最优化经济资本配置模型及其应用

发布时间：2018-06-18 10:17

本文选题：经济资本 + 最优配置　；参考：《复旦大学》2013年硕士论文

【摘要】：保险公司持有经济资本,不仅仅是为了应对监管机构的监管需要,而且也是为了保证公司的偿付能力和确保公司持续经营的需要。持有大量的经济资本固然很好,但是这并不是没有成本。因此,怎样确定公司总的经济资本,如何对各个业务线配置合适的经济资本成为了保险业普遍关注的问题。文章主要分为两大部分,理论研究部分和实证研究部分。理论研究部分,我们对金融企业如何确定公司总的经济资本,如何将经济资本配置到不同的业务线的问题进行了研究。对于如何确定公司的总的经济资本,我们给出了风险测度函数下经济资本的定义与计算方法。对于如何将经济资本配置到不同的业务线的问题,我们将一步一步来解决。首先,我们提出了一个资本配置的标准,那就是对每个业务线配置的资本应该和该业务线的风险充分接近。然后,在这个标准下,我们建立了最优化资本配置模型。因此,资本配置问题转化成了求解该最优化问题。通过给定偏差度量函数为二次函数,我们得到了二次最优准则下的资本配置问题。并给出了该二次最有资本配置模型的解的一般形式。进一步地,我们通过对模型中的参数形式的不同选取,定义了两种资本配置模型,即业务线驱动资本配置模型和总投资组合驱动配置模型。实证研究部分,我们选取基于总投资组合驱动配置模型进行实证分析,并且我们分析的对象是中国人民财产保险股份有限公司。我们通过假设业务线的损失向量服从多元椭圆类分布,并且推导出了两个基于不同参数选择下的总投资组合驱动配置模型解的具体形式。文中将利用这两个模型进行实证分析。首先,我们通过建立多元Copula模型来度量不同业务线之间的相关关系。通过对Copula函数中的参数估计得出基于Copula函数的相关系数矩阵。然后,通过建立的Copula函数,利用蒙特卡洛模拟的方法计算出公司总的经济资本,这里的风险测量函数为CTE(尾部条件期望)。最后,我们利用上述两个模型分别对基于多元正态Copula函数和多元学生t Copula函数所测算的公司总的经济资本进行了资本配置。结果表明,基于学生t Copula函数的资本配置能够很好的描述各个业务线的厚尾特点。因此,我们的最优化资本配置模型为保险公司如何配置经济资本提供了很好的依据和解决办法。
[Abstract]:Insurance companies hold economic capital not only to meet the regulatory needs of regulators, but also to ensure the solvency of the company and the need to ensure that the company continues to operate. It's good to have a lot of economic capital, but it's not without costs. Therefore, how to determine the total economic capital of the company and how to allocate the appropriate economic capital to each line of business has become a common concern of the insurance industry. The article is divided into two parts, theoretical research and empirical research. In the part of theoretical research, we study the problem of how to determine the total economic capital of financial enterprises and how to allocate economic capital to different business lines. As to how to determine the total economic capital of the company, we give the definition and calculation method of the economic capital under the risk measure function. We will solve the problem of how to allocate economic capital to different business lines step by step. First of all, we propose a standard of capital allocation, that is, the allocation of capital for each line of business should be close to the risk of that line of business. Then, under this standard, we establish the optimal capital allocation model. Therefore, the capital allocation problem is transformed into solving the optimization problem. By giving the deviation metric function as a quadratic function, we obtain the capital allocation problem under the quadratic optimal criterion. The general form of the solution of the quadratic most capital allocation model is given. Furthermore, we define two kinds of capital allocation models, namely, business line driven capital allocation model and total portfolio driven allocation model. In the part of empirical research, we choose the total portfolio driven allocation model for empirical analysis, and the object of our analysis is China people's property Insurance Co., Ltd. By assuming that the loss vector of the service line is distributed from the multivariate elliptic class, we derive two solutions of the total portfolio driven configuration model based on different parameter selection. This paper will use these two models for empirical analysis. Firstly, we establish multiple Copula model to measure the correlation between different business lines. The correlation coefficient matrix based on Copula function is obtained by estimating the parameters of Copula function. Then, by using the Copula function, the total economic capital of the company is calculated by Monte Carlo simulation. The risk measurement function is CTE (tail conditional expectation). Finally, we use the above two models to allocate the total economic capital of the company based on the multivariate normal Copula function and the multivariate student t-Copula function, respectively. The results show that the capital allocation based on the student t Copula function can well describe the characteristics of the thick tail of each business line. Therefore, our optimal capital allocation model provides a good basis and solution for insurance companies to allocate economic capital.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F842.3;F224

【参考文献】