本文選題：最優(yōu)保險(xiǎn)　切入點(diǎn)：風(fēng)險(xiǎn)約束　出處：《南京大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：目前我國(guó)的經(jīng)濟(jì)發(fā)展步入新常態(tài),面對(duì)"三期疊加"的挑戰(zhàn),保險(xiǎn)業(yè)卻依舊保持兩位數(shù)的高速發(fā)展。在保險(xiǎn)行業(yè)蓬勃發(fā)展的同時(shí),以風(fēng)險(xiǎn)為導(dǎo)向的"償二代"監(jiān)管體系對(duì)保險(xiǎn)公司的風(fēng)險(xiǎn)防范能力也提出了更高的要求。保險(xiǎn)公司需要進(jìn)行必要的研究提高風(fēng)險(xiǎn)管理能力以適應(yīng)這種新變化,推動(dòng)和深化保險(xiǎn)領(lǐng)域市場(chǎng)化改革。在保險(xiǎn)業(yè)風(fēng)險(xiǎn)管理當(dāng)中,合同設(shè)計(jì)是最為重要的環(huán)節(jié),關(guān)于"最優(yōu)保險(xiǎn)"合約設(shè)計(jì)的問(wèn)題越來(lái)越得到重視。目前關(guān)于最優(yōu)保險(xiǎn)的學(xué)術(shù)研究主要是針對(duì)被保險(xiǎn)人,即最大化被保險(xiǎn)人的期望效用,從而獲得不同保費(fèi)計(jì)算原理下的最優(yōu)保險(xiǎn)形式,但是很少有學(xué)術(shù)研究關(guān)注保險(xiǎn)公司的外在風(fēng)險(xiǎn),所以保險(xiǎn)公司在設(shè)計(jì)最優(yōu)保險(xiǎn)合約的過(guò)程中既要考慮被保險(xiǎn)人的財(cái)富效用最大化,又要將保險(xiǎn)人未來(lái)可能發(fā)生的風(fēng)險(xiǎn)控制在一定范圍內(nèi),不斷完善自身的風(fēng)險(xiǎn)管理能力。本文以被保險(xiǎn)人的期望效用最大化為規(guī)劃目標(biāo),介紹和探討了關(guān)于保險(xiǎn)人在風(fēng)險(xiǎn)約束下的最優(yōu)保險(xiǎn)合約設(shè)計(jì)問(wèn)題。本文分為六章,第一章為緒論,首先介紹了本文研究的背景和保險(xiǎn)及其相關(guān)的預(yù)期基本效能指標(biāo)和風(fēng)險(xiǎn)態(tài)度的基本概念,概述了關(guān)于最優(yōu)保險(xiǎn)合約設(shè)計(jì)相關(guān)理論的研究結(jié)果,并做進(jìn)一步探討。本文在被保險(xiǎn)人期望效用最大化的規(guī)劃目標(biāo)下對(duì)保險(xiǎn)人分別添加了三類風(fēng)險(xiǎn)約束條件,即在被保險(xiǎn)人期望終值財(cái)富最大化的目標(biāo)下,也要將保險(xiǎn)公司未來(lái)可能發(fā)生的風(fēng)險(xiǎn)控制在一定范圍內(nèi)。第二章中對(duì)保險(xiǎn)人的風(fēng)險(xiǎn)約束條件采用約束破產(chǎn)概率的形式,第三章中將保險(xiǎn)的外在期望損失控制在一定的容忍度之內(nèi),對(duì)于保險(xiǎn)人的風(fēng)險(xiǎn)約束條件采用期望的形式,第四章中對(duì)保險(xiǎn)人的風(fēng)險(xiǎn)約束條件采用約束絕對(duì)最大損失的形式。之前的研究?jī)H考慮了單一的風(fēng)險(xiǎn)約束條件,所以本文的創(chuàng)新之處在于在這三章的約束條件中均同時(shí)考慮了保險(xiǎn)人的承保風(fēng)險(xiǎn)和投資風(fēng)險(xiǎn),分別在此規(guī)劃目標(biāo)下建立相應(yīng)的數(shù)理模型,并對(duì)模型進(jìn)行詳細(xì)的分析討論,同時(shí)對(duì)模型的結(jié)果做出經(jīng)濟(jì)學(xué)意義的解釋。第五章中介紹了三個(gè)簡(jiǎn)單的模型算例來(lái)說(shuō)明前三章得出的結(jié)論并進(jìn)行了比較,同時(shí)將本文最優(yōu)保險(xiǎn)的模型應(yīng)用于車險(xiǎn)市場(chǎng)和醫(yī)療保險(xiǎn)市場(chǎng)的實(shí)際情況進(jìn)行說(shuō)明。最后本文得出結(jié)論是在Var風(fēng)險(xiǎn)約束模型下,保險(xiǎn)人不僅會(huì)增加對(duì)被保險(xiǎn)人小額損失的賠償,也會(huì)增加對(duì)被保險(xiǎn)人大額損失的賠償,當(dāng)發(fā)生大額風(fēng)險(xiǎn)時(shí),保險(xiǎn)人的風(fēng)險(xiǎn)暴露最大。在期望損失風(fēng)險(xiǎn)約束模型下,保險(xiǎn)人會(huì)增加對(duì)被保險(xiǎn)人小額損失的賠償,減少對(duì)被保險(xiǎn)人大額損失的賠償,相對(duì)破產(chǎn)概率風(fēng)險(xiǎn)約束模型,保險(xiǎn)人的風(fēng)險(xiǎn)暴露要嚴(yán)格一些。與此同時(shí),如果Arrow模型的解滿足保險(xiǎn)人的風(fēng)險(xiǎn)約束條件,保險(xiǎn)人的風(fēng)險(xiǎn)容忍度增加對(duì)被保險(xiǎn)人的期望效用沒(méi)有影響,如果Arrow模型的解不滿足保險(xiǎn)人的風(fēng)險(xiǎn)約束條件,且存在最優(yōu)解,則保險(xiǎn)人的風(fēng)險(xiǎn)容忍度增加,被保險(xiǎn)人的期望效用也會(huì)增加。在約束保險(xiǎn)人絕對(duì)最大損失風(fēng)險(xiǎn)的模型下,保險(xiǎn)人加大對(duì)被保險(xiǎn)人可能發(fā)生的小額損失進(jìn)行補(bǔ)償,但是不會(huì)對(duì)超過(guò)最高保險(xiǎn)額度以上的損失進(jìn)行賠償,即保險(xiǎn)人只會(huì)在保額限度之內(nèi)對(duì)被保險(xiǎn)人所發(fā)生的費(fèi)用進(jìn)行賠償,超過(guò)保險(xiǎn)金額限度的部分保險(xiǎn)人不予以賠償。顯然可以看出,保險(xiǎn)人絕對(duì)最大損失風(fēng)險(xiǎn)約束模型比保險(xiǎn)人期望損失風(fēng)險(xiǎn)約束模型和保險(xiǎn)人破產(chǎn)概率模型更符合現(xiàn)實(shí),與此同時(shí),由于被保險(xiǎn)人無(wú)法將大額度損失轉(zhuǎn)移出去也降低了被保險(xiǎn)人的期望效用。
[Abstract]:At present, China's economic development has entered a new norm, facing three overlay challenges, the insurance industry still maintained rapid development of two digit. In the vigorous development of the insurance industry at the same time, the risk oriented compensation two generation "supervision system of insurance company risk prevention capability is also put forward higher requirements the insurance company requires the necessary research to improve the risk management ability to adapt to the new changes, to promote and deepen the field of insurance market reform. In the risk management of insurance industry, the contract design is the most important part, questions about" the optimal insurance contract gets more and more attention. The current academic research on the optimal insurance mainly for the insured, the insured is to maximize the expected utility, to obtain different forms under the principle of optimal insurance premium calculation, but there is little academic