首页 | 新闻公告 | 作者指南 | 编委会 | 关于杂志 | 订阅 | 相关链接 | 下载区 | 联系我们

基于共单调的我国财产保险公司承保风险度量研究
Underwriting Risk Measurement for the China’ Property Insurance Using Comonotonicity
摘要点击 2329  全文点击 47  投稿时间:2012-03-14  修订日期:2012-11-14
  查看/发表评论  下载PDF阅读器
中文关键词  承保风险;经济资本;共单调
英文关键词  Underwriting Risk; Economic Capital; Comonotonicity
基金项目  国家自然科学基金项目710730112
学科分类代码  
作者单位E-mail
王正文 武汉大学经济与管理学院  
田玲 武汉大学经济与管理学院 ltian@whu.edu.cn 
中文摘要
      考虑到财产保险公司承保风险数据不是高频数据和承保业务线通常都大于两条的特点,在市场风险度量中被广泛用于构建不同风险的联合分布的Copula方法并不完全适用于承保风险度量,因此本文通过构建共单调模型探讨了财产保险公司承保风险经济资本度量方法,并以一个真实保险公司为例阐明承保风险经济资本评估过程。在实证中,进一步将共单调模型同Copula模型度量结果进行了比较,发现无论是共单调模型还是Copula模型均能较好的度量不同承保风险之间的风险分散化效应,但是共单调模型能够得到比Copula模型更精确的度量结果。
英文摘要
      Considering the facts that the data are not high frequent ones and the business lines are more than two, the copula models used to construct the joint distributions in market risk measurement are not completely applied to the underwriting risks measurement. So, this paper constructs a comonotonicity model to tentatively discuss on how to measure the economic capital for underwriting risks combined with the characteristics of the underwriting risks. The paper uses a real property insurance to show the process of the assessment process of the underwriting risks. In the empirical analysis, the paper also compares the comonotonicity model and the copula model. Empirical results show that both the comonotonicity model and the copula model can measure the diversification of the business lines. However, the comonotonicity model can get more accurate results than the copula model.
相关附件:   修改稿(匿名).docx  修改说明(匿名).docx  修改稿(匿名) .docx  修改说明(匿名).docx
关闭

版权所有 © 2007 《管理科学学报》
通讯地址:天津市南开区卫津路92号天津大学第25教学楼A座908室 邮编:300072
联系电话/传真:022-27403197 电子信箱: jmstju@263.net