基于下侧风险度量的最优巨灾再保险配置研究

发布时间：2018-04-27 01:21

本文选题：最优巨灾再保险 + 下侧风险　；参考：《湖南大学》2014年硕士论文

【摘要】：面对近年频发的自然灾害，人类生命财产与自然生态环境均受到严重威胁，巨灾风险的防范与控制成为全球亟待解决的问题。多国政府逐渐意识到商业保险在巨灾防控方面的重要性，然而由于保险市场发达程度、巨灾管理体制的差异，各国对商业保险技能和保险业资本实力的运用大相径庭。目前，我国已进入巨灾保险制度建设的起步阶段，在逐步开展“制度设计、设立试点、推动立法”工作的同时，保险公司对巨灾承保风险的管理策略需要迫切变革，巨灾再保险将成为必要的风险管理工具。目前学术界对最优巨灾再保险配置的研究较少，未能将巨灾风险对原保险人经营效益的影响融入相关研究。现有的最优再保险研究，多为探讨最优的再保险类型，很少给出具体的再保险配置方案，，欠缺对再保险方案的效用进行量化解析。同时，对于某一类型灾害的巨灾风险缺乏明确定义，不能判别再保险对巨灾风险转移的作用。此外，对原保险人承保风险与相应利润的研究也较为粗略。针对以上最优巨灾再保险研究中的盲点，本文将通过度量保险业务经营的下侧风险，评估巨灾风险下的承保利润率，对于原保险人最优巨灾再保险配置原理进行探索和改进。本文首先介绍了最优再保险的相关理论，分析各类最优配置原则、下侧风险度量工具的优势、不足及可改进的方向。其次，结合“均值-方差”原则与效用理论的方法优势，运用下偏矩改进风险调整利润（DRAP）模型，以变换损失再保险的事故超赔层为研究对象，在模型中全面融入原保险人再保险后收入与支出的各项要素，评估承保巨灾风险，以最大化DRAP作为最优巨灾再保险配置的选择标准；进而对模型参数进行敏感性分析，构造巨灾再保险方案的有效边界，验证最优巨灾再保险配置的有效性。最后，为了体现模型的实用性，论文针对某财险公司森林保险业务进行最优森林火灾巨灾再保险配置方案分析，基于一系列参数假设，利用Monte Carlo模拟法，通过给定森林保险火灾巨灾再保险的最低自留风险点，运用半方差度量保险公司森林保险业务的承保下侧风险并构造DRAP模型，在目标巨灾再保层组合中择选最优配置方案，确定最优自留额与分保限额，并分析再保方案的有效边界及参数敏感性，实现保险公司承保风险与业务利润的最优均衡。
[Abstract]:In the face of frequent natural disasters in recent years, human life and property and natural ecological environment have been seriously threatened. The prevention and control of catastrophe risk has become a global problem to be solved urgently. Many governments gradually realize the importance of commercial insurance in catastrophe prevention and control. However, due to the degree of development of insurance market and the difference of catastrophe management system, the use of commercial insurance skills and insurance capital strength varies greatly in different countries. At present, our country has entered the initial stage of the construction of catastrophe insurance system. With the gradual development of "system design, establishment of pilot projects and promotion of legislation", the management strategies of insurance companies for catastrophe insurance risks need to be urgently changed. Catastrophe reinsurance will become a necessary risk management tool. At present, the academic research on optimal catastrophe reinsurance allocation is less, and the impact of catastrophe risk on the original insurer's operating efficiency has not been integrated into the relevant research. Most of the existing research on optimal reinsurance is to discuss the optimal reinsurance type, but few specific reinsurance configuration schemes are given, and the utility of reinsurance schemes is not analyzed quantitatively. At the same time, there is no clear definition of catastrophe risk of a certain type of disaster, which can not distinguish the role of reinsurance on catastrophe risk transfer. In addition, the original insurer underwriting risk and the corresponding profits are also relatively rough. Aiming at the blind spot in the study of the optimal catastrophe reinsurance, this paper will evaluate the underwriting profit rate under the catastrophe risk by measuring the lower risk of insurance business operation, and explore and improve the principle of optimal catastrophe reinsurance allocation of the original insurer. This paper first introduces the relevant theories of optimal reinsurance, analyzes the principles of optimal allocation, the advantages and disadvantages of the lower side risk measurement tools, and the direction to be improved. Secondly, combined with the "mean-variance" principle and the advantage of utility theory, the model of risk adjustment profit is improved by using the lower skew moment, and the accident overloss layer of change loss reinsurance is taken as the research object. In the model, the factors of income and expenditure after reinsurance of the original insurer are fully integrated, and the risk of catastrophe insurance is evaluated to maximize the DRAP as the selection criterion of optimal reinsurance allocation, and then the sensitivity of the model parameters is analyzed. The efficient boundary of catastrophe reinsurance scheme is constructed to verify the effectiveness of optimal catastrophe reinsurance scheme. Finally, in order to reflect the practicability of the model, this paper analyzes the optimal forest fire catastrophe reinsurance scheme for a property insurance company. Based on a series of parameter assumptions, Monte Carlo simulation method is used. By giving the lowest retained risk point of forest insurance fire catastrophe reinsurance, using semi-variance to measure the underwriting risk of forest insurance business of insurance companies and to construct DRAP model, the optimal allocation scheme is selected in the target catastrophe reinsurance layer combination. The optimal retention amount and reinsurance limit are determined, and the effective boundary and parameter sensitivity of the reinsurance scheme are analyzed to achieve the optimal equilibrium between underwriting risk and business profit.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F842.64

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