發(fā)布時(shí)間：2018-09-19 16:46

【摘要】：在世界范圍內(nèi),越來越多的金融機(jī)構(gòu)在其權(quán)限內(nèi)采用基于風(fēng)險(xiǎn)度量的定量風(fēng)險(xiǎn)管理。本文將VaR這一經(jīng)濟(jì)資本度量方法結(jié)合傳統(tǒng)的精算技術(shù),提出新的風(fēng)險(xiǎn)責(zé)任準(zhǔn)備金的計(jì)算方法,并且將其與保監(jiān)會(huì)規(guī)定的法定責(zé)任準(zhǔn)備金和最低償付能力額度聯(lián)系起來,通過比較可知這種新方法與傳統(tǒng)監(jiān)管規(guī)定方法孰優(yōu)孰劣,從而為保險(xiǎn)公司和保監(jiān)會(huì)提供了風(fēng)險(xiǎn)管理的新思路。首先進(jìn)行問題的背景、國(guó)內(nèi)外的研究現(xiàn)狀、經(jīng)濟(jì)資本的概念以及經(jīng)濟(jì)資本風(fēng)險(xiǎn)度量VaR方法的介紹。然后以一張定期壽險(xiǎn)的保單為例,按照精算規(guī)定,計(jì)算出該保單在一個(gè)特定評(píng)估時(shí)點(diǎn)的法定準(zhǔn)備金和最低償付能力額度。核心內(nèi)容是構(gòu)造經(jīng)濟(jì)資本度量VaR的風(fēng)險(xiǎn)責(zé)任準(zhǔn)備金模型。首先推導(dǎo)建立風(fēng)險(xiǎn)責(zé)任準(zhǔn)備金模型,解釋模型的隨機(jī)變量及其假設(shè),然后仍以同樣一張保單為例,針對(duì)模型的各個(gè)隨機(jī)變量用matlab軟件進(jìn)行蒙特卡羅隨機(jī)模擬的實(shí)證分析,采用情景測(cè)試方法得到一些可能的情形甚至極端情形下采用本文模型得到的風(fēng)險(xiǎn)責(zé)任準(zhǔn)備金的結(jié)果。最后改變這張保單的投保人年齡、性別、保險(xiǎn)期限等因素,再分別計(jì)算其風(fēng)險(xiǎn)責(zé)任準(zhǔn)備金。通過將在一定風(fēng)險(xiǎn)容忍度(如95%)下風(fēng)險(xiǎn)責(zé)任準(zhǔn)備金減去法定責(zé)任準(zhǔn)備金這一期望值得到的結(jié)果與最低償付能力額度作比較,分析得出,當(dāng)前保監(jiān)會(huì)規(guī)定的最低償付能力額度的計(jì)提過于籠統(tǒng),不能精確地衡量不同投保人以及不同投保年限甚至不同產(chǎn)品的實(shí)際所需要的經(jīng)濟(jì)資本,粗略統(tǒng)計(jì)雖方便了監(jiān)管當(dāng)局的審查,卻可能與實(shí)際不符從而保險(xiǎn)公司不能獲得最大收益。如果每個(gè)公司能夠建立起這樣一種計(jì)算風(fēng)險(xiǎn)責(zé)任準(zhǔn)備金的模型計(jì)算出公司整體的經(jīng)濟(jì)資本,就能夠更有效地覆蓋非預(yù)期損失帶來的風(fēng)險(xiǎn),同時(shí)也增加了公司獲得利潤(rùn)最大化的可能性。
[Abstract]:In the world, more and more financial institutions adopt quantitative risk management based on risk measurement. This paper puts forward a new calculation method of risk liability reserve by combining VaR, an economic capital measure method, with traditional actuarial technology, and links it with the statutory liability reserve and the minimum solvency limit stipulated by the Insurance Regulatory Commission. The comparison shows that the new method is better than the traditional regulatory method, which provides a new way of risk management for insurance companies and CIRC. Firstly, the background of the problem, the current research situation at home and abroad, the concept of economic capital and the introduction of VaR method of economic capital risk measurement are introduced. Then, taking a term life insurance policy as an example, according to the actuarial regulations, the statutory reserve and minimum solvency of the policy at a specific evaluation point are calculated. The core content is to construct the risk liability reserve model of economic capital measurement VaR. First, the risk liability reserve model is established to explain the random variables and their assumptions. Then, taking the same insurance policy as an example, the Monte Carlo stochastic simulation of each random variable of the model is carried out with matlab software. Using the scenario test method, the results of the risk liability reserve obtained in some possible cases, even in extreme cases, are obtained by using the model in this paper. Finally, change the insured's age, gender, insurance term and other factors, and calculate the risk liability reserve. By comparing the expected value of risk liability reserve minus statutory liability reserve at a certain risk tolerance (e.g. 95%) with the minimum solvency level, it is concluded that, At present, the minimum solvency limit stipulated by the Insurance Regulatory Commission is too general to accurately measure the actual economic capital required by different policy holders, different insured years and even different products. Rough statistics, while facilitating regulatory scrutiny, may not be in line with the actual situation, and insurers will not be able to get the most out of their profits. If each company can establish such a model for calculating the risk liability reserve to calculate the overall economic capital of the company, it can more effectively cover the risks associated with unexpected losses. It also increases the likelihood that companies will maximize their profits.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F840

【共引文獻(xiàn)】

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