经济资本VaR风险度量在保险公司准备金和偿付能力评估中的新应用
发布时间：2018-09-19 16:46
【摘要】：在世界范围内,越来越多的金融机构在其权限内采用基于风险度量的定量风险管理。本文将VaR这一经济资本度量方法结合传统的精算技术,提出新的风险责任准备金的计算方法,并且将其与保监会规定的法定责任准备金和最低偿付能力额度联系起来,通过比较可知这种新方法与传统监管规定方法孰优孰劣,从而为保险公司和保监会提供了风险管理的新思路。首先进行问题的背景、国内外的研究现状、经济资本的概念以及经济资本风险度量VaR方法的介绍。然后以一张定期寿险的保单为例,按照精算规定,计算出该保单在一个特定评估时点的法定准备金和最低偿付能力额度。核心内容是构造经济资本度量VaR的风险责任准备金模型。首先推导建立风险责任准备金模型,解释模型的随机变量及其假设,然后仍以同样一张保单为例,针对模型的各个随机变量用matlab软件进行蒙特卡罗随机模拟的实证分析,采用情景测试方法得到一些可能的情形甚至极端情形下采用本文模型得到的风险责任准备金的结果。最后改变这张保单的投保人年龄、性别、保险期限等因素,再分别计算其风险责任准备金。通过将在一定风险容忍度(如95%)下风险责任准备金减去法定责任准备金这一期望值得到的结果与最低偿付能力额度作比较,分析得出,当前保监会规定的最低偿付能力额度的计提过于笼统,不能精确地衡量不同投保人以及不同投保年限甚至不同产品的实际所需要的经济资本,粗略统计虽方便了监管当局的审查,却可能与实际不符从而保险公司不能获得最大收益。如果每个公司能够建立起这样一种计算风险责任准备金的模型计算出公司整体的经济资本,就能够更有效地覆盖非预期损失带来的风险,同时也增加了公司获得利润最大化的可能性。
[Abstract]:In the world, more and more financial institutions adopt quantitative risk management based on risk measurement. This paper puts forward a new calculation method of risk liability reserve by combining VaR, an economic capital measure method, with traditional actuarial technology, and links it with the statutory liability reserve and the minimum solvency limit stipulated by the Insurance Regulatory Commission. The comparison shows that the new method is better than the traditional regulatory method, which provides a new way of risk management for insurance companies and CIRC. Firstly, the background of the problem, the current research situation at home and abroad, the concept of economic capital and the introduction of VaR method of economic capital risk measurement are introduced. Then, taking a term life insurance policy as an example, according to the actuarial regulations, the statutory reserve and minimum solvency of the policy at a specific evaluation point are calculated. The core content is to construct the risk liability reserve model of economic capital measurement VaR. First, the risk liability reserve model is established to explain the random variables and their assumptions. Then, taking the same insurance policy as an example, the Monte Carlo stochastic simulation of each random variable of the model is carried out with matlab software. Using the scenario test method, the results of the risk liability reserve obtained in some possible cases, even in extreme cases, are obtained by using the model in this paper. Finally, change the insured's age, gender, insurance term and other factors, and calculate the risk liability reserve. By comparing the expected value of risk liability reserve minus statutory liability reserve at a certain risk tolerance (e.g. 95%) with the minimum solvency level, it is concluded that, At present, the minimum solvency limit stipulated by the Insurance Regulatory Commission is too general to accurately measure the actual economic capital required by different policy holders, different insured years and even different products. Rough statistics, while facilitating regulatory scrutiny, may not be in line with the actual situation, and insurers will not be able to get the most out of their profits. If each company can establish such a model for calculating the risk liability reserve to calculate the overall economic capital of the company, it can more effectively cover the risks associated with unexpected losses. It also increases the likelihood that companies will maximize their profits.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F840
本文编号：2250725
[Abstract]:In the world, more and more financial institutions adopt quantitative risk management based on risk measurement. This paper puts forward a new calculation method of risk liability reserve by combining VaR, an economic capital measure method, with traditional actuarial technology, and links it with the statutory liability reserve and the minimum solvency limit stipulated by the Insurance Regulatory Commission. The comparison shows that the new method is better than the traditional regulatory method, which provides a new way of risk management for insurance companies and CIRC. Firstly, the background of the problem, the current research situation at home and abroad, the concept of economic capital and the introduction of VaR method of economic capital risk measurement are introduced. Then, taking a term life insurance policy as an example, according to the actuarial regulations, the statutory reserve and minimum solvency of the policy at a specific evaluation point are calculated. The core content is to construct the risk liability reserve model of economic capital measurement VaR. First, the risk liability reserve model is established to explain the random variables and their assumptions. Then, taking the same insurance policy as an example, the Monte Carlo stochastic simulation of each random variable of the model is carried out with matlab software. Using the scenario test method, the results of the risk liability reserve obtained in some possible cases, even in extreme cases, are obtained by using the model in this paper. Finally, change the insured's age, gender, insurance term and other factors, and calculate the risk liability reserve. By comparing the expected value of risk liability reserve minus statutory liability reserve at a certain risk tolerance (e.g. 95%) with the minimum solvency level, it is concluded that, At present, the minimum solvency limit stipulated by the Insurance Regulatory Commission is too general to accurately measure the actual economic capital required by different policy holders, different insured years and even different products. Rough statistics, while facilitating regulatory scrutiny, may not be in line with the actual situation, and insurers will not be able to get the most out of their profits. If each company can establish such a model for calculating the risk liability reserve to calculate the overall economic capital of the company, it can more effectively cover the risks associated with unexpected losses. It also increases the likelihood that companies will maximize their profits.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F840
【共引文献】
相关期刊论文 前9条
1 李国安;;指数分布在概率统计教学中的纽带作用[J];高等数学研究;2011年04期
2 王传玉;一类随机利率下的增额寿险[J];运筹与管理;2005年02期
3 吕学斌,万建平;基于教育基金保险的期权定价[J];应用数学;2005年S1期
4 容炳华;;模糊随机变量下保单现金价值计算初探[J];沿海企业与科技;2011年12期
5 李世龙;赵霞;;基于有理样条死亡假设的分数时点寿险净保费责任准备金[J];中国管理科学;2012年02期
6 王传玉;;相关结构下的两重复合状态生命模型[J];中国科学技术大学学报;2007年11期
7 任雅姗;;我国农村商业养老保险市场研究——基于养老金替代率的精算分析[J];保险职业学院学报;2013年05期
8 李晶;;基于经济资本管理保险金融综合经营风险的若干探讨[J];时代金融;2014年21期
9 王淑慧;张爱琳;张艺冉;;基于协同理论的信托公司双重资本监管研究[J];中央财经大学学报;2014年11期
，本文编号：2250725
本文链接：https://www.wllwen.com/jingjilunwen/bxjjlw/2250725.html
