本文選題：經(jīng)濟資本 + 最優(yōu)配置�。� 參考：《復(fù)旦大學(xué)》2013年碩士論文

【摘要】：保險公司持有經(jīng)濟資本,不僅僅是為了應(yīng)對監(jiān)管機構(gòu)的監(jiān)管需要,而且也是為了保證公司的償付能力和確保公司持續(xù)經(jīng)營的需要。持有大量的經(jīng)濟資本固然很好,但是這并不是沒有成本。因此,怎樣確定公司總的經(jīng)濟資本,如何對各個業(yè)務(wù)線配置合適的經(jīng)濟資本成為了保險業(yè)普遍關(guān)注的問題。 文章主要分為兩大部分,理論研究部分和實證研究部分。 理論研究部分,我們對金融企業(yè)如何確定公司總的經(jīng)濟資本,如何將經(jīng)濟資本配置到不同的業(yè)務(wù)線的問題進行了研究。對于如何確定公司的總的經(jīng)濟資本,我們給出了風(fēng)險測度函數(shù)下經(jīng)濟資本的定義與計算方法。對于如何將經(jīng)濟資本配置到不同的業(yè)務(wù)線的問題,我們將一步一步來解決。首先,我們提出了一個資本配置的標(biāo)準(zhǔn),那就是對每個業(yè)務(wù)線配置的資本應(yīng)該和該業(yè)務(wù)線的風(fēng)險充分接近。然后,在這個標(biāo)準(zhǔn)下,我們建立了最優(yōu)化資本配置模型。因此,資本配置問題轉(zhuǎn)化成了求解該最優(yōu)化問題。通過給定偏差度量函數(shù)為二次函數(shù),我們得到了二次最優(yōu)準(zhǔn)則下的資本配置問題。并給出了該二次最有資本配置模型的解的一般形式。進一步地,我們通過對模型中的參數(shù)形式的不同選取,定義了兩種資本配置模型,即業(yè)務(wù)線驅(qū)動資本配置模型和總投資組合驅(qū)動配置模型。 實證研究部分,我們選取基于總投資組合驅(qū)動配置模型進行實證分析,并且我們分析的對象是中國人民財產(chǎn)保險股份有限公司。我們通過假設(shè)業(yè)務(wù)線的損失向量服從多元橢圓類分布,并且推導(dǎo)出了兩個基于不同參數(shù)選擇下的總投資組合驅(qū)動配置模型解的具體形式。文中將利用這兩個模型進行實證分析。首先,我們通過建立多元Copula模型來度量不同業(yè)務(wù)線之間的相關(guān)關(guān)系。通過對Copula函數(shù)中的參數(shù)估計得出基于Copula函數(shù)的相關(guān)系數(shù)矩陣。然后,通過建立的Copula函數(shù),利用蒙特卡洛模擬的方法計算出公司總的經(jīng)濟資本,這里的風(fēng)險測量函數(shù)為CTE(尾部條件期望)。最后,我們利用上述兩個模型分別對基于多元正態(tài)Copula函數(shù)和多元學(xué)生t Copula函數(shù)所測算的公司總的經(jīng)濟資本進行了資本配置。結(jié)果表明,基于學(xué)生t Copula函數(shù)的資本配置能夠很好的描述各個業(yè)務(wù)線的厚尾特點。因此,我們的最優(yōu)化資本配置模型為保險公司如何配置經(jīng)濟資本提供了很好的依據(jù)和解決辦法。
[Abstract]:Insurance companies hold economic capital not only to meet the regulatory needs of regulators, but also to ensure the solvency of the company and the need to ensure that the company continues to operate. It's good to have a lot of economic capital, but it's not without costs. Therefore, how to determine the total economic capital of the company and how to allocate the appropriate economic capital to each line of business has become a common concern of the insurance industry. The article is divided into two parts, theoretical research and empirical research. In the part of theoretical research, we study the problem of how to determine the total economic capital of financial enterprises and how to allocate economic capital to different business lines. As to how to determine the total economic capital of the company, we give the definition and calculation method of the economic capital under the risk measure function. We will solve the problem of how to allocate economic capital to different business lines step by step. First of all, we propose a standard of capital allocation, that is, the allocation of capital for each line of business should be close to the risk of that line of business. Then, under this standard, we establish the optimal capital allocation model. Therefore, the capital allocation problem is transformed into solving the optimization problem. By giving the deviation metric function as a quadratic function, we obtain the capital allocation problem under the quadratic optimal criterion. The general form of the solution of the quadratic most capital allocation model is given. Furthermore, we define two kinds of capital allocation models, namely, business line driven capital allocation model and total portfolio driven allocation model. In the part of empirical research, we choose the total portfolio driven allocation model for empirical analysis, and the object of our analysis is China people's property Insurance Co., Ltd. By assuming that the loss vector of the service line is distributed from the multivariate elliptic class, we derive two solutions of the total portfolio driven configuration model based on different parameter selection. This paper will use these two models for empirical analysis. Firstly, we establish multiple Copula model to measure the correlation between different business lines. The correlation coefficient matrix based on Copula function is obtained by estimating the parameters of Copula function. Then, by using the Copula function, the total economic capital of the company is calculated by Monte Carlo simulation. The risk measurement function is CTE (tail conditional expectation). Finally, we use the above two models to allocate the total economic capital of the company based on the multivariate normal Copula function and the multivariate student t-Copula function, respectively. The results show that the capital allocation based on the student t Copula function can well describe the characteristics of the thick tail of each business line. Therefore, our optimal capital allocation model provides a good basis and solution for insurance companies to allocate economic capital.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F842.3;F224

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本文編號：2035132