自從1992年開始，芝加哥交易所（CBOT）即開始推出一系列以保險業每季的賠款損失作為期貨交易的標的物，以使得保險公司、再保險公司或風險管理者可以藉由保險期貨去規避因承保業務造成的核保風險，或者是因巨災危險、健康保險業務、家庭全益業務所致的財產損失；然而這個新興的發展對於整個保險市場而言，無論是在穩定核保市場、降低交易成本及減少資訊不對稱，有著極重要的影響。

本篇論文首先介紹了現行芝加哥交易的巨災保險期貨與巨災保險選擇權的交易內容及其所遭遇到相關問題；同時以實證資料來驗證，如果當巨災保險期貨市場存在的話，則台灣的財產保險公司是否可以藉由巨災保險期貨來規避巨災危險所致的核保風險？在實證分析之後，本文採用的巨災損失行程假設是與Cummins & Geman（1995）於巨災保險期貨定價中相類似的假設，作為本文巨災保險期貨模擬避險的依據。

在台灣產險公司的實證發現，有六家公司顯著地可能藉由巨災保險期貨避險部份的建立而得以減少核保風險，結果雖然如此，但若是無法改善目前國內諸多配合未來成立巨災保險期貨的相關問題及條件，因此建議短期內是不宜倉促建立巨災保險期貨市場；最後在避險模擬的研究結果發現，跳耀式的巨災損失對於保險公司是否能使巨災危險所造成的核保風險降到最小，具有最重要的影響效果，至於小額巨災損失的波動性或是損失報告的波動性大小對於公司在降低核保風險上則並不是很重要。

Since 1992 the Chicago Board of Trade(COT)has developed a series of futures contracts based on insurance losses to allow insurers, reinsures, or risk managers to hedge against underwriting or property losses from catastrophes, health insurance, and homeowners policy. This development has the an important role in stabilizing the underwriting market and lowering the transaction costs and information asymmetries. This article introduces catastrophic insurance futures, catastrophic insurance futures options and their related possible problems. It also tests whether Taiwan’s casualty & property companies could hedge against the underwriting risk if catastrophic insurance futures were available. After the empirical analysis, a catastrophe loss process which is similar to Cummins and Geman(1995)method of pricing catastrophic insurance futures is used in my simulation study.

The empirical results suggest that six companies in Taiwan might significantly reduce their underwriting risk by using the catastrophic insurance futures. However, steps must be to taken to ameliorate some problems and several unique characteristics of the catastrophic insurance futures must be promoted. Finally the simulation study shows that the “jump catastrophic loss” is the most important for insurance companies in hedging the underwriting risk. By contrast, the volatility of small catastrophic loss and the volatility of reported loss are much less important.

