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巨灾保险风险证券化是以风险为标的,利用证券化技术,通过在资本市场上发行证券的方式转移巨灾保险风险。本文主要分析巨灾风险证券化的产品——传统巨灾债券的特征,并以其为基础提出一种保险系统内部证券化的途径来分散巨灾风险的新型金融工具。本文研究了其发行主体和设计思路并运用债券定价公式和资本资产定价模型来确定其价格和发行规模。最后本文论述了其对我国保险市场的意义。
Catastrophe insurance risk securitization is risk-based, using securitization technology to transfer catastrophe insurance risks through the issuance of securities in the capital markets. This paper mainly analyzes the characteristics of catastrophe-risk securitized products, the traditional catastrophe bonds, and proposes a new type of financial instruments that disperses the risk of catastrophe by means of internal securitization of insurance system. This paper studies the issue of the main body and design ideas and the use of bond pricing formula and capital asset pricing model to determine the price and issue size. Finally, this article discusses its significance to China’s insurance market.