基于Copula-EVT模型的巨灾再保险定价

Catastrophe Reinsurance Pricing Based on Copula-EVT Model

基于巨灾损失具有厚尾分布的特征,采用POT极值模型分别估计两个保险标的的边缘分布,并用二元Copula函数刻画这两个标的的关联性,同时应用Monte Carlo模拟方法估算巨灾再保险的纯保费。通过对洪水损失数据的实证分析表明:Clayton Copula函数能较好地反映两标的间的相关结构;起赔点的设定是影响纯保费的重要因素,且起赔点按条件分位点取值更优更合理。研究结果对保险人开发多元保险标的的巨灾再保险具有重要的参考价值。

Owing to the fat tail of catastrophe losses, marginal distributions of two insurance objects are measured with the Peaks-〇ver-Threshold model of extreme value theory, dependency of insurance objects is analyzed with two-variate copula functions and finally the catastrophe reinsurance pure premium presented through Monte Carlo simulation method. The empirical with the flood loss data is shown that Clayton Copula can better reflect the dependent frame of two insurance objects. The setting of attachment points is an important factor to pure premium and attachment points based on conditional quantile give better and more reasonable conclusions. This paper has important reference values for insurer developing catastrophe reinsurance by multivariate insurance objects.