巨灾债券对投资组合分时期影响的实证分析

An Empirical Study on the Impacts of Catastrophe Bonds on Investment Portfolios at Different Stages

近十多年来,作为连接保险市场和资本市场的工具,巨灾风险证券化的产品很多。其中,巨灾债券的发行量最大、最为成功,它在扩大了保险承保能力的同时,为资本市场的投资者提供了一种高收益、低风险的投资工具。在分析巨灾债券的发行情况的基础上,对金融危机前后以及金融危机期间,巨灾债券对投资组合有效前沿的影响进行实证分析。分析的结果表明,巨灾债券作为一种特殊的资产,能够改善投资组合的有效前沿,并扩展投资组合的有效前沿,特别是在金融危机期间,这种影响更为显著。

There have been a lot of securitized catastrophe products as instruments connecting insurance market and capital market since last decade. And catastrophe bond is the most successful instrument with the biggest issu- ance volume. Catastrophe bond could be a high return and low-risk investment asset as well as an instrument helping insurers to expand their underwriting capacity. This paper first analyzed the background for catastrophe bond issu- ance, then studied the effects of catastrophe bond on efficient frontier of investment portfolios before, during and after the financial crisis. The empirical study showed that, as a special asset, catastrophe bond could improve and enlarge the efficient frontier of investment portfolio and that this effect was more obvious during financial crisis period.