考虑再保险的存款保险定价及其应用

发布时间：2018-02-28 14:53

本文关键词： 存款保险再保险保险精算定价跳跃扩散过程　出处：《南京财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：系统性银行危机（systemic banking crisis）的浪潮自20世纪80年代以来波及全球。作为金融安全网的三大支柱之一的存款保险制度在防范银行挤兑、保护存款人的合法权益、维护各国乃至世界金融市场的稳定方面作出了重要贡献。然而随着金融全球化的趋势不断扩大，银行面临的风险越来越大，突发性事件带来的损失也越来越多，像巴林银行事件、英国北岩银行事件等等。于是我们就会发现单个存款保险公司由于自身资产有限，面对如此巨大的损失也显得柔弱无力。为了应对这个问题，本文将再保险引入存款保险领域，按照保险公司承保的损失区间的划分，将保险公司分为原保公司和再保公司，原保公司承保的损失不能超过一个上限，超过部分由再保公司来承担。我们设计了两个模型，在第一个模型中，假定银行资产的运动过程服从几何布朗运动这种简单的情形，在此前提下，我们运用保险精算方法推导原保险和再保险定价公式；在第二个模型中，为了使模型更能拟合资产分布的尖峰厚尾现象，考虑用带Possion跳的扩散过程来拟合银行资产的运用过程，同时在此基础上运用保险精算方法推导出最终的原保险与再保险定价公式。在实证环节，针对第一个模型本文选用R-V模型的方法间接得出银行的资产价值和波动率，并与相同随机过程下不考虑再保险因素的结果进行了比较；针对第二个模型，本文运用极大似然估计方法估算出跳跃模型的参数，然后将其带入定价公式估算出原保险和再保险的数值结果，，同时也与相同跳跃扩散过程下不考虑再保因素的结果进行了比较。
[Abstract]:The wave of systemic banking crisis and systemic banking crisis has spread all over the world since 1980s. As one of the three pillars of the financial safety net, the deposit insurance system is preventing bank runs and protecting the legitimate rights and interests of depositors. The maintenance of the stability of financial markets in various countries and the world has made an important contribution. However, as the trend of financial globalization continues to expand, the risks faced by banks are increasing and the losses caused by sudden events are increasing. For example, the Bahrain Bank incident, the British Northern Rock incident, and so on. So we will find that individual deposit insurance companies, due to their limited assets, are also weak in the face of such huge losses. In order to deal with this problem, this paper introduces reinsurance into the field of deposit insurance. According to the division of loss interval insured by insurance company, the insurance company is divided into original insurance company and reinsurance company. We design two models. In the first model, we assume that the movement of the bank's assets follows the simple case of geometric Brownian motion. In the second model, in order to better fit the peak and thick tail phenomenon of asset distribution, we use the diffusion process with Possion jump to fit the application process of bank assets. At the same time, the final pricing formula of the original insurance and reinsurance is derived by using the actuarial method. In the empirical link, the R-V model is used in the first model to indirectly obtain the asset value and volatility of the bank. The results are compared with those without reinsurance factors in the same stochastic process. For the second model, the maximum likelihood estimation method is used to estimate the parameters of the jump model. Then it is introduced into the pricing formula to estimate the numerical results of the original insurance and reinsurance, and the results are compared with the results without considering the reinsurance factors in the same jump diffusion process.
【学位授予单位】：南京财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F840.69;F224

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