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经济资本日益成为保险企业集团全面风险管理的工具。经济资本管理体系包括边际分布计算、风险总合(risk aggregation)和经济资本分配三个核心部分。本文应用极值理论和联接函数模型探讨了经济资本计算与分配的方法,认为保险损失具有厚尾性特点,保险索赔的尾部特征直接决定了各业务线及保险组合的经济资本数量;保险企业内部各子公司、业务部门、业务线之间具有风险分散效应,在内部管理以及外部监管中,对风险分散化效应的承认可以促进保险公司在更广泛领域开展业务来分散风险、制定科学的绩效考核体系,实现业务发展与风险控制的平衡。
Economic capital is increasingly becoming a tool for comprehensive risk management of insurance conglomerates. The economic capital management system includes the three core parts of marginal distribution calculation, risk aggregation and economic capital allocation. In this paper, the extreme value theory and the joint function model are used to discuss the method of calculating and allocating economic capital. It is concluded that the insurance loss has a thick tail characteristic. The tail characteristic of the insurance claim directly determines the economic capital of each business line and insurance portfolio. The risk diversification between subsidiaries, business units and business lines has led to the recognition of the diversification effect of risk in internal management and external regulation, which can encourage insurance companies to conduct business in a wider area to diversify risks and formulate scientific performance appraisal System to achieve the balance between business development and risk control.