全面风险管理框架下保险公司的风险偏好度量研究
发布时间：2018-11-18 09:42
【摘要】：随着风险管理在当今金融管理中作用的愈加凸显,加强金融风险防范力度和提高风险管理水平具有十分重大的意义。本文研究了保险公司的市场风险的风险偏好度量方法问题。2010年9月保监会出台的《寿险公司全面风险管理实施指导意见》指出风险偏好的度量是保险公司全面风险管理的核心内容。同时,正在积极推行的欧盟偿付能力Ⅱ中对保险公司的全面风险管理风险偏好体系建立也做了详细的规定。 首先,文章从全面风险管理(ERM)角度,对保险公司的风险进行了细致的识别和划分,明确了风险偏好体系,重点分析了风险偏好和风险容忍度的概念,性质,影响因素,分析方法及应用,并介绍了关于风险偏好体系的最新进展—欧盟偿付能力Ⅱ的相关规定。其次,在回顾了已有的风险偏好度量方法的文献基础上,将保险公司视为金融市场的投资者来度量市场风险的风险偏好。模型部分以标准资产定价的理论为背景,在一般均衡资产定价理论框架下,力求考虑到风险偏好的主观性特点,使用随机贴现因子定价方法,并从行为资产定价角度和随进贴现因子改进角度讨论了在非理性状况下模型的进一步扩展,使之更加贴合实际的金融市场状况。然后,结合风险中性概率和主观概率思想,建立TARCH模型,提出一种度量市场风险的风险偏好的方法,更加合理和准确的量化保险公司的风险偏好,为保险公司最终建立符合其内部特点的ERM框架提供重要方法和依据。最后,采用中国人寿保险公司从2007年上市至2013年3月初的数据,利用上述风险偏好度量模型,对中国人寿的市场风险的风险偏好进行了实证研究。同时,再次使用此方法实证度量了美国AIG的市场风险的风险偏好,并将结论与国寿的风险偏好情况进行了对比分析。 研究表明：此种度量方法考虑了时间因素对风险偏好的影响,没有对保险公司的自身风险倾向有严格的假设条件限制,充分的利用了风险中性概率和主观概率分布的所有可用信息。实证分析结果也较好的检验了此种度量方法的实用性,说明风险偏好不但依赖于保险公司自身的风险承受能力,投资类型偏好等主观因素,同时在很大程度上受到宏观经济状况的影响。
[Abstract]:With the increasingly prominent role of risk management in today's financial management, it is of great significance to strengthen financial risk prevention and improve the level of risk management. This paper studies the risk preference measurement of insurance companies in the market. In September 2010, the CIRC issued the "guidance on the implementation of Comprehensive risk Management of Life Insurance companies". It is pointed out that the measurement of risk preference is the comprehensive risk measurement of insurance companies. The core content of risk management. At the same time, the establishment of risk preference system for insurance companies is also regulated in detail in the EU solvency II, which is being actively implemented. Firstly, from the perspective of comprehensive risk management (ERM), the paper identifies and classifies the risks of insurance companies, clarifies the risk preference system, and analyzes the concept, nature and influencing factors of risk preference and tolerance. This paper also introduces the latest development of risk preference system-EU solvency II. Secondly, based on the review of the existing risk preference measurement methods, insurance companies are regarded as investors in financial markets to measure the risk preference of the market. Based on the theory of standard asset pricing and under the framework of general equilibrium asset pricing theory, the model tries to take into account the subjective characteristics of risk preference and uses the stochastic discount factor pricing method. From the perspective of behavioral asset pricing and discount factor improvement, the further expansion of the model in irrational condition is discussed to make it more suitable to the actual financial market situation. Then, combining the idea of risk neutral probability and subjective probability, the TARCH model is established, and a method to measure risk preference of market risk is proposed to quantify the risk preference of insurance companies more reasonably and accurately. It provides an important method and basis for the insurance company to establish the ERM framework according to its internal characteristics. Finally, using the data of China Life Insurance Company from 2007 to the beginning of March 2013, and using the above risk preference measurement model, this paper makes an empirical study on the risk preference of China Life Insurance market. At the same time, this method is used to measure the risk preference of American AIG market risk, and the conclusion is compared with the risk preference of China Insurance Company. The results show that this method takes into account the influence of time factors on risk preference and does not have strict hypothetical conditions on the risk tendency of insurance companies. Make full use of all available information of risk neutral probability and subjective probability distribution. The empirical results also better test the practicability of this measurement method, which shows that risk preference not only depends on the insurance company's own risk tolerance, investment type preference and other subjective factors. At the same time, to a large extent by the impact of macroeconomic conditions.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F842.3;F224
本文编号：2339685
[Abstract]:With the increasingly prominent role of risk management in today's financial management, it is of great significance to strengthen financial risk prevention and improve the level of risk management. This paper studies the risk preference measurement of insurance companies in the market. In September 2010, the CIRC issued the "guidance on the implementation of Comprehensive risk Management of Life Insurance companies". It is pointed out that the measurement of risk preference is the comprehensive risk measurement of insurance companies. The core content of risk management. At the same time, the establishment of risk preference system for insurance companies is also regulated in detail in the EU solvency II, which is being actively implemented. Firstly, from the perspective of comprehensive risk management (ERM), the paper identifies and classifies the risks of insurance companies, clarifies the risk preference system, and analyzes the concept, nature and influencing factors of risk preference and tolerance. This paper also introduces the latest development of risk preference system-EU solvency II. Secondly, based on the review of the existing risk preference measurement methods, insurance companies are regarded as investors in financial markets to measure the risk preference of the market. Based on the theory of standard asset pricing and under the framework of general equilibrium asset pricing theory, the model tries to take into account the subjective characteristics of risk preference and uses the stochastic discount factor pricing method. From the perspective of behavioral asset pricing and discount factor improvement, the further expansion of the model in irrational condition is discussed to make it more suitable to the actual financial market situation. Then, combining the idea of risk neutral probability and subjective probability, the TARCH model is established, and a method to measure risk preference of market risk is proposed to quantify the risk preference of insurance companies more reasonably and accurately. It provides an important method and basis for the insurance company to establish the ERM framework according to its internal characteristics. Finally, using the data of China Life Insurance Company from 2007 to the beginning of March 2013, and using the above risk preference measurement model, this paper makes an empirical study on the risk preference of China Life Insurance market. At the same time, this method is used to measure the risk preference of American AIG market risk, and the conclusion is compared with the risk preference of China Insurance Company. The results show that this method takes into account the influence of time factors on risk preference and does not have strict hypothetical conditions on the risk tendency of insurance companies. Make full use of all available information of risk neutral probability and subjective probability distribution. The empirical results also better test the practicability of this measurement method, which shows that risk preference not only depends on the insurance company's own risk tolerance, investment type preference and other subjective factors. At the same time, to a large extent by the impact of macroeconomic conditions.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F842.3;F224
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