice of catastrophe risk financing in China. Based on the necessity and urgency of developing catastrophic risk financing in China, this thesis evaluates the constraint of catastrophe risk financing in insurance market, capital market and government. Simultaneously it shows the idea of catastrophe risk fund, its foundation and applicability in China.
8 The mechanisms of catastrophe risk fund. On the basis of earlier studies and the actual situation of China, this thesis put forward the objectives, principles and specific protection design of catastrophe risk fund. Using the liquidity gap model, It demonstrate how to integrate insurance market, capital market and the government in China's catastrophe risk financing, and make full use of ex ante and post ante financing strategies to maximize the improvement of the catastrophe risk financing efficiency. Furthermore, the specific design of management, operations, loss apportionment of China's catastrophe risk fund, and the external conditions that fund's support supports fund smooth operation was given.
The progress and creation of study made in this thesis are mainly reflected on three aspects:
As the frequent occurrence of catastrophe risk, many studies have paid great concerns to this topic and made fruitful results. In China catastrophe risk financing is playing an important role in catastrophe risk management. However, there is few materials of catastrophe risk financing in domestic academic field, and even the term has never been defined. For this reason, this thesis selects catastrophe risk financing as the objective. Taking the financing efficiency as the key, and put the catastrophe risk financing into the.financial, economical paradigm, the thesis have broken through the existing material limitation through replacing traditional way to compensate the loss of catastrophe risk with a new way to rearrange finance by adopting financial market theory and risk management theory.
Study on efficiency of risk financing and government intervention.1) While study on financing efficiency losses and the government intervention, raise the possibility of price discrimination, it illustrates the loss of insurer's pricing and efficiency under price discrimination. Under the conditions of fixed premium, it explores the catastrophe insurance financing efficiency in different market and studies how the income structure affects the effect on fixed premium and gives the contingent and specific combinations of interventions.2) The internal efficiency of catastrophe risk financing in capital market. The study is engaged in moral hazard and basis risk. Under fixed technological conditions, it analysis how to choose the optimal combination of moral hazard and basis risk to improve financing efficiency. What's more, it proves that the technology can be advanced, and to improve the whole financing efficiency by advanced techonology.3) The financial mechanism including insurance market, capital market and government will bring to kinds of integration efficiency:substitution effect and complementary effect. It studies how the two types come into being, and how to improve financing efficiency.
面对巨灾风险及其损失,我国巨灾风险融资现状是：保险市场融资不发达；资本市场融资几近空白；政府是目前主要的融资提供者,但其融资手段单一,灾前融资策略运用不足,融资缺乏计划性,整体融资效率低下。我国巨灾风险发生频繁与损失巨大、且巨灾风险融资落后的客观现实,迫切呼唤建立与发展多视角、多层次、整合性的巨灾风险融资方式,构建中国特色的巨灾风险融资体系。
理论层面看,有关巨灾风险的研究,诸多学者取得了不少卓有成效的理论研究成果。然而,针对中国巨灾风险融资的研究,其文献凤毛麟角,相应的系统、全面、针对性强、创新程度高的探讨就无从谈起。因此,深入开展巨灾风险融资探索与研究具有重要的学术与理论价值。
为此,本文选取巨灾风险融资作为研究对象,在跨学科的研究背景下,以经济学、金融学和风险管理与保险理论为基本理论工具,运用实证研究、规范研究、比较研究、案例研究、数量研究等方法,在理论和实践两个层面对巨灾风险融资和中国巨灾风险基金,展开了不囿于现行常规视角的、本着学术严谨与贴近中国现实的、较为全面、系统和深入的探讨。
