거대 자연재해 위험을 위한 재보험과 카타스트로피 본드 모델 분석 및 시사점

다국어 초록 (Multilingual Abstract)

Recently, as natural disasters as well as man-made disasters are frequent, it has become an important policy for non-life insurance companies to wisely endure huge losses. At the same time, techniques for reducing huge loss finance are diversifying with the advent of new techniques such as catastrophe bonds as well as conventional reinsurance. Despite the wide range of choices among these insurance companies, the criteria for adopting the optimal method are not necessarily established. Until now, several researchers have attempted to construct a theoretical framework for selecting the optimal one from various methods when insurance companies perform huge loss financing, and at the same time, based on the results of these attempts, they have used actual data to determine the insurance contract of each non-life insurance company. It was considered whether to apply reinsurance or cat bond to the portfolio. These were reviews on the premise that the insurance company took a single financing method for the original insurance contract portfolio. However, new financing techniques, such as cat bonds, are being implemented as a complement to traditional reinsurance, and reinsurance remains the most effective risk diversification tool in the current situation.
Based on this situation, this paper was prepared for the following two purposes. First, it examines how reinsurance, which combines new financial products, is expanding the loss of damages for local residents who cannot escape the terrible losses from natural disasters. The next step is to verify how reinsurance and major disaster-linked financial products can be linked to reduce the cost of insurance to the current level. To address these two issues, we must define the key stakeholders, while also defining their interests in the risk of catastrophe. And it is important to understand the relative advantages and disadvantages of cat bonds and reinsurances that support insurance payment systems caused by certain phenomena, such as the Great Flood in Poland or the Great Hurricane in Florida. Based on these comparisons, it is necessary to consider how to combine these two measures to reduce the cost of insurance that extends the risk coverage. In order to achieve these research goals, the six-item principles for designing a risk transfer system for a major disaster were proposed, and a plan to put them into practice was explained.
Since the 1990s, a variety of alternative risk transfer methods have emerged, especially the use of cat bonds. However, for the enormous financial losses of non-life insurance, reinsurance remains the mainstream. In view of this situation, this paper also examined how to select the trigger base when non-life insurance companies supplementary use cat bonds in addition to reinsurance to finance huge losses. To this end, analyze the insurance contract portfolio after reinsurance transactions of non-life insurers using two indicators of market representation that influences the basis risk and market share that influences moral hazard among the risk factors that increase the transaction cost of the financial method. I did finally, a question about future research agendas is raised and this paper is completed.

참고문헌 (Reference)

1 최용갑, "확률론의 기초" 경문사 228-231, 2006

2 최준선, "보험법해상법" 삼영사 5-, 2009

3 박훤일, "보험 리스크의 증권화-CAT 본드를 중심으로" 고려대학교 법학연구원 44 : 203-231, 2005

4 김종호, "미국 통일상법전 제9편 담보부거래에서 메자닌 대출(mezzanine loan) 채권의 이행불능에 대한 강제집행 전략과 채권자의 구제" 법학연구소 31 (31): 259-299, 2011

5 D. Foppert, "Uncertain Futures" 93 (93): 20-, 1993

6 K. Froot, "USAA: Catastrophic Risk Financing" 1997

7 James G. Bohn, "The Moral Hazard of Insuring the Insurers" 1996

8 Guy Carpenter, "The Catastrophe Bond Market at Year End 2007: The Market Goes Mainstream" Guy Carpenter & Company, LLC 2008

9 D. Croson, "Sovereign Cat Bonds and Infrastructure Project Financing" Wharton Risk Management and Decision Processes Center; University of Pennsylvania

10 Howard Kunreuther, "Paying the Price: The Status and Role of Insurance Against Natural Disasters in the United States" Joseph Henry Press 1998

11 Mark Pauly, "Overinsurance and Public Provision of Insurance: The Role of Moral Hazard and Adverse Selection" 88 : 44-62, 1974

12 Yoshihiko Suzawa, "Optimal Choice of Catastrophe Loss Financing through Securitization for Japanese P/C Insurers" 39 (39): 1-15, 2004

13 Neil A. Doherty, "Integrated Risk Management: Techniques and Strategies for Reducing Risk" McGraw-Hill 2000

14 Quoted in Major, John A, "Index Hedge Performance: Insurer Market Penetration and Basis Risk" 1996

15 John A. Major, "Index Hedge Performance: Insurer Market Penetration and Basis Risk" 1996

16 Neil A. Doherty, "Handbook of Insurance, edited by Georges Dionne" The Geneva Association 503-539, 2000

17 Paul Kleindorfer, "Financing of Property/Casualty Risks" University of Chicago Press 1999

18 Insurance Services Office, "Financing Catastrophe Risk: Capital Market Solutions" Insurance Services Office 1999

19 Neil A. Doherty, "Financial innovation for financing and hedging catastrophe risk" 1997

20 American Academy of Actuaries, "Evaluating the Effectiveness of Index-based Insurance Derivatives in Hedging Property/Casualty Insurance Transactions" American Academy of Actuaries, Index Securitization Task Force 1999

21 David C. Croson, "Customizing Reinsurance and Cat Bonds for Natural Hazard Risks" 1999

22 Commerzbank, "Commerzbank Viewpoint: Economic Data and Forecast" 1999

23 Matt E. Thatcher, "Changing the Balance of Information Endowment in the Health Insurance Industry: The Effects of Technology on Consumer Welfare, Competitive Strategy, Regulatory Policy, and Industry Structure" The Wharton School of the University of Pennsylvania 1998

24 Vivek Bantwal, "A Cat Bond Premium Puzzle" Wharton Risk Management and Decision Processes Center; University of Pennsylvania 1999