本文選題：最優(yōu)巨災(zāi)再保險 + 下側(cè)風(fēng)險��； 參考：《湖南大學(xué)》2014年碩士論文

【摘要】：面對近年頻發(fā)的自然災(zāi)害，人類生命財產(chǎn)與自然生態(tài)環(huán)境均受到嚴(yán)重威脅，巨災(zāi)風(fēng)險的防范與控制成為全球亟待解決的問題。多國政府逐漸意識到商業(yè)保險在巨災(zāi)防控方面的重要性，然而由于保險市場發(fā)達(dá)程度、巨災(zāi)管理體制的差異，各國對商業(yè)保險技能和保險業(yè)資本實(shí)力的運(yùn)用大相徑庭。目前，我國已進(jìn)入巨災(zāi)保險制度建設(shè)的起步階段，在逐步開展“制度設(shè)計、設(shè)立試點(diǎn)、推動立法”工作的同時，保險公司對巨災(zāi)承保風(fēng)險的管理策略需要迫切變革，巨災(zāi)再保險將成為必要的風(fēng)險管理工具。 目前學(xué)術(shù)界對最優(yōu)巨災(zāi)再保險配置的研究較少，未能將巨災(zāi)風(fēng)險對原保險人經(jīng)營效益的影響融入相關(guān)研究。現(xiàn)有的最優(yōu)再保險研究，多為探討最優(yōu)的再保險類型，很少給出具體的再保險配置方案，，欠缺對再保險方案的效用進(jìn)行量化解析。同時，對于某一類型災(zāi)害的巨災(zāi)風(fēng)險缺乏明確定義，不能判別再保險對巨災(zāi)風(fēng)險轉(zhuǎn)移的作用。此外，對原保險人承保風(fēng)險與相應(yīng)利潤的研究也較為粗略。針對以上最優(yōu)巨災(zāi)再保險研究中的盲點(diǎn)，本文將通過度量保險業(yè)務(wù)經(jīng)營的下側(cè)風(fēng)險，評估巨災(zāi)風(fēng)險下的承保利潤率，對于原保險人最優(yōu)巨災(zāi)再保險配置原理進(jìn)行探索和改進(jìn)。 本文首先介紹了最優(yōu)再保險的相關(guān)理論，分析各類最優(yōu)配置原則、下側(cè)風(fēng)險度量工具的優(yōu)勢、不足及可改進(jìn)的方向。其次，結(jié)合“均值-方差”原則與效用理論的方法優(yōu)勢，運(yùn)用下偏矩改進(jìn)風(fēng)險調(diào)整利潤（DRAP）模型，以變換損失再保險的事故超賠層為研究對象，在模型中全面融入原保險人再保險后收入與支出的各項要素，評估承保巨災(zāi)風(fēng)險，以最大化DRAP作為最優(yōu)巨災(zāi)再保險配置的選擇標(biāo)準(zhǔn)；進(jìn)而對模型參數(shù)進(jìn)行敏感性分析，構(gòu)造巨災(zāi)再保險方案的有效邊界，驗(yàn)證最優(yōu)巨災(zāi)再保險配置的有效性。最后，為了體現(xiàn)模型的實(shí)用性，論文針對某財險公司森林保險業(yè)務(wù)進(jìn)行最優(yōu)森林火災(zāi)巨災(zāi)再保險配置方案分析，基于一系列參數(shù)假設(shè)，利用Monte Carlo模擬法，通過給定森林保險火災(zāi)巨災(zāi)再保險的最低自留風(fēng)險點(diǎn)，運(yùn)用半方差度量保險公司森林保險業(yè)務(wù)的承保下側(cè)風(fēng)險并構(gòu)造DRAP模型，在目標(biāo)巨災(zāi)再保層組合中擇選最優(yōu)配置方案，確定最優(yōu)自留額與分保限額，并分析再保方案的有效邊界及參數(shù)敏感性，實(shí)現(xiàn)保險公司承保風(fēng)險與業(yè)務(wù)利潤的最優(yōu)均衡。
[Abstract]:In the face of frequent natural disasters in recent years, human life and property and natural ecological environment have been seriously threatened. The prevention and control of catastrophe risk has become a global problem to be solved urgently. Many governments gradually realize the importance of commercial insurance in catastrophe prevention and control. However, due to the degree of development of insurance market and the difference of catastrophe management system, the use of commercial insurance skills and insurance capital strength varies greatly in different countries. At present, our country has entered the initial stage of the construction of catastrophe insurance system. With the gradual development of "system design, establishment of pilot projects and promotion of legislation", the management strategies of insurance companies for catastrophe insurance risks need to be urgently changed. Catastrophe reinsurance will become a necessary risk management tool. At present, the academic research on optimal catastrophe reinsurance allocation is less, and the impact of catastrophe risk on the original insurer's operating efficiency has not been integrated into the relevant research. Most of the existing research on optimal reinsurance is to discuss the optimal reinsurance type, but few specific reinsurance configuration schemes are given, and the utility of reinsurance schemes is not analyzed quantitatively. At the same time, there is no clear definition of catastrophe risk of a certain type of disaster, which can not distinguish the role of reinsurance on catastrophe risk transfer. In addition, the original insurer underwriting risk and the corresponding profits are also relatively rough. Aiming at the blind spot in the study of the optimal catastrophe reinsurance, this paper will evaluate the underwriting profit rate under the catastrophe risk by measuring the lower risk of insurance business operation, and explore and improve the principle of optimal catastrophe reinsurance allocation of the original insurer. This paper first introduces the relevant theories of optimal reinsurance, analyzes the principles of optimal allocation, the advantages and disadvantages of the lower side risk measurement tools, and the direction to be improved. Secondly, combined with the "mean-variance" principle and the advantage of utility theory, the model of risk adjustment profit is improved by using the lower skew moment, and the accident overloss layer of change loss reinsurance is taken as the research object. In the model, the factors of income and expenditure after reinsurance of the original insurer are fully integrated, and the risk of catastrophe insurance is evaluated to maximize the DRAP as the selection criterion of optimal reinsurance allocation, and then the sensitivity of the model parameters is analyzed. The efficient boundary of catastrophe reinsurance scheme is constructed to verify the effectiveness of optimal catastrophe reinsurance scheme. Finally, in order to reflect the practicability of the model, this paper analyzes the optimal forest fire catastrophe reinsurance scheme for a property insurance company. Based on a series of parameter assumptions, Monte Carlo simulation method is used. By giving the lowest retained risk point of forest insurance fire catastrophe reinsurance, using semi-variance to measure the underwriting risk of forest insurance business of insurance companies and to construct DRAP model, the optimal allocation scheme is selected in the target catastrophe reinsurance layer combination. The optimal retention amount and reinsurance limit are determined, and the effective boundary and parameter sensitivity of the reinsurance scheme are analyzed to achieve the optimal equilibrium between underwriting risk and business profit.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F224;F842.64

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