基于双链梯模型的一年期准备金风险度量研究

发布时间：2018-03-23 21:54

  本文选题：双链梯模型　切入点：准备金风险　出处：《天津财经大学》2016年硕士论文

【摘要】：进入21世纪以来,在经济全球化、金融一体化的助推下全球金融市场得以迅猛发展,然而却给金融市场带来前所未有的波动性,如何应对日趋严重的风险已经成为金融机构亟待解决的首要任务。现如今,金融风险的准确合理性度量引起了政策当局、金融机构以及学术界的密切关注。较之于信托、银行等其他金融机构,保险公司所面临的风险首当其冲。国际监管机构逐步完善保险公司的规章制度,欧盟的Solvency Ⅱ通过对Solvency Ⅰ进行更新,相比于Solvency Ⅰ中的审慎规则,有了更强的改进。新偿付能力要求在风险方面更加敏感,与之前的偿付能力要求相比也更加复杂。偿付能力资本要求应至少覆盖一些风险,其中非寿险准备金风险必不可少。然而,关于未决赔款准备金风险的测度,到现在为止几乎所有提出的随机性方法只关注于终期观点,而非Solvency Ⅱ框架下的一年期观点。自Solvency Ⅱ监管框架将时间范围限定为一年之后,国内外学者众多对此进行了大量的研究,成果显著。鉴于该指令规定的时间范围,非寿险保险公司的主要工作之一就是要了解如何衡量未决赔款准备金在一年内的波动性。一般来说,度量波动性的方法可分为两类:解析性方法与随机模拟性方法。但总而言之,与解析性方法相比,随机性模拟方法具备更多的优势。这篇文章首先详细描述了双链梯模型(DCL),随后介绍了如何将其在应用在准备金评估乃至一年期准备金风险度量方面,最后结合一组常用数据,并借助于R统计软件,同时利用bootstrap随机模拟方法对一年期准备金风险进行了定量分析,最终获得赔付进展结果(CDR)的预测分布等相关信息,研究结果表明在一年期准备金风险度量方面,双链梯模型是一种简便、实用且有效的随机性模型,给予完善我国第二代偿付能力监管制度体系一定的理论支持与参考。
[Abstract]:Since entering the 21st century, with the economic globalization and the financial integration, the global financial market has developed rapidly, but it has brought unprecedented volatility to the financial market. How to deal with the increasingly serious risks has become the most urgent task of financial institutions. Nowadays, the accurate and reasonable measurement of financial risk has attracted the close attention of policy authorities, financial institutions and academia. Banks and other financial institutions, such as insurance companies, bear the brunt of the risks faced by insurance companies. International regulators have gradually improved the rules and regulations of insurance companies. Solvency II of the European Union has updated Solvency I, compared with the prudential rules in Solvency I. New solvency requirements are more risk-sensitive and more complex than previous solvency requirements. Solvency capital requirements should cover at least some risks. Non-life insurance reserve risk is essential. However, almost all of the randomness methods proposed so far focus only on the terminal point of view with regard to the measurement of the risk of pending claims reserve. Since the Solvency 鈪，

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