基于公共私人合作的巨灾债券设计与定价
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摘要
在巨灾损失不断攀升的趋势下,对巨灾风险管理和融资显得尤为重要。目前,国际上最为认可和支持的是通过发展巨灾保险来拓展巨灾损失的融资渠道。然而,由于巨灾风险自身的特点,很多国家商业性的巨灾保险市场出现了供需双冷的局面,巨灾的灾前融资机制并没有起到人们预期中的作用。究其原因,主要是因为巨灾风险融资具有准公共品性,而巨灾风险融资的准公共品性,可以通过公共私人合作的方式解决。公共部门和私人部门为了提供某种公共服务,可通过公共私人合作方式,建立起一种长期的合作伙伴关系,公共部门和私人部门能在这样的伙伴关系中,发挥各自的优势提供公共服务,共同分担风险、分享收益。
目前,一方面,我国在公共私人合作方面已具有初步的理论基础和实践操作,另一方面,金融一体化和金融创新发展,使得保险市场和资本市场能够连接起来,越来越多的保险资金在资本市场进行多种渠道的投资,而资本市场的雄厚的资金实力也为一些巨灾损失提供一定的保障,这为巨灾风险证券化奠定了基础。本文正是基于公共私人合作理论,结合巨灾风险证券化中最为成功的巨灾债券的实践和理论分析,构建了一个基于公共私人合作的,包含政府公共部门,保险市场、资本市场在内的巨灾风险管理融资体系,并运用实证分析、案例分析、均衡分析、博弈分析及金融资产定价理论对基于公共私人合作的巨灾债券进行了设计和定价。
第1章为导论,介绍了研究背景、相关文献综述、研究思路方法、文章主要内容、结构安排及创新点等。近年来,巨灾损失频繁发生,对巨灾风险管理和融资理论的研究对实践具有重大的现实意义。这一章对巨灾债券、公共私人合作、政府通过公共私人合作来干预巨灾风险管理等相关文献及理论基础进行了梳理和回顾,并阐述了论文的框架和创新点。
第2章首先对巨灾及巨灾风险管理进行了概念阐述,对巨灾风险证券化最为成功的产品——巨灾债券的运作机制、触发机制、定价等方面进行了概念的梳理。介绍了巨灾债券发行的基本概况,并基于投资组合理论,利用国际股票市场、房地产市场、公司债券市场、商品市场以及巨灾债券市场的指标数据,对巨灾债券对投资组合的影响进行实证分析,详细分析了巨灾债券在金融危机前后以及金融危机期间对投资组合的影响。
第3章从巨灾风险融资的准公共品性入手,分析了巨灾风险的不可保性,巨灾市场保险失灵以及政府通过公共私人合作的方式如何干预巨灾保险市场,考察了政府与私人保险公司之间基于公共私人合作的风险分担机制对保险市场均衡的影响,具体举措包括政府向私人保险公司提供再保险服务、支付巨灾保险业务佣金以及政府发行巨灾债券等。最后给出了基于公共私人合作的巨灾风险管理的一些案例并进行评析与总结。
第4章对巨灾融资水平进行阐述,并基于公共私人合作,为在巨灾融资水平3以上的国家,构建了包含了政府公共部门、保险市场、资本市场在内的巨灾风险管理的基本框架,并对基于公共私人合作的巨灾债券的参与主体、具体结构、发行流程进行了设计。
第5章对基于公共私人合作的巨灾债券的风险分担进行研究。首先基于信息传递博弈理论分别对政府公共部门与保险市场的巨灾风险分担、政府公共部门与资本市场的巨灾风险分担进行分析,得到混同策略和分离策略下的完美贝叶斯均衡的条件。最后结合巨灾建模理论、巨灾债券定价模型、随机利率分布模型的分析研究,给出了基于公共私人合作巨灾债券的定价模型与定价步骤。
第6章对较为成功的基于公共私人合作的巨灾债券——2006年墨西哥政府发行的纯参数巨灾债券的设计及其定价进行了实证分析。
第7章在分析中国地震巨灾风险管理现状的基础上,设计了基于公共私人合作的中国地震巨灾债券,包括中国地震巨灾债券的基本框架、参与主体与具体结构等。并以中国大陆1996——2011年间的地震巨灾损失数据作为样本,对地震巨灾损失进行建模,利用中国现行的基准利率及上海银行间同业拆放利率Shibor进行利率建模,结合基于公共私人合作的中国地震巨灾债券的具体结构给出了由政府发起的,基于公共私人合作的中国地震巨灾债券的具体定价结果。
第8章是全文的总结与展望。
Catastrophe risk management and financing become more and more important with the high probability of catastrophe occurrence. Catastrophe insurance market appears quite drowsy for the sake of catastrophe's peculiar characters, and also catastrophe's pre-financing institution performs under expectation. The main reason for this is catastrophe's quasi-public goods nature, which could be solved by the public-private partnership. The public private partnership provides specific public service supported by public and private institutions, which offers a decent platform for the risk and profits sharing between the public and the private.
