Перестрахование страховых рисков через выпуск катастрофических облигаций (CatBonds)

Банковские услуги. 2023. № 10. С. 9–18.

Soldatova A.

Sanctions have limited many foreign reinsurance markets for Russian insurers. Among the main areas of development of the Russian financial market for the period 2023-2025, adopted by the Bank of Russia, is the securitization of reinsurance through the issue of catastrophe bonds by insurers. For insurance companies, this may mean the possibility of transferring insurance risks and reducing the burden on capital, which will allow the insurer to increase the insurance portfolio to maximize the financial result. In the context of limited access to foreign reinsurance markets, catastrophe bonds will allow the insurer to obtain additional reinsurance capacity. Investing in catastrophe bonds can also be an interesting tool for investors. This is an opportunity to invest in the insurance industry without directly investing in the insurer's capital and receive high returns. Insurance risks are not correlated with market risk, so this type of securities can be attractive for portfolio diversification. This article presents the results of modeling the securitization scheme of insurance contracts, where the expected cash flows of an individual company in the industry act as collateral.

Keywords: секьюритизация, перестрахование, достаточность капитала, securitization, capital adequacy, SPV, SPV, insurance premiums, loss ratio, страховые премии, reinsurance, trigger events, catastrophic bonds (Cat Bonds), убыточность, события-триггеры, катастрофические облигации (Cat Bonds)