Research On Insurance Risk Securitization

Insurance risk securitization (IRS) has been an important innovation in international risk management field currently, which has got a great success in international market. China is one of the countries which have suffered by natural disasters seriously. Giant natural disasters caused by catastrophe bring us not only great losses, but also serious pressure on fiscal expenditure. So the success on IRS in foreign countries can bring us a great deal of useful experiences on reference. It has both necessity and inherent motive force from insurance that securitization of insurance risk will be built correspondingly in our country.Firstly, this paper set forth the occurring background and the basic theory of IRS. From the coming inevitability, the development history, primory products and other aspects, the paper gives systematic and general introduction of the IRS. Then, based on the analysis of successful IRS operations in foreign countries, the author discusses the designing process, central department's significance and the pricing of the products. In financial field and actuarial field, the author does researches on products pricing, investigate option-pricing and capital-assets pricing and take the case of PCS option to illuminate the application of the actuarial pricing. Secondly, the author gives demonstration analysis about IRS in our country. In non-life assurance field, based on real data about earthquake losses in China from 1969 to 2004, the author designs earthquake catastrophe bond. According to the actural pricing model, the author calculates the bond's price. The author gets a good result from fitting the theory effects to really outcome about the earthquake bond. In life insurance field, the author does studies on the long life risk in our country, design longevity bond which aims at longevity risk. Finally, the author looks forward to the future of the IRS. After certificating the significance of IRS, the author puts forward several problems during the process of IRS in our country, advances several constructive suggestions on IRS if carried at in our country. Worthy of note, the pricing of IRS products and the demonstration analysis about IRS in our country are the mostly researches in this paper.