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

• Main Authors: Hsin-Ting Yu, 余欣庭
• Other Authors: Frank Kuen-Bao Ling
• Format: Others
• Language: zh-TW
• Published: 2001
• Online Access: http://ndltd.ncl.edu.tw/handle/83426480130342068807

碩士 === 國立高雄第一科技大學 === 風險管理與保險系 === 89 === 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.