巨灾风险管理中的行业损失担保

Industry Loss Warranties in Catastrophe Risk Management

行业损失担保是一种赔付主要由巨灾所造成的整个保险行业损失所触发的保险连结证券。与传统再保险相似,它也要事先确定合约的涵盖地域、灾害种类、责任限额和有效时间等。但它与传统再保险不同在于,赔付取决于两个损失触发条件,即购买者的实际损失和整个保险行业的损失。本文从行业损失担保的市场发展、定义与运行机制、精算定价等角度,对其进行了系统梳理分析,并把它与其他巨灾风险连接证券进行了比较。

Industry Loss Warranty （ILW） is an insurance -linked security whose payout is primarily triggered by the catastrophic insured loss as a whole. Like a traditional reinsurance contract, the ILW specifies territories, attachment points, perils and time periods. However, unlike the traditional reinsurance, its payout depends on two loss triggers： the actual loss from the buyer and the whole loss from insurance industry. From perspectives of its market development, definition, operational mechanism, and actuarial pricing, this paper systematically investigates the ILW and performs comparative analysis between the ILW and other insurance -linked securities.