再保险精算模型风险评估——基于相依关系的实证研究

Risk Evaluation of A Reinsurance Actuarial Model——An Empirical Research on Dependence Relationship

本文利用极值copula描述承保业务损失之间的相依关系并以此构建再保险精算风险模型。考虑在不同门限值下如何确定两类极端事件的重现期以及在不同免赔额和责任限额下如何厘定超额赔付再保险的保费和线率。重现期、再保险保费和线率这三类风险度量指标都与边际分布和极值copula相关。实证研究表明,风险评估的效果受到相依关系的影响,而传统的独立性假设会导致重现期、再保险保费和线率出现不同程度偏差。

This paper applied the extreme-value copula to describe the dependence structure between underwriting losses, and constructed the reinsurance actuarial model on this basis. The return periods with different thresholds for two extreme events were given. Then the reinsurance premium and bivariate rate on line for excess of loss reinsurance were determined under different deductibles and liability caps. The marginal distributions and the extreme-value copula were both related to the return period, reinsurance premium and rate on line. The empirical results illustrate the impacts of the fitted dependence structure on these risk measures, and the traditional independence assumption may lead to different levels of deviation of the return period, reinsurance premium and the rate on line.