一、中文部份:
書籍:
史綱、李存修、林炯坤、臧大年、劉德明、黃敏助，「 期貨交易理論與實務」，台北，財團法人中華民國證券暨期貨市場發展基金會發行，民國八十二年八月。
2 .朱浩民茗，「期貨市埸分析」，台北，華泰書局，民國八十三年七月。
3 李存修編茗，「 選擇權之交易實務、投資策略與價模式」，台北，財團法人中華民國證券暨期貨市場發展基金會發行，民國八十二年八月。
4 陳繼堯著，「 再保險論一當前趨勢與各型態研究」，台北，三民書局印行，民國七十九年二月。
5 .黃世陽、吳明哲茗，「 Quick Basic 中文版入門」，台北，6 .顏月珠茗，「 商用統計學」， 台北，三民書局，民國七十七年二月四版。
7 .董夢雲著，「 金融選擇權市揚、評價與策略」， 台北，董夢雲發行，民國八十二年七月。
期刊:
1 王言，「 保險商品證券化之介紹:期貨之發展與保險期貨之認識」，保險專刊二十七期，民國八十一年三月。
2 .梁正德、譯，「 保險衍生性商品之現況」， 保險資訊，第122期， pp.33-36
3 淩氥寶，「 巨大損失保險期貨」， 保險專刊，第三十五輯，民閏八十三年三月， pp.93-101
論文:
1 .林明勳，「 利率風險管理一期貨契約交叉避險之研究」，故治大學國際貿易研究所碩士論文，民國八十二年六月
2 .林明馨，「 股價指數期貨與選擇權避險策略之績效評估」國立台灣大學財務金融研究所碩士論文，民國八十二年六月。
3 .計弘仁，「 論保險期貨與對再保險市場之影嚮」，私立中原大學企業管理研究所碩士論文，民國八十四年六月。
4. 郭維裕，「 指數期貨與選擇權避險策略之績效評估一以美國主要市埸指數為例」，臺灣大學商學研究所碩士論文，民七十九年六月。
5 .黃敢瑞，「 重大災害風險模型與再保探討以臺灣農業風害為1」，國立政治大學統計研究所碩士論文，民國八十年六月。
6 .陳鵬仁，「 財務工程在金融創新上的應用利率交換期貨與利交換期貨選擇權之探討」，國立政治大學財政研究所碩士論文，民國八十二年六月。
7 駱聖芬，「 期貨風險極小避險策略實證模型的選擇」，國立中興大學經濟學研究所碩士論文，民國八十四年六月。
8 郭美美，「 保險葉利用國外股價指數期貨避險可行性之研究」國立政治大學保險研究所碩士論文，民國八十三年六月。
9 .鄭文欽，「 股價指數期貨最適避險比率到期日效果之實証研究.」， 國立中央大學財務管理研究所碩士論文，民國八十二年六月。
1 0 ﹒盧陽正，「 國外期貨契約引進、沖險績效衡量與廠商沖險策略之擬定.」，國立交通大學管理科學研究所博士論文民八十三年。
二、英文部份
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期刊論文:
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GL OBAL INVESTOR (April ,1994): 37.
4. Cagle,Julie and Scott Harrington,"The Impact Shock To
Capital On Insurance Company Stock Prices", (1992) working paper, Xavier University, October, Ohio.
5. Carolyn W.Chang,Jack S.K. Chang,and Min-Ten Yu,"Pricing
Catastrophe Insurance Futures Call Spreads,"1995.
6. Chandrasekhar Mishra and Jorge L.Urrutia "An option Base
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7. Chicago Board of Trade 1994 Catastrophe Insurance Futures And Options:A Reference Guide,Chicage ,CBOT IL.
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And Hedging Insurance Price Risk," Journal of Risk And
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Approach To The Valuation of Insurance Futures Contracts."
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Insurance Futures,"(1992).CPCU Journal ,December: 202-
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17. David Foppert "Uncertain Futures." BEST' VIEW (1993)
March: 22.
18. Doherty.Neil and George Dionne "Insurance With
Undiversifiable Risk:Contract Structure and Organizational
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19. Douglas Mcleod,"Wider Use Of Cat Futures And Options
Predicted," Business Insurance.April (1994):11.
20. Dr. Lohmar,"Futures of Insurance And Reinsurance of
Natural Hazards" ,台灣地區颱風地震災害及保險問題研討會實錄，中央再保險公司印，民國八十二年十一月。
21. Gavin Souter "Using Derivatives To Cut Risk Requires
Carefu I Management," Business Insurance, June 19( 1995)
:15.
22. Geman,H.,and M Yor."Bessel Processes ,AsiAn Options,And
Perpetuities," Mathematical Finance, (1993)No.4:349-375.
23. George Flanigan,& William L.Scott,"CAT Spreads At The
CBOT Coming Alive,"CPCU Journal ,December (1994):210-214.
24. Hoyt,Robert E. " Use of Financial Futures By Life Insurers," The Journal of Risk and Insurance (1989)56:740-748.
25. James A.Hayes,Joseph B.Cole and David I. Meiselman, "Health Insurance Derivatives:The Newest Application of Modern Financial Risk Management," Business Economics April(1993) :36-40.
26. Judy Greenwald ,"At Present, Interest Is Lacking In
Insurance Futures," Business Insurance, Novermber
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27. Jonson,L, "The Theory of Hedging And Speculation In
Commodity Futures," Review of Economic Studies, 27,
June, (1960):131-151.
28. Kathleen McCullough,"Catastrophe Insurance Futures,"
Risk Management ,August (1995): 31-39.
29. Mark G.Tang "Correlated Random Number Generator," Dept.
of Information Sciences And systems Morgan State University
Baltimore, MD 21239 ,September (1994).
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Futures Market For Catastrophe Insurance," The Journal of
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31. Niehaus Greg and Steven V.Mann "The Trading of
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32. Ropert Goshay and Richard Sandor "An Inquiry Into The
Feasibility of a Reinsurance Future Market," Journal of Business Finance(1973), Vol.5 NO.2: .
33. Russ Ray "Catastrophe Derivatives," Risk Management,
October (1993):75-79.
34. Russ Ray "The Futures Look Bright," Financail Executive
,July/August (1993):45-47
35. Russ Ray, "Futures, "The Futurist, "Nov/Dec(1995): 15-18.
36 . Russ Ray, "The Pros And Cons of Insurance Futures,"
CPCU ,Journal, December(1993) : 197 -200 .
37. Scott E.Harrington,Steven V Mann ,and Greg Niehaus
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(1995) Vol.62 No.31 :483
38. Sherman, Richard E. "Actuaries And Insurance Futures ,"Actuarial Review(1991) 18 : 6-7
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Contracts," Journal of Financial and Quantitative Analysis ,27, No.2 (1992) :229-246.
40. Snyder,John H "1993 Hurricane Andrew :A Postmortem,", Best Review, Property/Casualty Insurance Edition, 92: 16: 1 05-1 08.
41. Society's Columbus Chapter,"How Have The Catastrophe of 1992 Affected Solvency Capacity,And Reinsurance In The PIC Industry?," CPCP Journar,June (1995) :77-90.