基于二元Mack模型的准备金风险度量

发布时间：2018-02-25 22:03

本文关键词： 欧盟偿付能力Ⅱ 准备金风险二元Mack模型随机模拟　出处：《天津财经大学》2014年硕士论文　论文类型：学位论文

【摘要】：欧盟偿付能力Ⅱ对非寿险公司中的资本充足机制给出了新的规定,制定了更加严格的监管要求,旨在建立一套完善的风险管理标准。对于非寿险公司来说,为了抵御未来赔付的不确定性,需要提取充足的资金来覆盖未来所有风险,而这部分资金作为偿付能力资本要求中的组成部分,即为准备金风险。目前对准备金风险的度量多数为对最终准备金风险的度量,该风险覆盖的是直到进展年结束整个过程中的不确定性。欧盟偿付能力Ⅱ框架中将准备金风险度量的时间范围设定为一年,旨在覆盖未来12个月内赔付的不确定性。一年期准备金风险度量的方法分为两种：解析方法与随机模拟方法。学者们使用这两种方法,并基于Mack模型对一年期准备金风险进行了有效的度量。作为Mack模型的一种重要扩展,二元Mack模型将不同保单组之间的相关性考虑进来,适用于保险实务中出现保险业务细分为多个保单组的情况。二元Mack模型可以通过对预测均方误差的计算对最终准备金风险进行度量,然而,基于二元Mack模型下的一年期准备金风险度量却鲜有研究。本文总结欧盟偿付能力Ⅱ框架下一年期准备金风险的定义,基于二元Mack模型,一方面对预测均方误差进行了计算,另一方面运用随机模拟方法对一年期准备金风险进行了度量,并以一组常用数据为实例对准备金风险进行实证分析,得到较好的结果。这可为我国保险公司在欧盟偿付能力Ⅱ框架下准备金风险的度量提供借鉴。
[Abstract]:EU solvency II provides new regulations on capital adequacy mechanisms in non-life insurance companies and stricter regulatory requirements aimed at establishing a comprehensive set of risk management standards. In order to withstand the uncertainty of future payments, sufficient funds need to be drawn to cover all future risks, which are part of solvency capital requirements. That is, reserve risk. At present, most of the measures of reserve risk are measures of final reserve risk, The risk covers uncertainty throughout the process until the end of the year of progress. The European Union solvency II framework sets the time range of reserve risk measurement to one year. This is designed to cover the uncertainty of claims over the next 12 months. There are two methods for measuring one-year reserve risk: analytical methods and stochastic simulation methods. As an important extension of Mack model, binary Mack model takes into account the correlation between different policy groups. The binary Mack model can measure the risk of final reserve by calculating the mean square error of forecast. This paper summarizes the definition of one-year reserve risk under the framework of EU solvency II, and based on the dual Mack model, calculates the prediction mean square error. On the other hand, it uses the stochastic simulation method to measure the one-year reserve risk, and takes a group of commonly used data as an example to carry on the empirical analysis to the reserve risk. It can be used as a reference for the measurement of reserve risk of Chinese insurance companies under the framework of EU solvency II.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F830.9

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