【摘要】：準(zhǔn)備金是一般保險(xiǎn)公司最大的負(fù)債項(xiàng)目,提留充足的準(zhǔn)備金對(duì)保險(xiǎn)公司的經(jīng)營(yíng)非常重要。隨著各種因素不確定性的增加,僅僅單一的準(zhǔn)備金計(jì)提結(jié)果并不能滿足監(jiān)管機(jī)構(gòu)的監(jiān)管要求和公司風(fēng)險(xiǎn)管理需要。需要一種方法來(lái)刻畫(huà)準(zhǔn)備金風(fēng)險(xiǎn)。傳統(tǒng)的隨機(jī)準(zhǔn)備金模型一方面可以給出準(zhǔn)備金估計(jì)結(jié)果,另一方面還可以給出準(zhǔn)備金估計(jì)不確定性的度量。絕大多數(shù)的隨機(jī)準(zhǔn)備金模型,可以依據(jù)數(shù)理統(tǒng)計(jì)推導(dǎo)方法,也可以依據(jù)bootstrap方法,還可以依據(jù)貝葉斯分析來(lái)評(píng)估準(zhǔn)備金的不確定性。 可以從多種角度審視準(zhǔn)備金風(fēng)險(xiǎn)。在傳統(tǒng)的隨機(jī)準(zhǔn)備金模型中,是通過(guò)計(jì)算所有進(jìn)展年未決賠款的不確定性來(lái)刻畫(huà)準(zhǔn)備金風(fēng)險(xiǎn)的。為了與其他風(fēng)險(xiǎn)度量方法相一致,償付能力Ⅱ下要求將時(shí)間范圍限制在一年以內(nèi)。如何對(duì)一年以內(nèi)的準(zhǔn)備金風(fēng)險(xiǎn)進(jìn)行度量,隨機(jī)模擬技術(shù)是最佳選擇。往往是在基礎(chǔ)的隨機(jī)準(zhǔn)備金模型基礎(chǔ)上,對(duì)未來(lái)一年的賠付進(jìn)行模擬,然后計(jì)算準(zhǔn)備金。整個(gè)的風(fēng)險(xiǎn)內(nèi)容包括未來(lái)一年期風(fēng)險(xiǎn)和未來(lái)估計(jì)參數(shù)風(fēng)險(xiǎn),比較接近于償付能力Ⅱ?qū)?zhǔn)備金風(fēng)險(xiǎn)的定義。 本文以超散布泊松分布模型為基礎(chǔ),構(gòu)建隨機(jī)準(zhǔn)備金評(píng)估模型。采用貝葉斯估計(jì)方法,使用的后驗(yàn)分布模擬工具是RJMCMC(Reversible jump MCMC)。使用該方法可以尋找最優(yōu)的尾部進(jìn)展年水平擬合曲線。在此模型基礎(chǔ)上,采用重復(fù)準(zhǔn)備金(Re-reserving)技術(shù)用賠付進(jìn)展結(jié)果和重復(fù)準(zhǔn)備金兩個(gè)隨機(jī)變量刻畫(huà)準(zhǔn)備金風(fēng)險(xiǎn)。這種度量模式可以捕獲一年期準(zhǔn)備金風(fēng)險(xiǎn),為保險(xiǎn)公司資產(chǎn)負(fù)債管理提供決策依據(jù)。
[Abstract]:Reserves are the largest liability of an insurance company, and it is very important to keep sufficient reserves for the operation of an insurance company. With the increasing uncertainty of various factors, a single reserve can not meet the regulatory requirements and corporate risk management needs. A method is needed to characterize reserve risk. On the one hand, the traditional stochastic reserve model can give the result of reserve estimation, on the other hand, it can also give the measure of uncertainty of reserve estimation. The vast majority of stochastic reserve models can be derived from mathematical statistics, bootstrap methods and Bayesian analysis to evaluate the uncertainty of reserves. Reserve risk can be viewed from a variety of perspectives. In the traditional stochastic reserve model, the reserve risk is described by calculating the uncertainty of all outstanding claims in the progress year. In order to be consistent with other risk measures, solvency II requires a time limit of less than one year. How to measure the reserve risk within one year, stochastic simulation technique is the best choice. On the basis of the stochastic reserve model, the compensation in the next year is simulated, and then the reserve is calculated. The whole risk includes future one-year risk and future estimated parametric risk, which is close to the definition of reserve risk in solvency II. In this paper, a stochastic reserve evaluation model is constructed based on the superscattered Poisson distribution model. Using Bayesian estimation method, the posteriori distribution simulation tool used is RJMCMC (Reversible jump MCMC). This method can be used to find the optimal horizontal fitting curve of tail progress year. On the basis of this model, duplicate reserve (Re-reserving) technique is used to describe the reserve risk with two random variables, the compensation progress result and the duplicate reserve. This measurement model can capture one-year reserve risk and provide decision basis for asset liability management of insurance companies.
【學(xué)位授予單位】：天津財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F840.3;F224

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