Catastrophic Risk and Securities Design
Catastrophic Risk and Securities Design
复制标题
灾难性风险和证券设计
DOI：
10.1207/s15327760jpfm0102_3
复制
发表时间：
2000
期刊：
影响因子：
--
通讯作者：
P. Fischbeck
中科院分区：
文献类型：
--
作者：
David C. Rode;Baruch Fischhoff;P. Fischbeck
灾难性债券市场上的反常现象、低效率和困难是如此明显，以至于人们强烈地推断，心理因素对这些债券的定价以及投资者对它们的不接受有重大影响。在这篇文章中，我们研究了影响巨灾债券市场的主要因素。所涉及的大多数经济因素，无论是单独考虑还是结合考虑，都不足以解释所观察到的异常现象的规模。几十年前，天王星轨道的不规则性使天文学家推断出另一颗行星的存在，后来命名为冥王星。由于市场中的经济力量无法令人满意地解释灾难债券市场的情况，我们推断心理力量的引力在起作用。我们讨论了八个心理动力，可能会影响定价，错误定价，接受或不接受的巨灾债券。灾难性事件造成的损失对财产和意外伤害保险业来说是一个日益严重的问题。这些损失不仅对保险公司，而且对政府决策者和保险市场的消费者都有重大影响。原则上，应对这些风险的一种方法是将其证券化。这样做将使当地灾害的风险在全球资本市场上扩散。然而，大多数人认为，以前将保险风险证券化的尝试收效甚微。本文探讨了证券化可能存在的障碍，重点是对这种新工具的行为反应。这些障碍包括难以传达相关风险，即使是对金融方面有经验的投资者也是如此。我们的分析将借鉴行为决策和心理学的研究。他们将导致建议的实证研究和一般战略，使证券设计更符合投资者的行为。
The anomalies, inefficiencies and difficulties in the market for catastrophic bonds are so pronounced as to lead strongly to the inference that psychological factors have a major impact on the pricing of these bonds, and on the lack of acceptance they have encountered from investors. In this article, we examine major factors influencing the market for catastrophe bonds. Most of the economic factors involved-considered either singly or in combination-are insufficient to account for the magnitude of the anomalies observed. Decades ago, irregularities in the orbit of the planet Uranus allowed astronomers to deduce the existence of another planet, subsequently named Pluto. Since the economic forces at work in the marketplace cannot satisfactorily explain the situation in the catastrophe-bond marketplace, we infer that the gravitational pull of psychological forces is at work. We discuss eight psychological dynamics that may influence the pricing, mispricing, acceptance or lack of acceptance of catastrophe bonds. Losses from catastrophic events represent an increasing problem for the property and casualty insurance industry. These losses have significant repercussions not only for insurance firms, but also for governmental policy makers and consumers in the insurance market. In principle, one way to deal with these risks is through securitizing them. Doing so would allow spreading risks of local disasters across global capital markets. However, previous attempts at securitizing insurance risks have, by most accounts, met with minimal success. This paper examines possible barriers to securitization, focusing on behavioral responses to such novel instruments. These barriers include the difficulties of conveying the associated risks, even to investors who are sophisticated about finance. Our analyses will draw on research in behavioral decision making and psychology. They will lead to proposals for empirical research and general strategies for making securities design more consonant with investor behavior.
CAT 债券溢价之谜和市场深度的外部经济学
DOI：
--
发表时间：
2005
期刊：
土木計画学研究・講演集 Vol.31
影响因子：
--
作者：
横松宗太;小林潔司;横松宗太
通讯作者：
横松宗太