research insurance company outside In the risk, so the insurance company in the process of designing the optimal insurance contracts should not only take into account the maximum insured wealth utility, and risk insurance possible future control in a certain range, and constantly improve their risk management ability. This paper is to maximize the insurer's expected utility for planning objectives, introduction and the discussion about the optimal insurance contract design problem in the risk under the constraint of the insurer. This paper is divided into six chapters, the first chapter is the introduction, first introduced the basic concepts and the background of this study and the expected effectiveness index of basic insurance related and risk attitude, the research results about the optimal insurance contract design theory overview and do the further study in this article. The insured expected utility maximization under the planning objectives of the insurance were added to three kinds of risk constraints, namely the insured period At the final wealth maximization goal, will risk insurance companies in the future may occur within a certain range. The constraint of ruin probability in the form of risk constraints for the insurer in the second chapter, the third chapter will be the external insurance expected loss control in a certain degree of tolerance, to expect in the form of insurance the risk constraint, constraint absolute maximum loss in the form of risk constraints for the insurer in the fourth chapter. Previous studies only consider single risk constraints, so the innovation of this paper lies in the three chapter, the constraints are considered at the same time, the underwriting of insurance risk and investment risk, establish the corresponding mathematical model of the planning target respectively, and the model is discussed in detail, and make an economic model significance for the interpretation of the results. The fifth chapter intermediary Introduces three simple model examples show that the first three chapters and the conclusion were compared, and the application of this model the optimal insurance in the auto insurance market and the actual situation of the medical insurance market is described. Finally, the conclusion is in Var risk constraint model, the insurer will not only increase the insured one small losses, will also increase the insured for large losses when a large risk, the risk of the insurer. In the exposure maximum expected loss risk constraint model, the insurer will increase the insured for small losses, reduce the insured large losses, the probability of risk the relative risk constraint model of bankruptcy, the insurer's exposure to strictly. At the same time, if the insurer's risk constrained solutions of Arrow model, the insurer's risk tolerance of the insured No effect of expected utility, if the solution of the Arrow model does not meet the insurance risk constraints, and the optimal solution exists, the risk tolerance of the insurer increases, the insured's expected utility will increase. In the constraint insurer absolute maximum loss risk model, the insurer for compensation of losses is small increase the insurer may occur, but not the compensation for more than the highest amount of insurance loss, the insurer will only be incurred to compensate the insurers in the coverage limit, more than part of the insurance amount is not compensation. It is evident that the insurance risk constraint model than the absolute maximum loss the insurer expected loss risk constraint model and insurance ruin probability model is more consistent with the reality, at the same time, because the insured cannot be transferred out large amount loss also reduced The expected utility of the insured.

【學(xué)位授予單位】：南京大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F224;F842.6
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本文編號(hào)：1561482