基于随机模拟技术的地震风险评估与损失分担机制设计

发布时间：2018-07-21 10:02

【摘要】：巨灾保险制度是国家综合风险管理体系的重要组成部分,巨灾风险损失分担机制则是巨灾保险制度的核心。如何构造科学合理的巨灾风险损失分担机制,是理论与现实的重大关切。本文以地震风险为研究对象,利用我国地震的历史数据(1910-2011),采用基于复合泊松分布与基于复合负二项分布的随机模拟方法对地震风险进行模拟,以年度震级和的形式绘制了地震风险损失的超越概率曲线。最后在此超越概率曲线基础上,研究在不同风险容忍度下各个主体承担地震风险损失的比例。本文的主要目的在于提供一个通过随机模拟技术对巨灾风险进行评估,进而对巨灾风险损失分担机制进行划分的方法。本文的研究结果表明,在泊松分布下,个人与保险人可以承担70%的风险损失,政府只需承担30%的风险损失;在负二项分布下,政府需要承担绝大多数风险损失(65%)。
[Abstract]:Catastrophe insurance system is an important part of national comprehensive risk management system, and catastrophe risk loss sharing mechanism is the core of catastrophe insurance system. How to construct a scientific and reasonable mechanism of catastrophe risk loss sharing is a great concern in theory and practice. In this paper, the earthquake risk is simulated by the random simulation method based on the composite Poisson distribution and the compound negative binomial distribution using the historical data of earthquakes in China (1910-2011). The transcendental probability curve of earthquake risk loss is drawn in the form of annual magnitude sum. Finally, on the basis of the transcendental probability curve, the proportion of each subject bearing the loss of earthquake risk under different risk tolerance is studied. The main purpose of this paper is to provide a method to evaluate catastrophe risk by means of stochastic simulation technology, and then to divide the mechanism of catastrophe risk loss sharing. The results show that under Poisson distribution, individuals and insurers can bear 70% of the risk loss, the government only needs to bear 30% of the risk loss, and under the negative binomial distribution, the government needs to bear most of the risk losses (65%).
【作者单位】：武汉大学经济与管理学院;
【基金】：国家社科基金重大项目“我国巨灾保险制度安排与实施路径研究”(编号:11&ZD053) 教育部人文社科规划项目“中国巨灾保险供给能力研究”(编号:09YJA790149)
【分类号】：D632.5;F842.6;F224

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