摘要
考虑各条业务线之间的相关关系,通过构建经济资本配置模型并进行实证分析结果显示:各家财险公司各条业务线经济资本总和占总保费的比例平均为15%;各家公司各条产品业务线的RAROC之间的差异大,即各条业务线之间的风险收益状况差异大,应该对不同的险种采取不同的承保策略和再保险策略,以均衡各条业务线之间的RAROC指标。
Considering the correlation of the various business lines, this paper constructs the eco- nomic capital allocation model. The empirical analysis shows that the average ratio of the total economic capital requirement accounting for the premium is about 15 % in property insurance companies. In addition, the big difference exists between the RAROG of various business line in all companies, i.e. the riskbenefit situation of various business line is different largely. Different strategies should be made in underwriting and reinsurance to balance the RAROC of business lines.
出处
《财经理论与实践》
CSSCI
北大核心
2008年第6期31-35,共5页
The Theory and Practice of Finance and Economics
基金
国家社会科学基金资助项目(08BJY159)
关键词
产品业务线
经济资本
资本配置
business line
economic capital
capital allocation
