基于DFA的地震保险定价模型研究

发布时间：2018-10-12 12:17

【摘要】：最近几十年是地壳的活跃期,研究地震保险定价就显得尤其重要。同时,地震保险作为巨灾保险的一种,已经成为了地震经济损失补救的重要手段,减轻了国家财政负担。本文的重要工作是：描述了早期的巨灾保险、地震保险制度和DFA模型,构建了DFA地震保险定价模型以及介绍模型的应用：计算地震纯保险费率和模拟破产概率。本文首先介绍几个外国很成功的地震保险制度,为地震保险模型提供了很多参考意见。计算纯保险费前,必须把建筑物的破坏程度分成几类。其次,介绍DFA模型的框架以及建立模型的步骤。然后,基于地震的“随机性”、“动态性”,结合DFA建立地震保险定价模型：第一,用地震保险净费率之厘定的工程学方法计算费率；、第二,利用工科地震学的相关公式计算出地震超越概率；第三,结合地震损失额满足对数分布和地震发生频数满足Poisson分布模拟保险公司的破产概率。最后,根据昆明市的历史地震数据进行模型实例验证,计算：在不破产的情况下,投保人交的最合理的保费;在不同的初始基金、附加费率下模拟破产概率。
[Abstract]:In recent decades, the crustal active period, the study of earthquake insurance pricing is particularly important. At the same time, as a catastrophe insurance, earthquake insurance has become an important means to remedy earthquake economic losses and lighten the national financial burden. The important work of this paper is to describe the early catastrophe insurance, earthquake insurance system and DFA model, to construct the DFA earthquake insurance pricing model and to introduce the application of the model, to calculate the seismic pure insurance rate and to simulate the ruin probability. This paper first introduces several successful earthquake insurance systems in foreign countries, and provides a lot of references for earthquake insurance models. Before calculating the pure insurance premium, the damage degree of the building must be divided into several categories. Secondly, the framework of the DFA model and the steps to establish the model are introduced. Then, based on the "randomness" and "dynamic" of earthquake, combined with DFA, the pricing model of earthquake insurance is established: first, the engineering method of determining net rate of earthquake insurance is used to calculate the rate; second, The seismic transcendence probability is calculated by using the relevant formulas of engineering seismology. Thirdly, the ruin probability of insurance companies is simulated by combining the logarithmic distribution of earthquake losses and the frequency of earthquake occurrence to Poisson distribution. Finally, according to the historical seismic data of Kunming City, the model example is used to verify the model and calculate the most reasonable premium paid by the policyholder in the case of no bankruptcy, and the probability of bankruptcy is simulated under different initial funds and additional rates.
【学位授予单位】：中南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F840.64;F224

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