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Experimentality of Markets: Natural Disaster Risk Markets, Reinsurance, and the Sociology of Catastrophe Modelling

市场实验性：自然灾害风险市场、再保险和巨灾模型社会学

基本信息

批准号：
1904682
负责人：
金额：
--
依托单位：
University of Edinburgh
依托单位国家：
英国
项目类别：
Studentship
财政年份：
2017
资助国家：
英国
起止时间：
2017 至无数据
项目状态：
已结题

来源：
https://gtr.ukri.org/projects?ref=studentship-1904682
关键词：
Experimentality Markets Natural Disaster Risk

项目摘要

This project revolves around the question of how socio-technical epistemic practices and devices of risk create markets and how markets are then further shaped by socio-technical risk governance of these practices and devices. The market focused on is the financial market for natural disaster risk in which a variety of structured financial products are traded, so-called 'insurance-linked securities' or ILSs - a market where natural catastrophes effectively are rendered financial economic products. At the centre of this market is 'catastrophe modelling', the epistemic practice of catastrophic risk assessment in which myriads of potential natural catastrophic events are artificially modelled and translated into common financial risk measures. This practice emerged as a confluence of risk assessment methods from earth science (seismology, earthquake engineering, meteorology, etc.) and the insurance industry starting in the mid-20th century. It is applied to manage insurance companies' financial uncertainties of large-scale natural catastrophes in disaster insurance policy pricing. Chiefly, however, it is applied by reinsurance firms, the insurers of insurers, who guarantee the solvency of, and thus the ability of claims payments by, insurance companies in case of huge financial losses due to occurring natural catastrophes.The central problem of managing these risks is an epistemic one: the unknowability of when, where, and how severely a natural catastrophe, such as an earthquake or a hurricane, will unfold. As natural catastrophes are highly individual and infrequent, an artificial history of 'imagined' catastrophic events is being simulated and used for projecting possible financial losses. The outputs of these modelling practices are rendered in common financial portfolio risk quantification. By making natural catastrophes 'connectible' to common financial market practices, financial engineers based on it highly risky insurance-linked securities like 'catastrophe bonds' starting in the early 1990's. They allow capital markets investors, instead of reinsurance companies, to provide the capital for potential pay-outs while profiting on high interest rates. The risk of natural catastrophes has since been increasingly loaded onto the general financial markets system - today about 20% of catastrophe reinsurance is placed here, instead of the 'shielded' space of reinsurance companies' traditional risk management practices. How this shift, generally referred to as the 'convergence of insurance and capital markets', will alter global catastrophic risk management and what consequences it might have for systemic global financial stability is in itself highly uncertain.This ethnography- and interview-based project tries to answer the question of how exactly the ILSs market was enabled by this epistemic practice of catastrophe modelling. More importantly though, this project frames catastrophe modelling as an 'experimental' practice, which does not necessarily produce viable truths, but creates an epistemic space, a form of Baudrillardian 'hyper-reality', in which ILSs legitimately can exist. This form of experimentality is based on the relational, decentralised, and distributed practice of catastrophe modelling and the socio-technical struggles in rendering it legitimate. Thus, the major unit of analysis will be that of 'communities of practice' of catastrophe modelling throughout reinsurers, catastrophe modelling firms, regulators, ILSs financial firms, and rating agencies. The core question will be, whether this inherent and constant experimentality destabilises the epistemic state of the market, on which it ultimately hinges. Or whether it opens up an 'ordered' space of permanently adjusting negotiations about the financial 'ontology' of natural catastrophes as a new form of risk management and socio-technical governance of epistemic risk models in an extremely uncertain market.

该项目围绕社会技术认识做法和风险手段如何创造市场，以及这些做法和手段的社会技术风险管理如何进一步塑造市场的问题。关注的市场是自然灾害风险的金融市场，在这个市场中交易各种结构性金融产品，即所谓的“保险挂钩证券”或ILSS--在这个市场上，自然灾害实际上是金融经济产品。这个市场的核心是‘巨灾建模’，这是一种灾难风险评估的认知实践，在这种实践中，无数潜在的自然灾难事件被人为地建模并转化为共同的金融风险衡量标准。这种做法是地学(地震学、地震工程学、气象学等)风险评估方法的融合。和20世纪中期开始的保险业。在灾害保险保单定价中，它被应用于管理保险公司对大规模自然灾害的财务不确定性。然而，它主要是由再保险公司(保险公司的保险公司)应用的，在发生自然灾害造成巨大经济损失的情况下，再保险公司保证保险公司的偿付能力，从而保证保险公司支付索赔的能力。管理这些风险的核心问题是一个认知性问题：不知道自然灾害(如地震或飓风)将在何时、何地和多大程度上发生。由于自然灾害是高度个别化且不常见的，人们正在模拟一种人为的“想象的”灾难性事件的历史，并将其用于预测可能的经济损失。这些建模做法的产出在共同的金融投资组合风险量化中列出。通过将自然灾害与常见的金融市场操作联系起来，金融工程师在此基础上开发了高风险的保险相关证券，比如上世纪90年代初的S所说的巨灾债券。它们让资本市场的投资者，而不是再保险公司，为潜在赔付提供资金，同时从高利率中获利。自那以后，自然灾害的风险越来越多地被加载到一般金融市场体系中--今天，大约20%的巨灾再保险放在这里，而不是再保险公司传统风险管理做法的“屏蔽”空间。这种转变--通常被称为“保险和资本市场的融合”--将如何改变全球灾难性风险管理，以及它可能对系统性全球金融稳定产生什么后果，本身就是高度不确定的。这个基于民族志和访谈的项目试图回答这样一个问题，即这种认知的灾难建模实践到底是如何使ILSS市场成为可能的。然而，更重要的是，这个项目将巨灾建模作为一种“实验性”实践，它不一定产生可行的真理，但创造了一种认知空间，一种鲍德里亚式的“超现实”形式，在其中ILS可以合法地存在。这种形式的实验是基于相关的、分散的和分布式的灾难建模实践，以及使其合法化的社会技术斗争。因此，主要的分析单位将是再保险公司、巨灾模型公司、监管机构、ILSS金融公司和评级机构中巨灾模型的“实践社区”。核心问题将是，这种固有的、持续不断的实验性是否会破坏市场的认知状态，而这最终取决于市场的认知状态。或者，它是否开辟了一个“有序”空间，永久性地调整有关自然灾害的金融“本体论”的谈判，将其作为一种新的风险管理形式，以及在一个极其不确定的市场中对认知风险模型进行社会技术治理。