Zachry Department of Civil Engineering, Texas A&M University, TX 77843-3136, USA.
Risk Anal. 2010 Dec;30(12):1753-70. doi: 10.1111/j.1539-6924.2010.01491.x. Epub 2010 Sep 16.
In the event of natural and man-made disasters, owners of large-scale infrastructure facilities (assets) need contingency plans to effectively restore the operations within the acceptable timescales. Traditionally, the insurance sector provides the coverage against potential losses. However, there are many problems associated with this traditional approach to risk transfer including counterparty risk and litigation. Recently, a number of innovative risk mitigation methods, termed alternative risk transfer (ART) methods, have been introduced to address these problems. One of the most important ART methods is catastrophe (CAT) bonds. The objective of this article is to develop an integrative model that links engineering design parameters with financial indicators including spread and bond rating. The developed framework is based on a four-step structural loss model and transformed survival model to determine expected excess returns. We illustrate the framework for a seismically designed bridge using two unique CAT bond contracts. The results show a nonlinear relationship between engineering design parameters and market-implied spread.
在自然灾害和人为灾害的情况下，大型基础设施（资产）的所有者需要应急计划，以便在可接受的时间内有效地恢复运营。传统上，保险行业提供潜在损失的保险。然而，这种传统的风险转移方法存在许多问题，包括交易对手风险和诉讼。最近，已经引入了一些创新的风险缓解方法，称为另类风险转移（ART）方法，以解决这些问题。其中最重要的一种 ART 方法是巨灾（CAT）债券。本文的目的是开发一个综合模型，将工程设计参数与包括利差和债券评级在内的财务指标联系起来。所开发的框架基于四步结构损失模型和转换生存模型来确定预期超额收益。我们使用两个独特的 CAT 债券合同来说明该框架在抗震设计桥梁中的应用。结果表明，工程设计参数和市场隐含利差之间存在非线性关系。
