基于极值理论的环境责任再保险费率厘定研究

发布时间：2018-03-19 03:02

本文选题：环境责任再保险　切入点：帕累托定价法　出处：《中国海洋大学》2013年硕士论文　论文类型：学位论文

【摘要】：环境责任保险作为处理环境污染问题一种有效的经济政策,在我国经过部分城市试点与理论探讨,于2013年2月作为第二个全国性的强制责任险被推出。在环境责任保险长期健康发展中,再保险的支持非常重要。环境责任再保险的开设不仅能够分散原保险公司的风险,还有助于完善环境责任保险体系。而合理定价是环境责任再保险制度发展的前提,因此本文将探讨环境责任再保险的定价问题。在研究环境责任再保险定价之前,本文首先对环境责任再保险的模式进行了确定。在对再保险模式理论分析的基础上,考虑到环境污染损失风险较大与环境污染损失数据的不充分,为使保险公司在风险一定的情况下实现收益最大化,将非比例再保险定为环境责任再保险的模式。同时,通过比较非比例再保险下三种模式的适用情况,最终将环境责任再保险的定价模式确定为险位超赔再保险。本文以环境责任再保险的费率厘定为研究对象,重点研究了环境责任再保险定价方法的选择与环境责任再保险模型的建立。在梳理再保险各种定价方法的基础上,考虑到环境污染损失数据的不充分性、风险的可保性、损失数据不具有周期性、风险曲线构建困难等特点,将经验定价法中帕累托定价法确定为环境责任再保险的定价法。同时,考虑到环境污染损失数据的厚尾性,将能够很好地处理厚尾数据的极值理论引入到该定价方法中,重点对环境污染引起的责任损失进行了损失分布的拟合,使得环境责任再保险的定价模型更加精准。最后,论文以化学原料与化学制品制造业为例运用环境责任再保险费率厘定模型测算出了该行业的环境责任再保险费。全文涵盖了环境责任再保险费率厘定的全过程,通过对环境责任再保险费率模型的构建与实证研究,丰富了环境责任再保险定价理论,为环境责任再保险费率的厘定提供了一定的思路借鉴,为完善我国的环境责任保险体系,推进环境责任保险在我国的开展做了一定贡献。
[Abstract]:As an effective economic policy to deal with environmental pollution, environmental liability insurance has been tested and discussed in some cities in China. In February 2013, as the second national compulsory liability insurance, it was introduced. In the long-term healthy development of environmental liability insurance, the support of reinsurance is very important. The establishment of environmental liability reinsurance not only can spread the risk of the original insurance company. Reasonable pricing is the premise of the development of environmental liability reinsurance system, so this paper will discuss the pricing of environmental liability reinsurance. Before studying the pricing of environmental liability reinsurance, this paper first determines the model of environmental liability reinsurance. Considering the large risk of environmental pollution loss and the insufficient data of environmental pollution loss, in order to maximize the profit of insurance company under certain risk, non-proportional reinsurance is adopted as the mode of environmental liability reinsurance. By comparing the application of the three models under non-proportional reinsurance, the pricing model of environmental liability reinsurance is determined to be risk position excess loss reinsurance. In this paper, the pricing method of environmental liability reinsurance and the establishment of environmental liability reinsurance model are studied. Considering the inadequacies of data on environmental pollution losses, the insurability of risks, the non-periodicity of loss data and the difficulty in constructing risk curves, The Pareto pricing method of empirical pricing method is determined as the pricing method of environmental liability reinsurance. Considering the thick tail of the data of environmental pollution loss, the extreme value theory which can deal with the heavy tail data is introduced into the pricing method. The emphasis is on fitting the loss distribution of the liability loss caused by environmental pollution, which makes the pricing model of environmental liability reinsurance more accurate. Finally, the paper takes the chemical raw materials and chemical products manufacturing industry as an example to calculate the environmental responsibility reinsurance premium by using the environmental liability reinsurance rate determination model. The whole paper covers the whole process of setting the environmental responsibility reinsurance rate. Through the construction and empirical research on the model of environmental liability reinsurance rate, it enriches the pricing theory of environmental liability reinsurance, provides some ideas for the determination of environmental liability reinsurance rate, and improves the environmental liability insurance system in China. The promotion of environmental liability insurance in China has made a certain contribution.
【学位授予单位】：中国海洋大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F842.69

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