保险企业集团经济资本总合与分配的实证分析

An empirical analysis on economic capital integration and distribution of insurance enterprises

经济资本日益成为保险企业集团全面风险管理的工具。经济资本管理体系包括边际分布计算、风险总合(risk aggregation)和经济资本分配三个核心部分。本文应用极值理论和联接函数模型探讨了经济资本计算与分配的方法,认为保险损失具有厚尾性特点,保险索赔的尾部特征直接决定了各业务线及保险组合的经济资本数量;保险企业内部各子公司、业务部门、业务线之间具有风险分散效应,在内部管理以及外部监管中,对风险分散化效应的承认可以促进保险公司在更广泛领域开展业务来分散风险、制定科学的绩效考核体系,实现业务发展与风险控制的平衡。

Economic capital management is now an increasingly important risk management tool for insurance enterprises, which is comprised of marginal distribution simulation, risk aggregation and capital allocation. This article uses extreme value theory and copula functions in order to evaluate and allocate economic capital of a reinsurance portfolio. The empirical results suggest that the distribution of claim loss will present fat tail which directly determines economic capital of business lines or a portfolio. The recognition of diversification between business lines, departments and subdivision may promote insurers to diversify their risks in more extensive areas, establish sound performance evaluation system and get the balance between risk and return.