Insurance Risk Securitized Research

Natural catastrophe will make large economical losses, insured insurance company also will undertake heavy risk. Financial innovation takes currents of capital market into catastrophe insurance market, which breaks up traditional risk management and the way of insurance for a long time in insurance area. In according to CAT(Catastrophe) risk can't be escaped ,the effect of risk controlling is very slightly, risk investment is means of gaining of capital to pay or compensate for loss, which determine that who and when undertake the cost of loss.If we don't carry out preventing catastrophe and deducing loss, it will make great economical loss and heavy society stress.In this paper, the author mainly discuss mitigation cost and government participating rate before or after catastrophe happening, applying expected utility maximization theory to seek for optimal values. During twenty century ninety years, CAT happens frequently in the world, insurance companies'loss heavily, the capacity of insured ability decrease, CAT market demand rapidly rising, reinsurance gradually turns to capital market, so many firms CAT risk management. Because of combining of insurance and capital markets which offer large financial asset, enhance reinsurance market capability. The paper mainly indicate insurance risk securitized about CAT bond and CAT option, whose emergency, development, actuarial analysis pricing model and so on, the author designs a new CAT bond-continuous paying interest rate for risk CAT bond, comparing with traditional bond :principal and interest rate exist risk CAT bond, only interest rate exist risk CAT bond, interest rate and parts of principle have risk, also considers B/S, PCS, CAPM option pricing model; equal pricing theory to price CAT option, discusses arithmetic average and geometry average Asian option, pricing methods apply Esscher shift to measure neutral risk, the process of loss logarithm values is mix Poisson procession, it's subordinated to logarithm distribution during loss, and index distribution during developing. Because of frequently catastrophe in our country, insurance risk securitized is financial market resources effective transfer.