基于R-Vine Copula的财险业务保险风险经济资本测量

Measurement of Insurance Risk Economic Capital of Property Insurance Business Based on R-Vine Copula

经济资本管理是保险公司内部进行风险控制的有效方法。以某财险公司2005—2020年的五条业务线的赔付率作为保险风险的风险因子,用核密度方法刻画边缘分布,分别计量了业务线独立情景、多元Copula和Vine Copula模型下的VaR和TVaR,进而得到防范业务线非预期风险所需要持有的经济资本和相关的分散化收益,并从理论上对比了经济资本与“偿二代”最低资本的测算方法。结果表明:多维变量的建模中,Vine Copula很好地展示了Copula的风险聚合和收益分散效应,大大降低了财险公司为应对保险风险所需持有的财务资源,为财险公司在业务管理和风险管理方面提供了新的思路,同时为最低资本的测算方法从风险度量模型、风险因子选择、相依结构确定和相关系数的改进提供了一定的参考价值。

Economic capital management is an effective method for internal risk control of insurance companies.In this paper,the loss ratio of five business lines of a property insurance company from 2005 to 2020 is used as the risk factor of insurance risk,and the kernel density method is used to depict the marginal distribution.VaR and TVaR under the independent business line,multivariate Copula and Vine Copula models are measured respectively,then we get the economic capital and the relevant decentralized benefits needed to guard against the unexpected risk of the business line,and theoretically compare the calculation methods of economic capital and the minimum capital.The results show that:in the multi-dimensional variable modeling,Vine Copula shows well the risk aggregation and dispersion effect of Copula,which greatly reduces the financial resources held by property insurance companies to deal with insurance risks,and provides new ideas for property insurance companies in business management and risk management.At the same time,it provides some reference value for the measurement method of minimum capital from the aspects of risk measurement model,risk factor selection,dependent structure determination and correlation coefficient improvement.