基于共单调的财产保险公司承保风险度量研究

Underwriting risk measurement for China'property insurance using comonotonicity methods

考虑到财产保险公司承保风险数据不是高频数据和承保业务线通常都大于两条的特点,在市场风险度量中被广泛用于构建不同风险的联合分布的Copula方法并不完全适用于承保风险度量,因此本文通过构建共单调模型探讨了财产保险公司承保风险经济资本度量方法,并以一个真实保险公司为例阐明承保风险经济资本评估过程.在实证中,进一步将共单调模型同Copula模型度量结果进行了比较,发现无论是共单调模型还是Copula模型均能较好的度量不同承保风险之间的风险分散化效应,但是共单调模型能够得到比Copula模型更精确的度量结果.

Considering the facts that the data are not high frequent ones and the business lines are more than two,the copula models used to construct the joint distributions in market risk measurement are not completely applied to the underwriting risks measurement,this paper constructs a comonotonicity model to tentatively discuss how to measure the economic capital for underwriting risks combined with the characteristics of the underwriting risks.The paper uses a real property insurance to show the process of the assessment process of the underwriting risks.In the empirical analysis,the paper also compares the comonotonicity model and the copula model.Empirical results show that both the comonotonicity model and the copula model can measure the diversification of the business lines.However,the comonotonicity model can get more accurate results than the copula model.