90年代由於世界各地巨災頻傳，導致再保險人的承保能量嚴重不足，甚至於威脅到再保險人的清償能力，由於保險市場的容量已無法足夠涵蓋巨災的損失，再保險人開始尋找其他的風險移轉工具，因而在1992年芝加哥交易所保險證券化商品問世---巨災保險期貨。

本篇文章主要在介紹保險證券化最典型的兩個商品：巨災債券及巨災選擇權。首先針對巨災債券及巨災選擇權的商品內容加以描述；然後我們採用1970~2000年全球前四十大巨災損失作為巨災損失指數，透過定價模型對巨災債券及巨災選擇權作評價；最後分別對巨災債券及巨災選擇權的價格作敏感度分析，了解相關變數對巨災債券及巨災選擇權的價格的影響性。

在敏感度分析中，可看出巨災債券及巨災選擇權之價格具下列特性：

(1) 在巨災債券方面，巨災債券價格和損失基準點、利息收回比率、本金收回比率、報酬率標準差呈正向關係，和報酬率、巨災發生次數呈反向關係；

(2) 在巨災選擇權方面，損失資料分為理論巨災損失指數及實際損失指數，選擇權型態採用亞式選擇權，故選擇權價格有平均價格式及平均履約價格式兩種。

<1>在理論巨災損失指數選擇權方面，平均價格式選擇權價格和履約價、報酬率呈反向關係，和巨災發生次數呈正向關係，和標準差無關；平均履約價格式選擇權價格和報酬率呈反向關係，和巨災發生次數呈正向關係，和履約價、標準差無關；

<2>在實際巨災損失指數選擇權方面，平均價格式選擇權價格和履約價、報酬率呈反向關係，和標準差無關；平均履約價格式選擇權價格和履約價、報酬率及標準差都呈反向關係。

希望藉由此篇論文之撰寫，將保險證券化的概念帶進國內保險領域，並提供保險業者了解另一種風險管理的方法。

In the 1990s, many catastrophes occurred around the world, leading to a lack in reinsurers’ underwriting capacity and even, in some cases, threatening their solvency. Because the insurance market as a whole was unable to provide sufficient coverage for the catastrophe losses, reinsurers started looking for other risk transfer and management tools. In 1992, the first insurance securitization product was traded on the Chicago Board of Trade---Catastrophe Insurance Futures.

This article aims to introduce two typical products: Catastrophe Bond (Cat Bond) and Catastrophe Option (Cat Option). First, we describe merchandise contents of Cat Bond and Cat Option. We then adopt global catastrophe losses as the catastrophe losses index for the period 1970-2000 and price models to evaluate Cat Bond and Cat Option. Finally, we conduct a sensitive analysis of Cat Bond and Cat Option prices. This allows us to understand the variables related to influencing the prices of Cat Bond and Cat Option. From the sensitive analysis, we realize that Cat Bond and Cat Option prices have the following characteristics:

(1) From the Cat Bond aspect, the Cat Bond price has positive relationships with the loss trigger level, the receivable coupon ratio, the receivable principal ratio and the deviation error of return rate. It has negative relationships with the return rate and the times of catastrophe occurrences.

(2) From the Cat Option aspect, we can distinguish between loss data to the theoretical catastrophe loss index and the actual catastrophe loss index. We adopt Asian Option as the option type, so that there are two types of option prices: the average price type of option price and the average exercise price type of option price.

<1> From the aspect of the theoretical catastrophe loss index option, the average price type of option price has negative relationships with the exercise price and the return rate. It has a positive relationship with the times of catastrophe occurrence and has no relationships with the deviation error of the return rate. The average exercise price type of option price has negative relationships with the return rate. It has positive relationships with the times of catastrophe occurrence and has no relationships with the exercise price and the deviation error of the return rate.

<2> From the aspect of the actual catastrophe loss index option, the average price type of option price has negative relationships with the exercise price and the return rate. It has no relationship with the deviation error of the return rate. The average exercise price type of option price has negative relationships with the exercise price, the return rate and the deviation error of the return rate.

We hope that by writing this thesis, we can bring insurance securitization knowledge to the domestic insurance industry and can offer insurers an understanding of another risk management tool.

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