Epidemik ve Katastrofik Risklere Karşı Sigortacılıkta Risk Transfer Yöntemlerinin Gelişimi
Özet
Bu çalışma, son yıllarda artan doğal afetler ve COVID-19 örneğinde görülen küresel salgınların yarattığı ağır ekonomik ve finansal etkiler karşısında, sigorta ve reasürans sektörünün tek başına yeterli olmadığı durumlarda katastrofik ve epidemik riskler için geliştirilen alternatif risk transfer mekanizmalarını incelemektedir. Bu kapsamda, önce CAT vadeli işlemleri, opsiyonlar ve tahviller gibi menkul kıymetleştirilmiş risk transfer araçlarının tarihsel gelişimi ve işleyişi ayrıntılı biçimde ele alınmakta; ardından pandemi ve epidemik risklere yönelik yenilikçi finansal enstrümanlar, özellikle pandemi tahvilleri ve endemik swap yapıları detaylı olarak açıklanmaktadır. Bu araçlar, yatırımcılara yüksek getiri ve portföy çeşitlendirme olanağı sunarken sigorta şirketlerine de etkin ve maliyet avantajlı bir risk transferi sağlamaktadır. Çalışma hem geleneksel hem de yeni sermaye piyasası çözümlerinin, düşük olasılıklı ancak yüksek etkili felaketlerin yönetimindeki kritik rolünü açıkça ortaya koymaktadır. Türkiye açısından ise benzer sermaye piyasası uygulamalarının yaygınlaştırılması, sigorta sektörünün dayanıklılığını güçlendirecek ve yatırımcılara yeni çeşitlendirme fırsatları sunacaktır.
Referanslar
Aase, K. K. (2001). A Markov model for the pricing of catastrophe insurance futures and spreads. Journal of Risk and Insurance, 68, 25–49.
Bakshi, G. & Madan, D. (2002). Average rate claims with emphasis on catastrophe loss options. Journal of Financial and Quantitative Analysis, 37 (1), 93–115.
Blake, D. & Cairns, A. J. (2020). Longevity risk and capital markets: the 2018–2019 update. Annals of Actuarial Science, 14 (2), 1–43.
Blake, D. & Cairns, A. J. (2021). Longevity risk and capital markets: the 2019–2020 update. Insurance: Mathematics and Economics, 99, 395–439.
Blau, B. M., Van Ness, R. A. & Wade, C. (2008). Capitalizing on catastrophe: Short selling insurance stocks around Hurricanes Katrina and Rita. Journal of Risk and Insurance, 75 (4), 967–996.
Braun, A. (2011). Pricing catastrophe swaps: A contingent claims approach. Insurance: Mathematics and Economics, 49 (3), 520–536.
Braun, A. (2016). Pricing in the primary market for cat bonds: New empirical evidence. Journal of Risk and Insurance, 83 (4), 811–847.
Bloom, D. E., Daniel, C. & J. Sevilla. (2018). Epidemics and economics: New and resurgent infectious diseases can have far-reaching economic repercussions. Finance and Development, 55 (2), 46–49.
CBPF. (2023). Country-based pooled funds. https://www.unocha.org/country-based-pooled-funds (accessed November 21, 2023).
CFE. (2023). Contingency fund for emergencies. https://www.who.int/emergencies/funding/contingency-fund-for-emergencies (accessed November 21, 2023).
Chang, C. W., Chang, J. S. & Lu, W. (2010). Pricing catastrophe options with stochastic claim arrival intensity in claim time. Journal of Banking and Finance, 34 (1), 24–32.
Chang, C. C., Lin, S. K. & Yu, M. T. (2011). Valuation of catastrophe equity puts with Markov-modulated Poisson processes. Journal of Risk and Insurance, 78 (2), 447–473.
Chiang, T. C. (2019). Financial risk, uncertainty and expected returns: Evidence from Chinese equity markets. China Finance Review International, 9 (4), 425–454.
Collins, A. (2020). Pandemic insurance: Market developments and lessons learned. The Geneva Association.
Cummins, J. D. (2006). Should the government provide insurance for catastrophes? Federal Reserve Bank of St. Louis Review, 88 (4), 337-417.
Cummins, J. D. (2012). CAT bonds and other risk-linked securities: Product design and evolution of the market. The Geneva Reports: Risk and Insurance Research, 5, 39–61.
Cummins, J. D. & Weiss, M. A. (2009). Convergence of insurance and financial markets: Hybrid and securitized risk-transfer solutions. Journal of Risk and Insurance, 76 (3), 493–545.
Cummins, J. D., Lalonde, D. & Phillips, R. D. (2004). The basis risk of catastrophic-loss index securities. Journal of Financial Economics, 71 (1), 77–111.
