非预期损失与极端损失视角下的贷款保险定价方法

Loan Insurance Pricing upon the Unexpected Loss & Extreme Loss

较之表现为贷款预期损失的信贷风险,商业银行自身对表现为贷款非预期损失与极端损失的信贷风险的覆盖能力非常有限。基于对信贷风险计量的新认识,充分考虑信贷资产非预期损失与极端损失的各种情况,构建起的贷款保险定价模型,能改善贷款保险价格的定价依据,对完善信贷保险机制、创新信贷风险转移定价理论具有积极的现实意义。研究发现:表现为贷款非预期损失与极端损失的信贷风险更适合被保险业务转移,且基于此制定的贷款保险价格存在可能的价格优势。研究同时结合国家对金融保险业的改革愿景,提出了加快贷款保险业务发展、完善贷款保险业务价格形成条件与形成机制的相关政策建议。

Compared with the expected losses of loans as a credit risk, banks＇ ability for covering loan＇ s unexpected losses and extreme losses is very limited. Based on the new knowledge about credit risk, this thesis created a loan insurance pricing model which could improve on the main bases for loan insurance price, giving full consideration to various situations of unexpected losses and extreme losses. This model would positively develop the loan insurance business and innovate the transfer pricing theory of credit risk. Based on the examples, this paper found that the loan＇ s unexpected losses and extreme losses were better transferred through insurance, and the loan insurance price based on loan＇ s unexpected losses and extreme losses gained possible advantages in prices. With a combination of the reform vision for China＇ s finance and insurance industry, the study also suggested that relevant department should developloan insurance business faster than before, and improve the conditions and mechanism of loan insurance pricing.