基于Copula-EVT模型的巨灾再保险定价

发布时间：2018-03-17 21:33

本文选题：Copula函数　切入点：极值理论　出处：《统计与信息论坛》2017年05期 　论文类型：期刊论文

【摘要】：基于巨灾损失具有厚尾分布的特征,采用POT极值模型分别估计两个保险标的的边缘分布,并用二元Copula函数刻画这两个标的的关联性,同时应用Monte Carlo模拟方法估算巨灾再保险的纯保费。通过对洪水损失数据的实证分析表明:Clayton Copula函数能较好地反映两标的间的相关结构;起赔点的设定是影响纯保费的重要因素,且起赔点按条件分位点取值更优更合理。研究结果对保险人开发多元保险标的的巨灾再保险具有重要的参考价值。
[Abstract]:Based on the feature of thick tail distribution of catastrophe loss, the edge distribution of two insurance objects is estimated by POT extreme value model, and the correlation of these two targets is described by using binary Copula function. At the same time, the Monte Carlo simulation method is used to estimate the net premium of catastrophe reinsurance. The empirical analysis of flood loss data shows that the ratio Clayton Copula function can better reflect the correlation structure between the two targets, and the setting of starting point is an important factor affecting the net premium. The results of the study have important reference value for the insurer to develop catastrophe reinsurance of multiple insurance subject matter.
【作者单位】：福州大学经济与管理学院;福州大学投资与风险管理研究所;
【基金】：国家自然科学基金青年项目《产品市场竞争、银行股权关联与企业商业信用流动性风险:测度与实证检验》(71402029) 福建省自然科学基金项目《基于极值理论的Copula函数的巨灾风险债券定价研究》(2017J01794)
【分类号】：F224;F842.69

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