On the one hand, public private partnership's theory foundation and practice manipulations already formed; on the other hand, more and more insurance funds are invested in capital market, which provide a well insurance and risk-hedging buffer to securitize catastrophe's riskiness. Based on the public-private partnership theory, the author drawing on the experience of catastrophe bond's theory foundation and practice study formed a risk managing and financing system for catastrophe including public department, insurance markets, capital markets etc.
Chapter1is the introduction of the reseach background, the literature review, researching methods as well as the paper's theory creation. Recently, together with catastrophes'frequent occurrence, researching on this area is quite necessary.
Catastrophe bond operation mechanism is introduced in chapter2, which is considered as the most successive catastrophe securitizing product. In this chapter, we also introduce the bonds'issuing background and give empirical study on the bonds'impact on investment, based on international stock market, real-estate market, corporate bonds, commodity market as well as catastrophe bond market. In the end of this chapter, the catastrophe bonds'influence on investing market is compared furthermore under the environment of pre-finance crisis together, duiring finance crisis, with post-finance crisis in2008
In chapter3, we analyze catastrophe risk's non-insurable property, market failure and government interference through public private partnership based on catastrophe financing's quasi-public goods character. We also makes investigations on the risk-sharing mechanism's influence on insurance market equilibrium such as governments'reinsurance service to insurance companies, paying fees engendered in catastrophe insurance business and issuing government catastrophe bond. In the end, some risk-managing case-study and conclusions on catastrophe management are presented.
Catastrophe bonds' participation subjects, structure as well as issuing are designed in chapter4for countries whose catastrophe financing level are rated3above, and based on public private partnership, formed public private partnership frame including government public department, insurance market together with capital market.
Chapter5is the research on catastrophe bonds' risk-sharing and pricing, based on public private partnership. Using information transmission game theory, we analyze the catastrophe risk-sharing between government public departments and capital market to get the perfect Bayesian equilibrium in pooling strategy and separating strategy. In the end, we propose a pricing model and steps on catastrophe model drawing lessons on catastrophe model theory, catastrophe bond pricing model as well as random interest distribution model.
In chapter6, we make empirical studies on pure parametric catastrophe bonds successively issued by Mexico government in2006, which were based on public-private partnership.
China's earthquake catastrophe bonds' participation subjects, structures etc are designed in chaper7, which are based on nowadays China's earthquake risk-managing status and public-private partnership theory. And then this chapter builds model on earthquake catastrophe loss by using China Mainland's earthquake loss data in1996-2011as sample data, and models interest rate distribution by using Chinese benchmark interest rate and Shibor. In this chapter, pricing results of China's earthquake catastrophe bonds, based on public-private partnership are provided.
Chapter8summarizes this dissertation and looks out for further research.
目前,一方面,我国在公共私人合作方面已具有初步的理论基础和实践操作,另一方面,金融一体化和金融创新发展,使得保险市场和资本市场能够连接起来,越来越多的保险资金在资本市场进行多种渠道的投资,而资本市场的雄厚的资金实力也为一些巨灾损失提供一定的保障,这为巨灾风险证券化奠定了基础。本文正是基于公共私人合作理论,结合巨灾风险证券化中最为成功的巨灾债券的实践和理论分析,构建了一个基于公共私人合作的,包含政府公共部门,保险市场、资本市场在内的巨灾风险管理融资体系,并运用实证分析、案例分析、均衡分析、博弈分析及金融资产定价理论对基于公共私人合作的巨灾债券进行了设计和定价。
第1章为导论,介绍了研究背景、相关文献综述、研究思路方法、文章主要内容、结构安排及创新点等。近年来,巨灾损失频繁发生,对巨灾风险管理和融资理论的研究对实践具有重大的现实意义。这一章对巨灾债券、公共私人合作、政府通过公共私人合作来干预巨灾风险管理等相关文献及理论基础进行了梳理和回顾,并阐述了论文的框架和创新点。
第2章首先对巨灾及巨灾风险管理进行了概念阐述,对巨灾风险证券化最为成功的产品——巨灾债券的运作机制、触发机制、定价等方面进行了概念的梳理。介绍了巨灾债券发行的基本概况,并基于投资组合理论,利用国际股票市场、房地产市场、公司债券市场、商品市场以及巨灾债券市场的指标数据,对巨灾债券对投资组合的影响进行实证分析,详细分析了巨灾债券在金融危机前后以及金融危机期间对投资组合的影响。
第3章从巨灾风险融资的准公共品性入手,分析了巨灾风险的不可保性,巨灾市场保险失灵以及政府通过公共私人合作的方式如何干预巨灾保险市场,考察了政府与私人保险公司之间基于公共私人合作的风险分担机制对保险市场均衡的影响,具体举措包括政府向私人保险公司提供再保险服务、支付巨灾保险业务佣金以及政府发行巨灾债券等。最后给出了基于公共私人合作的巨灾风险管理的一些案例并进行评析与总结。
第4章对巨灾融资水平进行阐述,并基于公共私人合作,为在巨灾融资水平3以上的国家,构建了包含了政府公共部门、保险市场、资本市场在内的巨灾风险管理的基本框架,并对基于公共私人合作的巨灾债券的参与主体、具体结构、发行流程进行了设计。
第5章对基于公共私人合作的巨灾债券的风险分担进行研究。首先基于信息传递博弈理论分别对政府公共部门与保险市场的巨灾风险分担、政府公共部门与资本市场的巨灾风险分担进行分析,得到混同策略和分离策略下的完美贝叶斯均衡的条件。最后结合巨灾建模理论、巨灾债券定价模型、随机利率分布模型的分析研究,给出了基于公共私人合作巨灾债券的定价模型与定价步骤。
