近幾年來由於受到氣候改變的影響，例如全球溫室效應，與人口集中於都會地區，使得颱風、洪水等天然巨災發生的次數增加。相對的災害規模近年來也愈來愈大，例如2005年8月美國卡崔娜颶風，經濟損失超過千億美元。其不僅造成民眾財務與生命的巨額損失，也使得巨災風險保險市場受到極大的危害。因而激起對轉移巨災風險方法的研究，學者專家希望藉由巨災風險證券化的商品，例如：巨災債券等，將巨災風險移轉到資本市場上。

台灣中央再保險公司在二○○三年八月發行首支巨災債券，其所籌得的資金，將作為國內強制地震險再保之用。然而對台灣人民而言，相較於地震，颱風、洪水的發生頻率卻高於地震，對於保險業者的風險程度相對較高。但台灣缺乏相關的損失資料或如同美國PCS指數的公正指數，可作為巨災債券的標的資產。因此造成巨災債券發展的困難。過去巨災債券研究大多以巨災損失作為其標的資產，而在本文中我們將以雨量與逕流量作為巨災債券的標的資產。

一般而言，雨量是眾所皆知會影響洪水的因素。然而，根據水文學，逕流量才是造成洪水的主因。不幸的是，逕流量並無法直接觀測得到。在陸地上，從降雨到產生逕流過程的水文現象，即一般所謂的降雨—逕流關係。水利工程師嘗試利用數學方法建立降雨—逕流模式，以模擬洪水過程。在本文中，我們以基隆河流域為例，利用雨量與流量資料模擬出逕流量為巨災債券作定價。

Recently, the losses of natural disasters became larger due to climate change and economic development. Those losses have great influence on not only the safety of human life and property but also the catastrophe risk insurance market. Therefore researchers design catastrophe-linked securities such as catastrophe bond in order to translate such risk into capital market. However there are lacks of loss data caused by typhoon or flood and impartial index such as property claims services (PCS) index in American. It’s a problem when we want to transfer risk using CAT bond in Taiwan. Therefore, in this paper we use rainfall and runoff to be our indexes which is different from past studies with loss as an index.

Rainfall is the common factor we know that may results in flood. However, according to hydrology, runoff is the most direct factor that causes flood. Unfortunately, runoff can’t be observed by real data. According to the rainfall and discharge data, we use storage function model to estimate it. As an example, one discharge station and three rainfall stations of Keelung River are selected in designing indexes of CAT bonds.

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