巨災風險證券化在台灣發行誘因之探討：以會計與監理面分析

The Incentives of Catastrophe Securitization in Taiwan: Accounting and Finance Prospect

黃建豪(Chain-Huao Huang)

指導教授 ： 田峻吉

淡江大學/商學院/保險學系保險經營碩士班/碩士(2012年)

https://doi.org/10.6846/TKU.2012.00963

摘要

天然災害自古以來為人類文明的一大威脅，1992年在美國發生的Andrew颶風及1994年所發生的Northridge地震皆造成了數百億美元的損失，近幾年天然災害的發生頻率及損失幅度也逐漸增加。根據瑞士再保險公司的一份報告指出，在1970年至2010年間每年平均發生150件人為災難及100件的自然災害，但單一的自然災害所造成的經濟損失與傷亡人數通長遠大於單一人為災害，而傳統用於分散巨災風險的再保險因近幾年巨災發生頻繁，導致其價格上升及供應量下降，以泰國為例，2011年所發生的水災即造成當地再保險市場的嚴重虧損，進而使得投資者退出該市場，為了使風險分散手段更多元且提供更多的承保容量，遂有了新興風險移轉手段的出現，透過與資本市場的結合，可讓風險承受方在受到巨災理賠時能有更多的籌碼以之應對。
2003年我國成功針對住宅地震保險發行了第一張的巨災債券，成了繼日本之後第二個發行巨災債券的亞洲國家，此舉顯示了我國在發展保險業上的決心及創新，時至今日，我國面對不僅僅是會計制度上的改革，如IFRS 4，另外在財務制度面如國外投資限制方面，更面對法律上對於新興風險移轉手段規範不慎完全的困境，如何針對這些方面進行改革，以期強化我國在風險分散上的管道實屬重要。
本文首先針對各類新興風險移轉商品作介紹，其次再對我國金融市場現況進行分析，並透過一些國外的相關經驗，提出我國未來在會計、財務及法律制度面上如何改進，以增加新興風險移轉的使用。

關鍵字

巨災選擇權 ； 巨災風險交換 ； 巨災債券 ； 或有資本盈餘票據 ； 巨災股權賣權 ； 巨災風險信用融資 ； 國際會計準則 ； 法定會計準則 ； 一般公認會計準則

並列摘要

The natural disaster has been a major threat to human civilization since a long time ago. The extreme disasters not only cause the casualties but also make incalculable economic losses. In 1992 and 1994, the United States was invaded by Hurricane Andrew and the Northridge earthquake which resulted in tens of billions of dollars loss. In recent years, because of human over-exploitation, the frequency and severity of natural disasters have gradually increased. According to a report published by Swiss Reinsurance Company, it points out that there were average annual150 man-made disasters and 100 natural disasters during the period 1970-2010. . The economic losses and casualties caused by a natural disaster in the long run are much more serious than those caused by man-made disasters. Traditionally, the reinsurance is used for transferring catastrophe risk to the counterparty (reinsurer) . Recently, due to the frequent and severity natural disasters, the supply of reinsurance has decreased, but the reinsurance price has increased sharply. For example, the flood in Thailand in 2011 caused severe loss for the local reinsurance market, forcing investors to evacuate from the market. The alternative risk transfer (ART) is invented in order to create more diversified methods for risk spreading and to provide more underwriting capacity. Through combining the alternative risk transfer with the capital market, the risk response would be more likely to deal with the catastrophe claims successfully and effectively.
Taiwan has successfully issued the first catastrophe bond in 2003.The Taiwan regulator predicts that IFRS 4 could be implemented in 2013. In addition, as for the financial system such as restriction on foreign investment, we encounter the challenge of not having well-defined norms for alternative risk transfer in terms of law. How to reform the system of accounting, finance and law to create suitable environment for issuing alternative risk transfer products. .
This article, firstly, aims to introducing the characteristics of alternative risk transfer products. Then, it provides some suggestions relating to how to improve systems of accounting, finance, and law in Taiwan to create more appropriate environment to issue alternative risk transfer products efficiently.

並列關鍵字

Catastrophe Options ； Catastrophe Swap ； Catastrophe Bond ； Contingent Surplus Notes ； Catastrophe Equity Puts ； Credit Line ； International Financial Reporting Standards ； Statutory Accounting Principles ； Generally Accepted Accounting Principles

參考文獻

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1、 Alexander Braun,Pricing Catastrophe Swaps：A Contingent Claims Approach, Working Paper on Risk Management and Insurance, NO. 78, 2011.

2、 Dwight Jaffee and Thomas Russell, Should Governments Provide Catastrophe Insurance, Fish Center for Real Estate and Urban Economics, 2005.