基于Haezendonck-Goovaerts风险度量的资本配置

Capital Allocation Based on Haezendonck-Goovaerts Risk Measure

用Haezendonck-Goovaerts风险度量方法解决保险公司的资产配置问题,在设定保险人理赔总额上限的情况下,基于Haezendonck-Goovaerts风险度量评估短期个别风险模型的个体理赔风险,得到了配置给个体风险的资本金额、相应的Orlicz分位点,以及保险人财务安全条件下的门限值、个体风险资本金额、置信水平与保险人容忍上限的关系式.

Haezendonck-Goovaerts risk measure was used to investigate the capital allocation in the insurance company.The individual risk in temporal individual risk model was evaluated based on Haezendonck-Goovaerts risk measure in the case of the insurer＇s total claim ceiling given.The allocated capital for the individual risk and the corresponding Orlicz quantile were computed.Then the relationships between the threshold,the individual risk capital,the confidence level and the insurer＇s tolerance upper bound were elaborated in the case of the insurer＇s financial safety.Finally,the numerical simulation and comparative analysis were provided.It provides the basis for the decisionmaking for the capital allocation in the insurance company.