全文由八章构成,其主要的内容如下：
一、导论。概括了本文的选题背景和研究意义、研究方法和研究内容。对巨灾风险融资相关的理论文献进行了述评,结合已有文献和本文的成果提出了研究创新和展望。
二、巨灾风险融资的理论基础。根据研究目的和内容界定了巨灾风险、巨灾风险融资等相关概念,分析了巨灾风险对宏观经济的影响；阐述了巨灾风险融资同巨灾风险管理的互动关系,评价了风险融资的地位和作用；进一步,概况性的提出了巨灾风险传统融资面临的挑战,在此基础上展望了巨灾风险融资未来的发展趋势和方向。
三、巨灾风险的保险市场融资。在概述巨灾风险传统融资原理与工具的基础上,基于巨灾风险的自然属性,研究了融资成本的构成与特点；并采用局部均衡理论分析了融资成本的决定机制,探讨了不同市场条件下融资成本的特征。进一步,分析并评价了巨灾风险的融资效率,从供给和需求两个方面探讨分析了融资效率损失的原因；并通过比较研究揭示了不同国家巨灾保险计划的现状和趋势。
四、巨灾风险的资本市场融资。在概述了巨灾风险资本市场融资的原理和工具后,运用金融经济学研究了融资成本的决定机制。通过考察巨灾证券融资成本的历史数据,比较了巨灾证券对再保险在融资成本上的优势。探索了巨灾风险资本市场融资工具的内部效率,提出在给定技术条件和可变技术条件下,选择道德风险和基差风险的最优组合提高融资效率的途径；以及产品设计与融资效率增进的关系。
五、巨灾风险的政府融资。运用经济学理论,结合巨灾风险政府干预与·融资的原理,分析了传统巨灾风险融资市场失灵的原因,探讨了市场失灵在巨灾风险融资市场中的表现：研究了价格歧视的可能性及对融资效率的损害,以及不同政策干预措施(特别是平准费率)在特定条件下对解决可负担问题的有效性,进而提出应当采取权变和组合性的干预措施。本章还发现,由于个体风险相关性、巨灾储备的机会成本、流动性要求等因素的存在,将使“政府在巨灾融资中保持风险中性”这一经典结论无法成立,说明了政府实施灾前融资的依据和必要性。
六、巨灾风险融资的整合。结合前几章的分析,比较评价了保险市场、资本市场和政府在巨灾风险融资中各自的优劣势。提出并论述了一个融合保险市场、资本市场和政府在内的巨灾风险融资机制所产生的整合效应及其对融资效率的改进；进一步,以融资效率为目标,运用流动性缺口模型探讨了不同融资方式的具体整合途径。
七、中国巨灾风险融资的约束和现实选择。在一般理论分析基础上,论述了我国发展巨灾风险融资的必要性和紧迫性；同时,立足我国现状,寻求并评价了保险市场、资本市场和政府对巨灾风险融资的发展形成的约束条件；提出并论证了作为中国巨灾风险融资机制的巨灾风险基金的建立构想、依据和现实适用性等问题。
八、中国巨灾风险基金的机制设计。基于前面的研究并结合我国实际情况,提出了巨灾风险基金建立的目标、原则和具体的保障设计。运用流动性缺口模型,实证研究了中国巨灾风险基金中保险市场、资本市场和政府三者的整合,以及充分利用灾前和灾后融资策略,最大程度的提高巨灾风险融资效率等问题。进一步,本章探讨并提出了中国巨灾风险基金的管理、运作和损失分摊的具体设计,研究了保障中国巨灾风险基金顺利运行的外部支持。
通过上述分析与探索,本文在巨灾风险融资研究上取得了如下进展和创新。
一、随着巨灾风险的频发,巨灾风险管理已引起学术界的高度关注和热烈探讨,并形成了不少研究成果。在中国,对处于巨灾风险管理核心地位的巨灾风险融资的研究文献几近空白,甚至连描述性的界定都不曾出现。为此,本文选择巨灾风险融资为研究对象,并将其纳入金融学、经济学的研究范式,结合金融市场和风险管理理论,运用跨学科方法,以一种普泛的巨灾风险融资财务安排代替传统巨灾风险损失补偿的研究视角,全面、系统、较为深入的开展了以融资效率为核心的巨灾风险融资研究。选题具有探索性和创新性,研究范式、视角和方法突破现有文献的局限,扩展了研究的广度和问题分析的深度。
二、巨灾风险融资效率的研究及其相应的结论与建议是本文研究的又一创新点。具体来讲：1)融资效率损失与政府干预方面,分析了三度价格歧视及可负担性问题存在的可能性,研究了价格歧视下保险人定价和效率损失,以及不同市场条件下,巨灾保险实施平准费率所导致融资效率的差异,特别是收入结构对平准费率实施效果的影响,最后针对性的给出了权变和组合性的干预措施。2)巨灾风险资本市场融资的内部效率方面,从巨灾证券道德风险和基差风险的替代性入手,分别在技术给定和进步条件下,研究了道德风险和基差风险的最优组合以及对融资效率的改进；通过案例研究,分析归纳了巨灾证券产品设计对融资效率的影响。3)融资整合效应方面,提出一个包括保险市场、资本市场和政府在内的融资机制将产生补充效应和替代效应,研究了两类效应的形成,以及改进融资效率的路径和建议。
三、针对中国巨灾风险融资现状,本文提出了建立一种能够有效的将保险市场、资本市场和政府整合起来的巨灾风险融资机制——巨灾风险基金；设计了巨灾基金的目标、原则、保障设计、融资安排、损失分摊和管理运作；运用流动性缺口模型,实证研究了中国巨灾风险融资安排的实践,探讨了将保险市场、资本市场和政府三者整合起来,充分利用灾前和灾后融资策略,以最大程度提高巨灾风险融资效率等一系列设想和建议。
Natural disasters occur frequently in China for its vast in territory, having complex natural environment and geological structure, and variable climate. According to the data of "China's disaster reduction actions", China is one of the few countries that natural disasters occur most frequently and in various types. Serious natural disasters take place almost every year, causing enormous losses. Since the late 80's, the catastrophic losses and occurrences of China keep rising with the global deterioration of the natural environment and China's socio-economic development. From 1990 to 2008, at an average annual rate due to various types of natural disasters, about 300 million people are affected, more than 30000 houses collapsed, over 900 people were resettled emergently, and direct economic loss of more than 200 billion CNY. On May 12th in 2008, Wenchuan earthquake caused 69,229 people killed and 374643 wounded, and 17923 missing which resulted in direct economic losses amounted to 845.1 CNY.