第6章对较为成功的基于公共私人合作的巨灾债券——2006年墨西哥政府发行的纯参数巨灾债券的设计及其定价进行了实证分析。
第7章在分析中国地震巨灾风险管理现状的基础上,设计了基于公共私人合作的中国地震巨灾债券,包括中国地震巨灾债券的基本框架、参与主体与具体结构等。并以中国大陆1996——2011年间的地震巨灾损失数据作为样本,对地震巨灾损失进行建模,利用中国现行的基准利率及上海银行间同业拆放利率Shibor进行利率建模,结合基于公共私人合作的中国地震巨灾债券的具体结构给出了由政府发起的,基于公共私人合作的中国地震巨灾债券的具体定价结果。
第8章是全文的总结与展望。
Catastrophe risk management and financing become more and more important with the high probability of catastrophe occurrence. Catastrophe insurance market appears quite drowsy for the sake of catastrophe's peculiar characters, and also catastrophe's pre-financing institution performs under expectation. The main reason for this is catastrophe's quasi-public goods nature, which could be solved by the public-private partnership. The public private partnership provides specific public service supported by public and private institutions, which offers a decent platform for the risk and profits sharing between the public and the private.
On the one hand, public private partnership's theory foundation and practice manipulations already formed; on the other hand, more and more insurance funds are invested in capital market, which provide a well insurance and risk-hedging buffer to securitize catastrophe's riskiness. Based on the public-private partnership theory, the author drawing on the experience of catastrophe bond's theory foundation and practice study formed a risk managing and financing system for catastrophe including public department, insurance markets, capital markets etc.
Chapter1is the introduction of the reseach background, the literature review, researching methods as well as the paper's theory creation. Recently, together with catastrophes'frequent occurrence, researching on this area is quite necessary.
Catastrophe bond operation mechanism is introduced in chapter2, which is considered as the most successive catastrophe securitizing product. In this chapter, we also introduce the bonds'issuing background and give empirical study on the bonds'impact on investment, based on international stock market, real-estate market, corporate bonds, commodity market as well as catastrophe bond market. In the end of this chapter, the catastrophe bonds'influence on investing market is compared furthermore under the environment of pre-finance crisis together, duiring finance crisis, with post-finance crisis in2008
In chapter3, we analyze catastrophe risk's non-insurable property, market failure and government interference through public private partnership based on catastrophe financing's quasi-public goods character. We also makes investigations on the risk-sharing mechanism's influence on insurance market equilibrium such as governments'reinsurance service to insurance companies, paying fees engendered in catastrophe insurance business and issuing government catastrophe bond. In the end, some risk-managing case-study and conclusions on catastrophe management are presented.
Catastrophe bonds' participation subjects, structure as well as issuing are designed in chapter4for countries whose catastrophe financing level are rated3above, and based on public private partnership, formed public private partnership frame including government public department, insurance market together with capital market.
Chapter5is the research on catastrophe bonds' risk-sharing and pricing, based on public private partnership. Using information transmission game theory, we analyze the catastrophe risk-sharing between government public departments and capital market to get the perfect Bayesian equilibrium in pooling strategy and separating strategy. In the end, we propose a pricing model and steps on catastrophe model drawing lessons on catastrophe model theory, catastrophe bond pricing model as well as random interest distribution model.
In chapter6, we make empirical studies on pure parametric catastrophe bonds successively issued by Mexico government in2006, which were based on public-private partnership.
China's earthquake catastrophe bonds' participation subjects, structures etc are designed in chaper7, which are based on nowadays China's earthquake risk-managing status and public-private partnership theory. And then this chapter builds model on earthquake catastrophe loss by using China Mainland's earthquake loss data in1996-2011as sample data, and models interest rate distribution by using Chinese benchmark interest rate and Shibor. In this chapter, pricing results of China's earthquake catastrophe bonds, based on public-private partnership are provided.
Chapter8summarizes this dissertation and looks out for further research.
引文
1何小伟,准公共产品、正外部性与政府对巨灾保险市场的干预[J],《金融与经济》,2011.06：84-87
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