Cummins, J. D. & Lewis, C. M. (2003). Catastrophic events, parameter uncertainty and the breakdown of implicit long-term contracting: The case of terrorism insurance. Journal of Risk and Uncertainty, 26(2–3), 153–178.
Cummins, J. D. & Trainar, P. (2009). Securitization, insurance, and reinsurance. Journal of Risk and Insurance, 76 (3), 463–492.
Götze, T. & Gürtler, M. (2020). Hard markets, hard times: On the inefficiency of the CAT bond market. Journal of Corporate Finance, 62, 101553.
Gründl, H., Guxha, D., Kartasheva, A. & Schmeiser, H. (2021). Insurability of pandemic risks. Journal of Risk and Insurance, 88 (4), 863-902.
Hagendorff, B., Hagendorff, J. & Keasey, K. (2013). The shareholder wealth effects of insurance securitization: Preliminary evidence from the catastrophe bond market. Journal of Financial Services Research, 44 (3), 281–301.
Hagendorff, B., Hagendorff, J., Keasey, K. & Gonzalez, A. (2014). The risk implications of insurance securitization: The case of catastrophe bonds. Journal of Corporate Finance, 25, 387–402.
Hilsenrath, J. (2020). Global viral outbreaks like coronovirus, once rare, will become more common. https://www.wsj.com/articles/viral-outbreaks-once-rare-become-part-of-theglobal-landscape-11583455309
Huang, Y., Kousky, C. & Linnerooth-Bayer, J. (2023). Epidemic financing facilities: Pandemic bonds and endemic swaps. Journal of Risk and Insurance, 90(1), 123–150.
Huynh, A., Bruhn, A. & Browne, B. (2013). A review of catastrophic risks for life insurers. Risk Management and Insurance Review, 16(2), 233–266.
IBRD. 2017. Pandemic emergency financing facility. Washington, DC: The World Bank.
Lee, J. P. & Yu, M. T. (2007). Valuation of catastrophe reinsurance with catastrophe bonds. Insurance: Mathematics and Economics, 41 (2), 264–278.
Lloyd’s. 2020. Supporting global recovery and resilience for customers and economies: Lloyd’s publishes blueprint for sustainable pandemic recovery. https://www.lloyds.com/news-and-insights/press-releases/2020/07/supporting-global-recovery-and-resilience-for-customers-and-economies (accessed November 21, 2023).
Lo, C. L., Chang, C. W., Lee, J. P., & Yu, M. T. (2020). Pricing catastrophe swaps with default risk and stochastic interest rates. Pacific-Basin Finance Journal, 101314.
Perrakis, S. & Boloorforoosh, A. (2013). Valuing catastrophe derivatives under limited diversification: A stochastic dominance approach. Journal of Banking and Finance, 37 (8), 3157–3168.
Richter, A. & Wilson, T. C. (2020). COVID-19: Implications for insurer risk management and the insurability of pandemic risk. The Geneva Risk and Insurance Review, 45, 171- 270.
Swiss Re. (2021). Natural catastrophes in 2020: Secondary perils in the spotlight, but don’t forget primary-peril risks.
Worldometer. (2021). COVID-19 coronovirus pandemic.
Zhao, Y., Lee, J.P. & Yu, M.T. (2021) Catastrophe risk, reinsurance and securitized risk-transfer solutions: a review
Referanslar
Aase, K. K. (2001). A Markov model for the pricing of catastrophe insurance futures and spreads. Journal of Risk and Insurance, 68, 25–49.
Bakshi, G. & Madan, D. (2002). Average rate claims with emphasis on catastrophe loss options. Journal of Financial and Quantitative Analysis, 37 (1), 93–115.
Blake, D. & Cairns, A. J. (2020). Longevity risk and capital markets: the 2018–2019 update. Annals of Actuarial Science, 14 (2), 1–43.
Blake, D. & Cairns, A. J. (2021). Longevity risk and capital markets: the 2019–2020 update. Insurance: Mathematics and Economics, 99, 395–439.
Blau, B. M., Van Ness, R. A. & Wade, C. (2008). Capitalizing on catastrophe: Short selling insurance stocks around Hurricanes Katrina and Rita. Journal of Risk and Insurance, 75 (4), 967–996.
Braun, A. (2011). Pricing catastrophe swaps: A contingent claims approach. Insurance: Mathematics and Economics, 49 (3), 520–536.
Braun, A. (2016). Pricing in the primary market for cat bonds: New empirical evidence. Journal of Risk and Insurance, 83 (4), 811–847.
Bloom, D. E., Daniel, C. & J. Sevilla. (2018). Epidemics and economics: New and resurgent infectious diseases can have far-reaching economic repercussions. Finance and Development, 55 (2), 46–49.
CBPF. (2023). Country-based pooled funds. https://www.unocha.org/country-based-pooled-funds (accessed November 21, 2023).
