The Study of Captive Insurance Program under the Protected Cells─Based on the Securitization of Risk

[[abstract]]茲因企業在商業保險市場上尋求保險商品，往往受限於是否可買得到保險以及是否付得起保費的不確定性，使得專屬保險服務逐漸成為企業新寵。再者，由於天災所致保險損失日趨劇烈，造成保險衍生性金融商品的出現，復使得專屬保險的內涵有所改變，儼然成為企業風險理財於保險市場與資本市場間之重要通路。本文即順應風險證券化之潮流，在專屬保險專款專用之原則觀念下，利用風險分析數值方法與敏感性評估方式，構建以分離帳戶管理企業保險風險之模式化方法，以供風險管理人管理專屬保險、風險自留與再保安排時之評估依據。模式構健之理論基礎係以Mango(1999)的相依定價模式為架構，並利用Briys(1999)推導的保險利差貼水封閉解，表述資本市場對保險連結證券特定資本損失率所要求的理論補償價格。而經實驗(包括損失情境分析與動態財務分析)，本文之精算模式的確可有效控管保險風險對公司資本盈餘之衝擊，同時藉資本分層估列資金成本之安排，將有助於企業在決定變動基金(自留額)之外，能與相同再保限額之再保費率比較，以利保險決策之擬定，並達成企業風險理財功能之發揮，使風險管理與公司理財相輔相成。 此外鑒於九二一大地震對我國造成之嚴重損害，在本文之專款專用模式下，除了上述保險風險精算模式之建置外，也提出了證券化轉移巨災風險之機制建議。相對於公司內部募集資本基金以承擔保險風險之方式，轉移巨災風險在本文之建議機制下，則是由公司外部資金(沒收一定比例之巨災債券本金)來彌補損失，公司須支付固定的彌補損失成本，而此資金成本往往是考慮天然屬性經專家系統評估後的科學意見而定，雖然並非完全根據公司本身的損失經驗，但具備風險精算精確性與發行成本經濟性等優點(相較於巨災補償型契約)。[[abstract]]Due to the uncertainty of insurance availability and insurance affordability in the traditional insurance market, we turn back at the aspect of enterprise risk financing to consider enforceable risk financing program to compensate any self-insured loss as possible, especially the Protected-cell concept for captive-insurance purposes rather than traditional insurance. And, we will adopt actuarial aspect to propose internal modeling method with financial theorem to allocate funded reserve. The method is based on the Interdependent Pricing Model by Mango (1999), to assign the risk load from the insurance spread close-form solution derived by Briys (1999), and determine a fair value differentiated to the traditional reinsurance treaties. Furthermore, we will demonstrate the application of some combination of the protected cell concept and securitization of risk for enterprise risk financing, and will pose some design of captive insurance program and insurance-linked securities to actuarial planning. Most importantly, the model could be used to the general methodology presented to enterprise risk manager, captives and self-insurer, for enterprise risk financing decision support. Besides, this study will discuss the practical process of catastrophe bond, and the suggestion of catastrophe risk transfer mechanism under the PCC model, especially The Chi-Chi 921 Earthquake damaged Taiwan severely