Analyzing Insurance‐Linked Securities
Analyzing Insurance‐Linked Securities
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分析保险相关证券
DOI：
10.1108/eb043445
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发表时间：
2000
期刊：
影响因子：
--
通讯作者：
F. Bendimerad
中科院分区：
文献类型：
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作者：
Eduardo Canabarro;M. Finkemeier;R. R. Anderson;F. Bendimerad
保险挂钩证券可以使发行人和投资者受益;它们以合理的价格为保险和再保险公司提供额外的风险资本（几乎没有信用风险），并为投资者提供与其他金融资产回报无关的超额回报。本文解释了保险和再保险的术语，保险相关证券的结构，并概述了主要交易。首先，讨论了如何将随机巨灾模型应用于自然灾害风险评估，包括风险模型的可靠性和有效性。其次，作者比较了最近证券化的风险调整后的回报率的相对价值的基础上。与高收益债券相比，巨灾债券（“CAT”）具有广泛的利差和非常有吸引力的夏普比率。事实上，巨灾债券的风险调整回报率主导了高收益债券。此外，由于自然灾害风险与市场风险基本上不相关，高预期超额收益使CAT债券成为高阿尔法资产。作者说明了这一点，并表明在固定收益投资组合中相对较小的保险挂钩证券配置可以提高预期收益，同时降低风险，而不会显著改变收益分布的偏度和峰度。
Insurance‐linked securities can benefit both issuers and investors; they supply insurance and reinsurance companies with additional risk capital at reasonable prices (with little or no credit risk), and supply excess returns to investors that are uncorrelated with the returns of other financial assets. This article explains the terminology of insurance and reinsurance, the structure of insurance‐linked securities, and provides an overview of major transactions. First, there is a discussion of how stochastic catastrophe modeling has been applied to assess the risk of natural catastrophes, including the reliability and validation of the risk models. Second, the authors compare the risk‐adjusted returns of recent securitizations on the basis of relative value. Compared with high‐yield bonds, catastrophe (“CAT”) bonds have wide spreads and very attractive Sharpe ratios. In fact, the risk‐adjusted returns on CAT bonds dominate high‐yield bonds. Furthermore, since natural catastrophe risk is essentially uncorrelated with market risk, high expected excess returns make CAT bonds high‐alpha assets. The authors illustrate this point and show that a relatively small allocation of insurance‐linked securities within a fixed income portfolio can enhance the expected return and simultaneously decrease risk, without significantly changing the skewness and kurtosis of the return distribution.