财经理论与实践
財經理論與實踐
재경이론여실천
The Theory and Practice of Finance and Economics
2013年
4期
18~22
,共null页
业务线 经济资本 多元Copula 凹扭曲风险度量
業務線 經濟資本 多元Copula 凹扭麯風險度量
업무선 경제자본 다원Copula 요뉴곡풍험도량
Line of business; Economic capital; Multivariate copula; Concave distortion risk measure
承保风险是保险公司面临的主要风险之一,合理地计量其经济资本有助于提高公司的资本管理能力。采用多元Copula理论对我国某财险公司主要业务线的相依结构进行建模,选择拟合较好的Gauss Copula,在此基础上,使用凹扭曲风险度量测度主要业务线的经济资本。结果显示:凹扭曲风险度量中的Wang风险度量能够根据风险的整体水平灵活地调整所需的经济资本。
承保風險是保險公司麵臨的主要風險之一,閤理地計量其經濟資本有助于提高公司的資本管理能力。採用多元Copula理論對我國某財險公司主要業務線的相依結構進行建模,選擇擬閤較好的Gauss Copula,在此基礎上,使用凹扭麯風險度量測度主要業務線的經濟資本。結果顯示:凹扭麯風險度量中的Wang風險度量能夠根據風險的整體水平靈活地調整所需的經濟資本。
승보풍험시보험공사면림적주요풍험지일,합리지계량기경제자본유조우제고공사적자본관리능력。채용다원Copula이론대아국모재험공사주요업무선적상의결구진행건모,선택의합교호적Gauss Copula,재차기출상,사용요뉴곡풍험도량측도주요업무선적경제자본。결과현시:요뉴곡풍험도량중적Wang풍험도량능구근거풍험적정체수평령활지조정소수적경제자본。
Underwriting risk is one of the main risks faced by insurance companies. Measuring the economic capital of this kind of risk correctly can enhance its ability of capital management. In this paper multivariable Copula is adopted to model the dependency structure of main lines of business (LOBs) of one China P&C insurance company, it is found that Gauss Copula is the best choice. Then, Concave Distortion Risk Measure (CDRM) is used to determine the economic capital of the main LOBs. The result shows that Wang Risk Measure in the class of CDRM can adjust the economic capital flexibly based on the whole risk level.