CFE. (2023). Contingency fund for emergencies. https://www.who.int/emergencies/funding/contingency-fund-for-emergencies (accessed November 21, 2023).
Chang, C. W., Chang, J. S. & Lu, W. (2010). Pricing catastrophe options with stochastic claim arrival intensity in claim time. Journal of Banking and Finance, 34 (1), 24–32.
Chang, C. C., Lin, S. K. & Yu, M. T. (2011). Valuation of catastrophe equity puts with Markov-modulated Poisson processes. Journal of Risk and Insurance, 78 (2), 447–473.
Chiang, T. C. (2019). Financial risk, uncertainty and expected returns: Evidence from Chinese equity markets. China Finance Review International, 9 (4), 425–454.
Collins, A. (2020). Pandemic insurance: Market developments and lessons learned. The Geneva Association.
Cummins, J. D. (2006). Should the government provide insurance for catastrophes? Federal Reserve Bank of St. Louis Review, 88 (4), 337-417.
Cummins, J. D. (2012). CAT bonds and other risk-linked securities: Product design and evolution of the market. The Geneva Reports: Risk and Insurance Research, 5, 39–61.
Cummins, J. D. & Weiss, M. A. (2009). Convergence of insurance and financial markets: Hybrid and securitized risk-transfer solutions. Journal of Risk and Insurance, 76 (3), 493–545.
Cummins, J. D., Lalonde, D. & Phillips, R. D. (2004). The basis risk of catastrophic-loss index securities. Journal of Financial Economics, 71 (1), 77–111.
Cummins, J. D. & Lewis, C. M. (2003). Catastrophic events, parameter uncertainty and the breakdown of implicit long-term contracting: The case of terrorism insurance. Journal of Risk and Uncertainty, 26(2–3), 153–178.
Cummins, J. D. & Trainar, P. (2009). Securitization, insurance, and reinsurance. Journal of Risk and Insurance, 76 (3), 463–492.
Götze, T. & Gürtler, M. (2020). Hard markets, hard times: On the inefficiency of the CAT bond market. Journal of Corporate Finance, 62, 101553.
Gründl, H., Guxha, D., Kartasheva, A. & Schmeiser, H. (2021). Insurability of pandemic risks. Journal of Risk and Insurance, 88 (4), 863-902.
Hagendorff, B., Hagendorff, J. & Keasey, K. (2013). The shareholder wealth effects of insurance securitization: Preliminary evidence from the catastrophe bond market. Journal of Financial Services Research, 44 (3), 281–301.
Hagendorff, B., Hagendorff, J., Keasey, K. & Gonzalez, A. (2014). The risk implications of insurance securitization: The case of catastrophe bonds. Journal of Corporate Finance, 25, 387–402.
Hilsenrath, J. (2020). Global viral outbreaks like coronovirus, once rare, will become more common. https://www.wsj.com/articles/viral-outbreaks-once-rare-become-part-of-theglobal-landscape-11583455309
Huang, Y., Kousky, C. & Linnerooth-Bayer, J. (2023). Epidemic financing facilities: Pandemic bonds and endemic swaps. Journal of Risk and Insurance, 90(1), 123–150.
Huynh, A., Bruhn, A. & Browne, B. (2013). A review of catastrophic risks for life insurers. Risk Management and Insurance Review, 16(2), 233–266.
IBRD. 2017. Pandemic emergency financing facility. Washington, DC: The World Bank.
Lee, J. P. & Yu, M. T. (2007). Valuation of catastrophe reinsurance with catastrophe bonds. Insurance: Mathematics and Economics, 41 (2), 264–278.
Lloyd’s. 2020. Supporting global recovery and resilience for customers and economies: Lloyd’s publishes blueprint for sustainable pandemic recovery. https://www.lloyds.com/news-and-insights/press-releases/2020/07/supporting-global-recovery-and-resilience-for-customers-and-economies (accessed November 21, 2023).
Lo, C. L., Chang, C. W., Lee, J. P., & Yu, M. T. (2020). Pricing catastrophe swaps with default risk and stochastic interest rates. Pacific-Basin Finance Journal, 101314.
Perrakis, S. & Boloorforoosh, A. (2013). Valuing catastrophe derivatives under limited diversification: A stochastic dominance approach. Journal of Banking and Finance, 37 (8), 3157–3168.
Richter, A. & Wilson, T. C. (2020). COVID-19: Implications for insurer risk management and the insurability of pandemic risk. The Geneva Risk and Insurance Review, 45, 171- 270.
Swiss Re. (2021). Natural catastrophes in 2020: Secondary perils in the spotlight, but don’t forget primary-peril risks.
Worldometer. (2021). COVID-19 coronovirus pandemic.
Zhao, Y., Lee, J.P. & Yu, M.T. (2021) Catastrophe risk, reinsurance and securitized risk-transfer solutions: a review
