日本保险的资本运营材料

CatastropheBond:CatBondAlternativeRiskTransferARTARTARTARTCatastropheBondCatBondCatBondResearchonthenaturaldisasterriskequalizationusingthefinancialtechniqueinsocialinfrastructuremanagementSummaryThenaturaldisasterrisksinsocialinfrastructuremanagementareanincreaseofmaintenancecostsandadecreaseofrevenuefromtollroadetc.,aswellasdirectdamagesuchasinjurytostructures.Thenaturaldisasteroccurswithoutregularity,soweneedequalizationoftheserisks.Inthisresearch,wesurveythefinancialtechniquecalledas“AlternativeRiskTransfer(ART)”thatisbeingpracticallyusedforthenaturaldisasterriskequalizationintheprivatesector.Inchapter1,wesurveythecharacteristicsofnaturaldisasterinJapan,thedamageconditionsofnaturaldisastersthatoccurredinrecentyears,andthepresentsystemsuchasdisasterrestorationworksanddamageinsurance.Weclassifytherisksinsocialinfrastructuremanagementbycausalrelationshipbetweendamageandnaturaldisaster,andexaminetowhatextentthepresentsystemcoversthedamage.Thedamagewithunclearcausalityisnotcoveredinthepresentsystem,soitisconsideredthereispossibilitythatARTisapplicabletothenaturaldisasterriskequalization.Inchapter2,wesurveyART,atechniqueofriskequalizationusingfinancialengineering.ByART,thenaturaldisasterriskistransferredtocapitalmarket,nottoinsurers,thereforeARThasmeritsthatgreatdamagecanbecompensated,forexample.SpecificallyaboutthreetechniquesofARTCatastropheBond,WeatherDerivativeandCaptive,weexaminefundamentalschemes,theusesituationinprivatesector,andthemerits/demerits.ThemajordemeritisthatCatastrophebondandWeatherDerivativehasbasisrisk(riskofdifferencebetweentheamountofdamageandcompensation),sotheproductdesignrequiresriskanalysiswithprecision.Keyword:Naturaldisaster,Riskequalization,CatastropheBond,WeatherDerivative,Captive11244788810121314(CatBond)15151516283030303136383838384245476510.1106.0201-141101081-21,750mm800mm11-32km212km2112km21317250cm21521-11-4301,00056,40016463154()5332.7.252872233.6.24129.26281,26934.9.26275,09835.5.2413938.123139.6.16(M7.5)2640.9.101823,24,2518141.9.232524,2631742.787,825643.5.16(M7.9)5247.7.3156,7,9744749.5.9(M6.9)3051.9.81417917151.1252.310152.8.753.10353.1.14(M7.0)256.12(M7.4)2854.10.17202011555.1256.215257.787,81043958.5.26(M7.7)1047.2029711710.31259.413159.9.14(M6.8)2961.11.1512.182.11.17443.9.2410.119625.7.12(M7.8)2307.318.78797.1.17(M7.3)6,43610.9.21247,81811.9.1625183612.3.3112.6.25112.9.817141116.9.48184516.10.1821239716.10.23(M6.8)406164161-2237175618221623712131616171718164172982845161011381720161510827311616143948161841495169253016212611079162272101821162395310232716200446://()(2004)71-31-41066300164111)78313612,30112736,96089,682598,6441013,10571,600113,147119,4194121,030700169126,89229136,1841416(2004)(2005)1259221519183,823231,292161,175161401-101-3CatBond131970200130102-114()()182-2CatBond18AlternativeRiskTransferCatBond)15CatBondCatastropheBond:CatBondCatBondex.19941997CatBond2-12-2MarketUpdate:TheCatastropheBondMarketatyear-end2003,MMCSECURITIES16:MarketUpdate:TheCatastropheBondMarketatyear-end2003,MMCSECURITIESCatBond2-3CatBondSPV19CatBondCatBondSPV2019SpecialPurposeVehicleSPCSpecialPurposeCompany20CatBond17SPVSPV)CatBondCatBondCatBond2-32-42-4186LIBOR213.16LIBOR0.75222-47501005585106.5507.1507.610121LondonInterbankOfferedRateLIBOR(BBA)BBA11164822Standard&Poor's19CatBondCatBond2-5MarketUpdate:TheCatastropheBondMarketatyear-end2003,MMCSECURITIESCatBond23CatBondLACatBond2-62320Winterthur6NotesResidentialRe82313ClassA-1NotesClassA-2NotesSLFReI30SwissReCalEq60152512BNotesCNotesClassA-1NotesClassA-2NotesParametricRe8010NotesUnitsTrinityRe1161ClassA-1NotesClassA-2NotesSLFRe10SLFRe35ResidentialRe450NotesPacificRe80NotesMosaicRe91521CertificateClassANotesClassBNotesMidOceanRe5050ABTrinityRe2.551.6ClassA-1NotesClassA-2NotesMosaicRe1.424.320CertificateClassANotesClassBNotesSLFRe10HalyardRe17NotesResidentialRe200NotesDomesticRe8020NotesSharesGeminiRe150NotesConcentric100Notes21JunoRe80NotesGoldEagle50126.65.5ClassANotesClassBNotesClassBSharesNamazuRe100NotesSeismicLtd.145.54.5NotesSharesAtlasRe7030100ClassANotesClassBNotesClassCNotesAtlasRe7030100ClassANotesClassBNotesClassCNotesAlphaWind37.552.5SharesNotesHalyardRe200017NotesResidentialRe200NotesNeHi41.58.5NotesSharesMediterraneanRe4188ClassANotesClassBNotesPrimeCapital15963NotesSharesUnitsPrimeCapital12963NotesClassBSharesUnitsWesternCapital973NotesSharesGoldEagle116.43.6NotesClassBSharesSRWind58.258.21.81.8ClassA-1NotesClassA-2NotesClassB-1SharesClassB-2SharesResidentialRe2001150Notes22TrinomLtd60974.9ClassA-1NotesClassA-2NotesSharesRedwoodCapita