活動起日：2016-12-06 發佈日期：2016-12-06 瀏覽數：891 2017-02-12 更新
本系擬於 12/9 (五) 邀請本學年度來訪的 Prof. Jack S.K. Chang 進行專題演講，相關訊息如下：
時間: 12/9 (五) 10:30-12:00
講者: Prof. Jack S.K. Chang
講題: Optimal Catastrophe Risk Financing in the New Normal
Unprecedented increases in extreme loss events over the past decades have raised important concerns about the inadequacy of catastrophe risk financing. The U.S. Federal Reserve’s ultra-low interest rate policy following the 2008 financial crisis, however, has transformed the catastrophe space into a new normal. Demand shocks from an influx of third-party capital have induced capacity expansion, risk capital redistribution, and premium reduction, catalyzing a convergence of the traditional reinsurance and the securitized catastrophe bond markets. We develop a novel theory of catastrophe risk financing where NPV-maximizing and hedging cost-minimizing agents optimally allocate these two inherently different products toward providing ex ante full risk intermediation and sharing. Our optimal allocation models properly allow for assets, liabilities, interest rate, basis, and catastrophe loss dynamics, as well as numerically simulate the stylized post-crisis convergence process. Sensitivity analysis reveals that, among others, as interest rate risk increases, reinsurers will issue more cat bonds to hedge against higher default risk; as basis risk increases, insurers will rely less on the use of cat bonds due to lower hedging effectiveness; and as catastrophe arrival intensifies and the loss becomes more unpredictable, reinsurers should increasingly slice off lower layer exposures by issuing cat bonds with lower trigger levels, as the expected losses on these layers accentuate.