通过使用冠状病毒债券来证券化流行病风险
Adlane Haffar1, Éric Le Fur2, Mohamed Khordj3
1Faculty of Mathematics (USTHB), MSTD Laboratory, University of Science and Technology Houari Boumédiène, Postbox 32, Bab Ezzouar, 16111 Algiers, Algeria.
概括
保险证券化可以通过将健康风险转移到金融市场来覆盖欧盟的流行病风险. 这种使用极端价值理论的策略表明,金融市场对流行病冲击做出反应,从而使冠状病毒债券触发.
科学领域:
- 金融经济学 金融经济学
- 风险管理 风险管理
- 保险研究 保险研究
背景情况:
- 流行病风险对保险市场构成重大威胁.
- 传统的风险转移方法可能不足以应对广泛的健康危机.
- 随着COVID-19的爆发,人们需要创新的风险管理策略.
研究的目的:
- 通过保险证券化,调查欧盟成员国的流行病风险覆盖.
- 分析金融市场对流行病冲击的反应.
- 评估保险证券化作为传统再保险的替代品的可行性.
主要方法:
- 极端价值理论 (EVT) 的应用以确定触发值.
- 对2020年1月24日至2020年3月31日金融市场数据的分析.
- 检查股票市场指数波动和回报率.
主要成果:
- 金融市场对流行病冲击表现出一种即时但短暂的反应.
- 股票市场指数波动度适度,但足以触发具有最佳门的冠状病毒债券.
- 保险证券化被认为是共同保险和再保险的可行替代方案.
结论:
- 保险证券化提供了一种潜在的机制来管理与流行病相关的财务损失.
- 最佳的门设置对于冠状债券的有效性至关重要.
- 建立专门的再保险池对于成功的流行病风险证券化至关重要.
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