摘要
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GaussCopula,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。
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.
出处
《财经理论与实践》
CSSCI
北大核心
2013年第4期18-22,共5页
The Theory and Practice of Finance and Economics
基金
国家社科基金项目(08BJY159)
关键词
业务线
经济资本
多元Copula
凹扭曲风险度量
Line of business
Economic capital
Multivariate copula
Concave distortion risk measure
