CAJ | 학술논문

巨灾保险衍生品是否具有零贝塔特性是能否在资本市场中分散巨灾风险的关键。本文分析了三种巨灾保险衍生品相关指数与股票和债券市场的关系。对股票市场,巨灾保险衍生品相关指数零贝塔特性明显；对债券市场,瑞士再全球巨灾债券指数的零贝塔特性明显,其他两种指数的贝塔值小于1,对市场波动不很敏感。分别在股票指数和债券指数构造的投资组合中加入这三种指数,投资组合有效边界得到明显改善,说明在投资组合中加入仅与巨灾损失有关的巨灾保险衍生品,可以有效地降低风险、增加收益。
거재보험연생품시부구유령패탑특성시능부재자본시장중분산거재풍험적관건。본문분석료삼충거재보험연생품상관지수여고표화채권시장적관계。대고표시장,거재보험연생품상관지수령패탑특성명현；대채권시장,서사재전구거재채권지수적령패탑특성명현,기타량충지수적패탑치소우1,대시장파동불흔민감。분별재고표지수화채권지수구조적투자조합중가입저삼충지수,투자조합유효변계득도명현개선,설명재투자조합중가입부여거재손실유관적거재보험연생품,가이유효지강저풍험、증가수익。
Zero-beta characteristic of catastrophe insurance derivatives is the key point in the procedure of transferring catastrophic risk into capital markets. Three kinds of catastrophe insurance derivative related indices are adopted to analyze the relation with stock markets and bond markets. With stock markets, the zero-beta characteristic of catastrophe insurance derivatives related indices is significant; with bond markets, the zero-beta characteristic of Swiss Re global CAT bonds index is significant. The beta values of the other two indices are less than 1, which means they are not sensitive with the market volatility. In the portfolios of stock indices and bond indices, the three catastrophe-related indices are added respectively. The efficient frontiers are extended more or less. The advantage of catastrophe insurance derivatives is illustrated:the risk can be reduced efficiently and return can be increased.