Facing the great catastrophic risk and losses, the current situation of China's catastrophe risk financing is:underdevelopment of financing in the insurance market; rare financing channels in the capital market; the government is the main provider of catastrophe risk financing. Government is the main supporter of financing when catastrophe happened, which financing means is simple, inadequate ex ante financing strategy and lacking of planning, the overall catastrophe risk financing is inefficiency. Meanwhile the frequent occurrence and tremendous losses of catastrophe risk and the underdevelopment of catastrophe risk financing in China, it is urgent that the multiple and integral catastrophe risk financing system with Chinese characteristics should be established
Theoretically, many researchers who studied on catastrophe risk financing have made a lot of fruitful achievements. However, there is few materials of catastrophe risk financing in domestic academic field, and so almost no articles talking about related system, and innovation. Therefore it is valuable in academic and practical field to develop the study of catastrophe risk financing.
Thus, this thesis selects catastrophe risk financing as the research object, in the perspective of interdisciplinary, based on the economics, finance and insurance and risk management theory, using empirical analysis, normative analysis, case studies, comparative study, quantitative studies as the main methods, to explore the related issues of catastrophe risk financing from the t academic and practical view. The thesis is composed by eight chapters. The main content of this thesis is arranged as follows:
1.Introduction. In this part, the author summarizes the background and significance of this thesis, methods and main content. After reviewing the literature of catastrophe risk financing and related issues, the author proposes the innovation and outlook of the study.
2.The basis of catastrophe risk financing. According to the target and contents of the study, the article defines the concepts of catastrophe risk, catastrophe risk financing and other related issues, describes its impact on the macroeconomic, then explores the interactive relationship between catastrophe risk financing and catastrophe risk management, and evaluates the role of risk financing. Furthermore, based on the challenges that traditional measures of catastrophe risk financing is confronted with, it illustrates the future trend for catastrophe risk financing development.
3.Catastrophe risk financing in the insurance market. Based on the principle and tools of traditional catastrophe risk. financing, this thesis analyzes the characteristics of the cost's composition of insurance financing, how the financing cost is determined using the partial equilibrium theory, and the difference of the financing cost in different market conditions. Onwards, it evaluates the efficiency of catastrophe risk financing, and illustrate the reasons for the loss of financing efficiency from supply and demand. Finally, it concludes the current situation and trends of catastrophe insurance plan in different by comparative study.
4.Catastrophe risk financing in the capital market. After describing the generalization of the catastrophe risk financing theories and tools in the capital market, this thesis explores the internal efficiency of catastrophe risk financing and put forward how to optimize the portfolio of moral hazard and basis risk to improve financing efficiency in a given technology and variable condition by using financial economics to study the determination of the financing cost, and comparing the catastrophe reinsurance with catastrophe securities in financing cost through empirical data exploration. Finally it shows the relationship between product design and financial efficiency by case study.
