本文選題：環(huán)境責(zé)任再保險(xiǎn)　切入點(diǎn)：帕累托定價(jià)法　出處：《中國海洋大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：環(huán)境責(zé)任保險(xiǎn)作為處理環(huán)境污染問題一種有效的經(jīng)濟(jì)政策,在我國經(jīng)過部分城市試點(diǎn)與理論探討,于2013年2月作為第二個(gè)全國性的強(qiáng)制責(zé)任險(xiǎn)被推出。在環(huán)境責(zé)任保險(xiǎn)長期健康發(fā)展中,再保險(xiǎn)的支持非常重要。環(huán)境責(zé)任再保險(xiǎn)的開設(shè)不僅能夠分散原保險(xiǎn)公司的風(fēng)險(xiǎn),還有助于完善環(huán)境責(zé)任保險(xiǎn)體系。而合理定價(jià)是環(huán)境責(zé)任再保險(xiǎn)制度發(fā)展的前提,因此本文將探討環(huán)境責(zé)任再保險(xiǎn)的定價(jià)問題。 在研究環(huán)境責(zé)任再保險(xiǎn)定價(jià)之前,本文首先對(duì)環(huán)境責(zé)任再保險(xiǎn)的模式進(jìn)行了確定。在對(duì)再保險(xiǎn)模式理論分析的基礎(chǔ)上,考慮到環(huán)境污染損失風(fēng)險(xiǎn)較大與環(huán)境污染損失數(shù)據(jù)的不充分,為使保險(xiǎn)公司在風(fēng)險(xiǎn)一定的情況下實(shí)現(xiàn)收益最大化,將非比例再保險(xiǎn)定為環(huán)境責(zé)任再保險(xiǎn)的模式。同時(shí),通過比較非比例再保險(xiǎn)下三種模式的適用情況,最終將環(huán)境責(zé)任再保險(xiǎn)的定價(jià)模式確定為險(xiǎn)位超賠再保險(xiǎn)。 本文以環(huán)境責(zé)任再保險(xiǎn)的費(fèi)率厘定為研究對(duì)象,重點(diǎn)研究了環(huán)境責(zé)任再保險(xiǎn)定價(jià)方法的選擇與環(huán)境責(zé)任再保險(xiǎn)模型的建立。在梳理再保險(xiǎn)各種定價(jià)方法的基礎(chǔ)上,考慮到環(huán)境污染損失數(shù)據(jù)的不充分性、風(fēng)險(xiǎn)的可保性、損失數(shù)據(jù)不具有周期性、風(fēng)險(xiǎn)曲線構(gòu)建困難等特點(diǎn),將經(jīng)驗(yàn)定價(jià)法中帕累托定價(jià)法確定為環(huán)境責(zé)任再保險(xiǎn)的定價(jià)法。同時(shí),考慮到環(huán)境污染損失數(shù)據(jù)的厚尾性,將能夠很好地處理厚尾數(shù)據(jù)的極值理論引入到該定價(jià)方法中,重點(diǎn)對(duì)環(huán)境污染引起的責(zé)任損失進(jìn)行了損失分布的擬合,使得環(huán)境責(zé)任再保險(xiǎn)的定價(jià)模型更加精準(zhǔn)。 最后,論文以化學(xué)原料與化學(xué)制品制造業(yè)為例運(yùn)用環(huán)境責(zé)任再保險(xiǎn)費(fèi)率厘定模型測(cè)算出了該行業(yè)的環(huán)境責(zé)任再保險(xiǎn)費(fèi)。全文涵蓋了環(huán)境責(zé)任再保險(xiǎn)費(fèi)率厘定的全過程,通過對(duì)環(huán)境責(zé)任再保險(xiǎn)費(fèi)率模型的構(gòu)建與實(shí)證研究,豐富了環(huán)境責(zé)任再保險(xiǎn)定價(jià)理論,為環(huán)境責(zé)任再保險(xiǎn)費(fèi)率的厘定提供了一定的思路借鑒,為完善我國的環(huán)境責(zé)任保險(xiǎn)體系,推進(jìn)環(huán)境責(zé)任保險(xiǎn)在我國的開展做了一定貢獻(xiàn)。
[Abstract]:As an effective economic policy to deal with environmental pollution, environmental liability insurance has been tested and discussed in some cities in China. In February 2013, as the second national compulsory liability insurance, it was introduced. In the long-term healthy development of environmental liability insurance, the support of reinsurance is very important. The establishment of environmental liability reinsurance not only can spread the risk of the original insurance company. Reasonable pricing is the premise of the development of environmental liability reinsurance system, so this paper will discuss the pricing of environmental liability reinsurance. Before studying the pricing of environmental liability reinsurance, this paper first determines the model of environmental liability reinsurance. Considering the large risk of environmental pollution loss and the insufficient data of environmental pollution loss, in order to maximize the profit of insurance company under certain risk, non-proportional reinsurance is adopted as the mode of environmental liability reinsurance. By comparing the application of the three models under non-proportional reinsurance, the pricing model of environmental liability reinsurance is determined to be risk position excess loss reinsurance. In this paper, the pricing method of environmental liability reinsurance and the establishment of environmental liability reinsurance model are studied. Considering the inadequacies of data on environmental pollution losses, the insurability of risks, the non-periodicity of loss data and the difficulty in constructing risk curves, The Pareto pricing method of empirical pricing method is determined as the pricing method of environmental liability reinsurance. Considering the thick tail of the data of environmental pollution loss, the extreme value theory which can deal with the heavy tail data is introduced into the pricing method. The emphasis is on fitting the loss distribution of the liability loss caused by environmental pollution, which makes the pricing model of environmental liability reinsurance more accurate. Finally, the paper takes the chemical raw materials and chemical products manufacturing industry as an example to calculate the environmental responsibility reinsurance premium by using the environmental liability reinsurance rate determination model. The whole paper covers the whole process of setting the environmental responsibility reinsurance rate. Through the construction and empirical research on the model of environmental liability reinsurance rate, it enriches the pricing theory of environmental liability reinsurance, provides some ideas for the determination of environmental liability reinsurance rate, and improves the environmental liability insurance system in China. The promotion of environmental liability insurance in China has made a certain contribution.
【學(xué)位授予單位】：中國海洋大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F842.69

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