再保险业务组合风险的实证分析

An Empirical Analysis of the Risk of Reinsurance Business Portfolio

为了充分反映再保险业务线之间的相依性结构以及由此而产生的风险分散化效应,本文用完全正相关假设及学生t联接函数的3种形式来评估一个再保险组合的风险价值(VaR)和尾部条件预期(TCE),认为联接函数的选择对多业务线保险公司的资本需求和分散性效应都有明显影响。学生t类联接函数能够灵活反映多业务线之间相依性的联接函数,随着自由度的变化,可以模拟损失分布之间的不同相依性结构。

In order to present the dependent structure and risk diversification effects among reinsurance business lines, the authors examine each business line＇ s losses by using three variants of the Student-t copula, and assesses the capital requirements in each case using the value-at-risk and tail conditional expectation risk measures. The result shows that there is diversification benefit from holding capital in aggregate for multi-line insurers rather than on an individual business line basis. Finally, the paper analyzes this diversification benefit for the different copula assumptions and argues that the choice of copula has a dramatic effect on both the capital requirement and diversification benefit for a multi-line insurer. In particular, the Student-t copula is a flexible model to show the rich dependent structure among business line as its degree freedom varies.