5. The catastrophe risk financing by government. Using economics, this thesis analyzes the causes and performance of market failure in traditional catastrophe risk financing. It studies the possibility of price discrimination and its damage of financing efficiency; the affordability and solutions, as well as the various policy interventions effectiveness under specific conditions (especially the fixed premium), thus it suggests the adoption of adaptable and combined intervention. Finally it concluded that for the existence of dependent individual risks, the opportunity cost of catastrophe reserves, liquidity requirements, the classic conclusions that "Government in catastrophe risk financing maintains risk neutral" cannot exist, so it is necessary for the government to carry out ex ante financing.
6. Integration catastrophe risk financing. Based on the analysis before and comparing the advantages and disadvantages of the catastrophe risk financing in the insurance market, capital market and government, this thesis demonstrates the integration effect and impact on the improvements of financing efficiency in an integrated system that including insurance market, capital market and government. In order to improve financing efficiency, the specific integration way was proposed by the liquidity gap model.
7. The constraint and choice of catastrophe risk financing in China. Based on the necessity and urgency of developing catastrophic risk financing in China, this thesis evaluates the constraint of catastrophe risk financing in insurance market, capital market and government. Simultaneously it shows the idea of catastrophe risk fund, its foundation and applicability in China.
8 The mechanisms of catastrophe risk fund. On the basis of earlier studies and the actual situation of China, this thesis put forward the objectives, principles and specific protection design of catastrophe risk fund. Using the liquidity gap model, It demonstrate how to integrate insurance market, capital market and the government in China's catastrophe risk financing, and make full use of ex ante and post ante financing strategies to maximize the improvement of the catastrophe risk financing efficiency. Furthermore, the specific design of management, operations, loss apportionment of China's catastrophe risk fund, and the external conditions that fund's support supports fund smooth operation was given.
The progress and creation of study made in this thesis are mainly reflected on three aspects:
As the frequent occurrence of catastrophe risk, many studies have paid great concerns to this topic and made fruitful results. In China catastrophe risk financing is playing an important role in catastrophe risk management. However, there is few materials of catastrophe risk financing in domestic academic field, and even the term has never been defined. For this reason, this thesis selects catastrophe risk financing as the objective. Taking the financing efficiency as the key, and put the catastrophe risk financing into the.financial, economical paradigm, the thesis have broken through the existing material limitation through replacing traditional way to compensate the loss of catastrophe risk with a new way to rearrange finance by adopting financial market theory and risk management theory.
Study on efficiency of risk financing and government intervention.1) While study on financing efficiency losses and the government intervention, raise the possibility of price discrimination, it illustrates the loss of insurer's pricing and efficiency under price discrimination. Under the conditions of fixed premium, it explores the catastrophe insurance financing efficiency in different market and studies how the income structure affects the effect on fixed premium and gives the contingent and specific combinations of interventions.2) The internal efficiency of catastrophe risk financing in capital market. The study is engaged in moral hazard and basis risk. Under fixed technological conditions, it analysis how to choose the optimal combination of moral hazard and basis risk to improve financing efficiency. What's more, it proves that the technology can be advanced, and to improve the whole financing efficiency by advanced techonology.3) The financial mechanism including insurance market, capital market and government will bring to kinds of integration efficiency:substitution effect and complementary effect. It studies how the two types come into being, and how to improve financing efficiency.
引文
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6 2008年的自然灾害和人为灾难：北美和亚洲损失惨重,2009,(2)。
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6 2008年的自然灾害和人为灾难：北美和亚洲损失惨重,2009,(2)。
引自：周志刚,风险可保性理论与巨灾风险的国家管理(博士学位论文),复旦大学,2005年。
13刘传铭,《巨灾风险证券化之巨灾期权定价方法的分析与研究》(博士学位论文),天津大学,2004年。
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David K. Bradford, Earthquake; The Other Insurance Crisis, An Advisen QuickNote[R]. Advisen Ltd., 2006.
16数据来源Swiss Re, Sigma,1999～2008年整理统计得到。
17陶正如,陶夏新,巨灾保险衍生品,working paper,2006。
20ERM是由Treadway委员会所属的美国虚假财务报告全国委员会的发起组织委员会(COSO)在内部控制框架的基础上,于2004年9月提出的。
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31 Swiss Re,《2006年的自然灾害和人为事故：保险损失较低》,Sigma,2007 (2).
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49 Munich Re Group. Risk transfer to the capital market, Using the Capital Markets in Insurance Risk Management [R]. Munich Re ART publications,2001
50 Siwss Re. Natural catastrophes and man-made disasters in 2003:many fatalities, comparatively moderate insured losses[J]. Sigma, No.l,2004.
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