本文選題：雙鏈梯模型　切入點：準備金風險　出處：《天津財經大學》2016年碩士論文

【摘要】：進入21世紀以來,在經濟全球化、金融一體化的助推下全球金融市場得以迅猛發(fā)展,然而卻給金融市場帶來前所未有的波動性,如何應對日趨嚴重的風險已經成為金融機構亟待解決的首要任務�，F(xiàn)如今,金融風險的準確合理性度量引起了政策當局、金融機構以及學術界的密切關注。較之于信托、銀行等其他金融機構,保險公司所面臨的風險首當其沖。國際監(jiān)管機構逐步完善保險公司的規(guī)章制度,歐盟的Solvency Ⅱ通過對Solvency Ⅰ進行更新,相比于Solvency Ⅰ中的審慎規(guī)則,有了更強的改進。新償付能力要求在風險方面更加敏感,與之前的償付能力要求相比也更加復雜。償付能力資本要求應至少覆蓋一些風險,其中非壽險準備金風險必不可少。然而,關于未決賠款準備金風險的測度,到現(xiàn)在為止幾乎所有提出的隨機性方法只關注于終期觀點,而非Solvency Ⅱ框架下的一年期觀點。自Solvency Ⅱ監(jiān)管框架將時間范圍限定為一年之后,國內外學者眾多對此進行了大量的研究,成果顯著。鑒于該指令規(guī)定的時間范圍,非壽險保險公司的主要工作之一就是要了解如何衡量未決賠款準備金在一年內的波動性。一般來說,度量波動性的方法可分為兩類:解析性方法與隨機模擬性方法。但總而言之,與解析性方法相比,隨機性模擬方法具備更多的優(yōu)勢。這篇文章首先詳細描述了雙鏈梯模型(DCL),隨后介紹了如何將其在應用在準備金評估乃至一年期準備金風險度量方面,最后結合一組常用數(shù)據(jù),并借助于R統(tǒng)計軟件,同時利用bootstrap隨機模擬方法對一年期準備金風險進行了定量分析,最終獲得賠付進展結果(CDR)的預測分布等相關信息,研究結果表明在一年期準備金風險度量方面,雙鏈梯模型是一種簡便、實用且有效的隨機性模型,給予完善我國第二代償付能力監(jiān)管制度體系一定的理論支持與參考。
[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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