طراحی اوراق بهادار بیمه‌ای در صنعت بیمه ایران

نوع مقاله : علمی

نویسندگان

1 دانشجوی دکتری اقتصاد، دانشگاه علامه طباطبایی

2 دانشیار دانشکده اقتصاد دانشگاه علامه طباطبایی

3 گروه اقتصاد نظری، دانشکده اقتصاد، دانشگاه علامه طباطبائی، تهران، ایران

چکیده

اوراق بهادار بیمه‌ای به عنوان مشتقه‌ای مالی، یکی از ابزارهای رایج در اقتصاد مالی است که متخصصان مدیریت ریسک در صنعت بیمه، با هدف تأمین مالی و انتقال ریسک به بازار سرمایه، از این اوراق استفاده می‌کنند. با این وجود و علیرغم اینکه از عمر استفاده از این اوراق در بازارهای مالی جهانی بیش از 30 سال می‌گذرد، در کشور ایران، به دلیل مهیا نبودن برخی زیرساخت‌ها، برخی ابهامات در تفسیر، ماهیت پیچیده و فنی عملیات بیمه‌گری و به تبع آن پیچیدگی اوراق ILS، از این ابزار مالی در صنعت بیمه استفاده نشده است. از سویی دیگر، همگام با شروع تحریم-های صنعت بیمه از سال 1389 و خروج بروکرها و بیمه‌گران اتکایی از صنعت بیمه کشور، امکان انتقال ریسک‌های بزرگ و فاجعه‌آمیز به خارج از مرزهای جغرافیایی ایران مهیا نشد و این انباشت ریسک در داخل کشور، ریسک ورشکستگی شرکت‌های بیمه را در صورت وقوع حادثه بزرگ و فاجعه‌آمیز افزایش داده است. بر این اساس، در این مقاله با استفاده از رهیافت‌های مارکوف-سوئیچینگ، ارزش در معرض ریسک (VAR) و سناریو‌سازی، به طراحی اوراق مازاد ضریب خسارت به عنوان یکی از انواع اوراق ILS در رشته‌ی آتش‌سوزی و در صنعت بیمه کشور پرداخته شده است. بر اساس یافته‌های این مطالعه، می‌توان گفت که اوراق طراحی شده در این مطالعه به دلیل تأمین سه شرط؛ تضمین اصل سرمایه خریداران اوراق ILS (با هدف رفع مشکل فقهی)، بازدهی انتظاری بالاتر از نرخ بازده بدون ریسک در بازار و همچنین نرخ حق‌بیمه جذاب (تناسب بین حد تعهد و نرخ حق بیمه)، می‌تواند زمینه انتشار این اوراق در بازار سرمایه ایران را فراهم کند.

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

Designing insurance linked securities in Iran's insurance industry

نویسندگان [English]

  • mojtaba montazeri shourekchali 1
  • seyed shamsodin hosseini 2
  • ali nassiri aghdam 2
  • Teymoor Mohammadi 3
1 Ph.D. Student, Department of Economic Planning and Development, Faculty of Economics, Allameh Tabatabaei University, Tehran, Iran,
2 Associate Professor of Faculty of Economics, Allameh Tabatabai University
3 Economics Department, Economics School, Allameh Tabataba'i University, Tehran, Iran.
چکیده [English]

insurance linked securities as a financial derivative are one of the common tools in the financial economy that risk management specialists in the insurance industry use with the purpose of financing and transferring risk to the capital market. Nevertheless, despite the fact that these bonds have been in use in the global financial markets for more than 30 years, in Iran, due to the lack of infrastructure, some ambiguities in interpretation, the complex and technical nature of insurance operations, and as a result The complexity of ILS bonds, this financial instrument has not been used in the insurance industry. On the other hand, with the start of sanctions on the insurance industry since 2009 and the withdrawal of brokers and reinsurers from the country's insurance industry, it was not possible to transfer large and catastrophic risks outside the geographical borders of Iran, and this risk accumulation In the country, the risk of bankruptcy of insurance companies has increased in the event of a major and catastrophic accident. Based on this, in this article, using Markov-switching approaches, value at risk (VAR) and scenario building, the design of excess damage coefficient bonds as one of the types of ILS bonds in the field of fire and It has been paid in the country's insurance industry. Based on the findings of this study, it can be said that the papers designed in this study meet three conditions; Guaranteeing the principal of the buyers of ILS bonds (with the aim of solving the jurisprudential problem), the expected return higher than the risk-free return rate in the market, as well as the attractive premium rate (proportion between the commitment limit and the premium rate), can be the basis for issuing these bonds in provide Iran's capital market.

کلیدواژه‌ها [English]

  • : insurance linked securities
  • Markov-switching
  • value at risk
  • scenario creation
  • fire field

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پژوهشنامه اقتصاد کلان Macroeconomics Research Letter
دوره 19، شماره 43
آبان 1403
صفحه 35-60

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  • تاریخ دریافت: 29 شهریور 1403
  • تاریخ بازنگری: 27 مهر 1403
  • تاریخ پذیرش: 09 آبان 1403

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