基于利率情景生成的寿险公司经济资本量化

发布时间：2018-05-15 10:34

本文选题：经济资本 + 利率情景生成　；参考：《保险研究》2017年06期

【摘要】：本文构建了符合中国风险导向偿付能力体系(简称"C-ROSS")监管原则的寿险公司经济资本模型,通过MATLAB编程实现利率情景生成和寿险公司自下而上的经济资本量化,并对保险风险经济资本、利率风险经济资本和整体风险经济资本展开分析,探讨了风险聚合过程中的经济资本分散化效应以及风险内聚合与风险外聚合对经济资本的影响。研究结果显示:保险风险和利率风险聚合的风险分散化效应较为稳定,但对于长寿和死亡这两个互斥风险,通过相关系数矩阵进行聚合的实质是假设了死亡率改善和恶化的概率,并且该概率会随着年龄的改变而变化;风险内聚合的经济资本显著大于风险外聚合的经济资本,风险外聚合所带来的风险分散化效应对于女性保单最为明显;从降低公司整体经济资本占用出发,寿险公司应该更多地向男性客户销售终身寿险。
[Abstract]:In this paper, the economic capital model of life insurance companies, which conforms to the supervision principle of China's risk-oriented solvency system ("C-ROSS"), is constructed. Interest rate scenario generation and bottom-up economic capital quantification of life insurance companies are realized by MATLAB programming. The paper also analyzes the economic capital of insurance risk, the economic capital of interest rate risk and the overall venture economic capital, and probes into the effect of diversification of economic capital in the process of risk aggregation and the influence of internal and external risk aggregation on economic capital. The results show that the risk diversification effect of insurance risk and interest rate risk aggregation is more stable, but for the two mutually exclusive risks of longevity and death, The essence of aggregation through the correlation coefficient matrix is to assume the probability of mortality improvement and deterioration, and the probability will change with age; the economic capital aggregated within risk is significantly larger than the economic capital aggregated outside risk. The effect of risk diversification caused by extrarisk aggregation is most obvious for women policies; in order to reduce the overall economic capital occupation of the company, life insurance companies should sell more lifetime life insurance to male clients.
【作者单位】：南开大学金融学院;
【基金】：国家自然科学基金项目(71573143)的资助
【分类号】：F842.3

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