CAJ | 학술논문

应用聚合风险模型和蒙特卡罗模拟技术，计算不同情况下的破产概率，并对结果进行了对比分析。发现初始准备金在开始时间段对破产概率影响较大，不同初始准备金（其它参数相同）下的破产概率随着时间的变化逐渐收敛到终极破产概率；通过建立某一置信度下的破产概率VaR受限模型，实现对不同保险产品参数和经营策略下的破产风险进行对比和控制。
응용취합풍험모형화몽특잡라모의기술，계산불동정황하적파산개솔，병대결과진행료대비분석。발현초시준비금재개시시간단대파산개솔영향교대，불동초시준비금（기타삼수상동）하적파산개솔수착시간적변화축점수렴도종겁파산개솔；통과건립모일치신도하적파산개솔VaR수한모형，실현대불동보험산품삼수화경영책략하적파산풍험진행대비화공제。
By the method of Monte Carlo simulation and polymeric risk model, the paper resolves and analyses the bankruptcy probability under different scenarios, finds that the initial reserve has a big influence on the bankruptcy probability in the beginning period, and the bankruptcy probability with different initial reserves in the limited period will gradually reach the ultimate bankruptcy probability. With the application of VaR, the paper argues that this method can compare and analyze the risk of bankruptcy under different insurance product parameters and strategies.