基于损失分布的巨灾再保险偿付规模与定价研究

Sensitivity between Catastrophe Reinsurance Solvency and Rate Based on the Catastrophe Loss in China

本文从再保险人角度对我国巨灾再保险偿付规模与费率的敏感性进行了研究。为此,引入资产—负债—利率动态模型并根据我国地震、洪水损失分布,采用蒙特卡罗方法对我国巨灾再保险偿付规模与公平定价费率的敏感性进行了实证研究,研究结果表明:提高巨灾再保险的偿付规模,能够降低巨灾再保险公平定价费率,从而得到更适合市场的可行性定价,使投保人更愿意购买巨灾保险;对于市场可接受的费率,我国地震灾害再保险适宜的偿付规模在103亿元量级,而洪水灾害再保险适宜规模在105亿元量级,两者的差异主要是由我国地震、洪水损失分布不同造成的。基于上述实证研究结果并结合我国国情,提出了我国开展巨灾再保险的发展策略与政策建议。

Due to high frequency and great loss of natural disasters occurred in China, catastrophic insurance and reinsurance are in great demand. This paper concentrates on the sensitivity between catastrophic reinsurance solvency and rate based on the earthquake loss and flood loss in China. For this purpose, catastrophe reinsurance rates are evaluated by Monte Carlo simulation and the parameter sensitivities of solvency and asset/liability ratio on the reinsurance rates are investigated. According to the acceptable rate by the market and catastrophe loss distribution in China, the simulation results show that earthquake reinsurance solvency is required to be ￥ 100 billion and flood reinsurance solvency to be ￥ 10000 billion. The great gap of both scales is mainly due to the difference of earthquake loss distribution and flood loss distribution. Based on the research in the paper, policy suggestions are offered on the implementation of catastrophe reinsurance in China.