本文選題：雙鏈梯模型　切入點(diǎn)：準(zhǔn)備金風(fēng)險(xiǎn)　出處：《天津財(cái)經(jīng)大學(xué)》2016年碩士論文

【摘要】：進(jìn)入21世紀(jì)以來(lái),在經(jīng)濟(jì)全球化、金融一體化的助推下全球金融市場(chǎng)得以迅猛發(fā)展,然而卻給金融市場(chǎng)帶來(lái)前所未有的波動(dòng)性,如何應(yīng)對(duì)日趨嚴(yán)重的風(fēng)險(xiǎn)已經(jīng)成為金融機(jī)構(gòu)亟待解決的首要任務(wù)。現(xiàn)如今,金融風(fēng)險(xiǎn)的準(zhǔn)確合理性度量引起了政策當(dāng)局、金融機(jī)構(gòu)以及學(xué)術(shù)界的密切關(guān)注。較之于信托、銀行等其他金融機(jī)構(gòu),保險(xiǎn)公司所面臨的風(fēng)險(xiǎn)首當(dāng)其沖。國(guó)際監(jiān)管機(jī)構(gòu)逐步完善保險(xiǎn)公司的規(guī)章制度,歐盟的Solvency Ⅱ通過(guò)對(duì)Solvency Ⅰ進(jìn)行更新,相比于Solvency Ⅰ中的審慎規(guī)則,有了更強(qiáng)的改進(jìn)。新償付能力要求在風(fēng)險(xiǎn)方面更加敏感,與之前的償付能力要求相比也更加復(fù)雜。償付能力資本要求應(yīng)至少覆蓋一些風(fēng)險(xiǎn),其中非壽險(xiǎn)準(zhǔn)備金風(fēng)險(xiǎn)必不可少。然而,關(guān)于未決賠款準(zhǔn)備金風(fēng)險(xiǎn)的測(cè)度,到現(xiàn)在為止幾乎所有提出的隨機(jī)性方法只關(guān)注于終期觀點(diǎn),而非Solvency Ⅱ框架下的一年期觀點(diǎn)。自Solvency Ⅱ監(jiān)管框架將時(shí)間范圍限定為一年之后,國(guó)內(nèi)外學(xué)者眾多對(duì)此進(jìn)行了大量的研究,成果顯著。鑒于該指令規(guī)定的時(shí)間范圍,非壽險(xiǎn)保險(xiǎn)公司的主要工作之一就是要了解如何衡量未決賠款準(zhǔn)備金在一年內(nèi)的波動(dòng)性。一般來(lái)說(shuō),度量波動(dòng)性的方法可分為兩類:解析性方法與隨機(jī)模擬性方法。但總而言之,與解析性方法相比,隨機(jī)性模擬方法具備更多的優(yōu)勢(shì)。這篇文章首先詳細(xì)描述了雙鏈梯模型(DCL),隨后介紹了如何將其在應(yīng)用在準(zhǔn)備金評(píng)估乃至一年期準(zhǔn)備金風(fēng)險(xiǎn)度量方面,最后結(jié)合一組常用數(shù)據(jù),并借助于R統(tǒng)計(jì)軟件,同時(shí)利用bootstrap隨機(jī)模擬方法對(duì)一年期準(zhǔn)備金風(fēng)險(xiǎn)進(jìn)行了定量分析,最終獲得賠付進(jìn)展結(jié)果(CDR)的預(yù)測(cè)分布等相關(guān)信息,研究結(jié)果表明在一年期準(zhǔn)備金風(fēng)險(xiǎn)度量方面,雙鏈梯模型是一種簡(jiǎn)便、實(shí)用且有效的隨機(jī)性模型,給予完善我國(guó)第二代償付能力監(jiān)管制度體系一定的理論支持與參考。
[Abstract]:Since entering the 21st century, with the economic globalization and the financial integration, the global financial market has developed rapidly, but it has brought unprecedented volatility to the financial market. How to deal with the increasingly serious risks has become the most urgent task of financial institutions. Nowadays, the accurate and reasonable measurement of financial risk has attracted the close attention of policy authorities, financial institutions and academia. Banks and other financial institutions, such as insurance companies, bear the brunt of the risks faced by insurance companies. International regulators have gradually improved the rules and regulations of insurance companies. Solvency II of the European Union has updated Solvency I, compared with the prudential rules in Solvency I. New solvency requirements are more risk-sensitive and more complex than previous solvency requirements. Solvency capital requirements should cover at least some risks. Non-life insurance reserve risk is essential. However, almost all of the randomness methods proposed so far focus only on the terminal point of view with regard to the measurement of the risk of pending claims reserve. Since the Solvency 鈪，

本文編號(hào)：1655337