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资本配置是保险公司经济资本管理的一项核心内容。保险公司为各业务线配置经济资本时,主要考虑不同业务线的损失分布函数,对大额损失的次数,尤其是损失金额超过期望损失的次数却未加考虑,这必然会使资本在业务线间的配置不公平。本文根据奖惩系统能有效区分被保险标的风险异质性的特点,分析了经济资本配置中奖惩系统的组成要素和评价指标,在一定的假设条件下得出奖惩系统的资本水平、转移概率和转移矩阵,构建了适用于资本配置的奖惩系统,从而为保险公司完善内部风险管理机制、提高偿付能力、设计具有激励作用的经济资本配置技术提供另一视角。
Capital allocation is a core part of the insurance company’s economic capital management. When allocating economic capital to various business lines, insurance companies mainly consider loss distribution functions of different business lines, but do not consider the number of large losses, especially the number of losses exceeding the expected loss, which will inevitably cause capital to flow in the business line The configuration between the unfair. Based on the characteristics that the rewards and punishments system can effectively distinguish the risk heterogeneity of insured objects, this paper analyzes the components and evaluation indexes of rewards and punishments system in economic capital allocation, and draws the capital level, transfer probability and transfer of rewards and punishments under certain assumptions Matrix, a rewards and punishments system is set up which is suitable for capital allocation, which provides another perspective for insurance companies to improve internal risk management mechanism, improve solvency and design stimulating economic capital allocation technology.