保险公司最优止损再保险研究:理论模型及实证研究

The Optimal Stop-loss Reinsurance Strategy for Insurance Companies:A Theoretical Model and an Empirical Study

购买再保险是保险公司进行风险管理和风险控制的重要手段,其中确定最优分保额度是保险公司确定再保险的核心。本文通过建立最优再保保费——自留风险优化模型,研究了保险公司最优止损再保险策略问题,借助共单调理论得到了最优自留风险额度应该满足的方程以及该方程模拟求解的步骤,并选取了2002年至2014年人保财险公司的历史数据进行实证研究。通过实证研究发现,当置信水平为5%时测算得到的分出比例为38.15%,当置信水平为10%时测算得到的分出比例为36.35%;具体到不同业务线,货物运输险的分出比例最高,责任险和企业财产险的分出比例次之,机动车辆险的分出比例最低。

Purchasing reinsurance is a very important method to manage and control risks for insurance companies, and the calculation of optimal reinsurance amount is key for deciding on reinsurance strategy. This paper studied the optimal stop-loss reinsurance strategy by constructing an optimal reinsurance premium-risk retention model. We also used the comonotonicity theory to get the function which the optimal risk retention satisfied and got the simulation solving procedures. In this paper,a case study of PICC since 2002 to 2014 was also included. We found that the reinsurance rate calculated in the paper was 38.15% at a confidence level of 5% and 36.35% at a confidence level of 10%, and for different business lines, the reinsurance rate of cargo transport insurance was the highest reinsurance rate of liability insurance and corporate property insurance were lower, and the reinsurance rate one, the of vehicle insurance was the lowest one.