【作者】 王晓易；

【导师】 杨忠直；

【作者基本信息】 天津大学 ， 技术经济及管理， 2006， 博士

【摘要】 信用创造组织特别是保险公司和商业银行的风险问题越来越成为研究的焦点,本文主要从信用创造组织的风险问题入手,围绕保险公司、商业银行两大支柱型分类组织的风险问题,分别建立相应的数学模型,解决其中各自与风险问题紧密相关的问题。其中涉及的数学方法集中在概率、统计、随机过程及测度论等方面,并提出建立针对信用创造组织各分类机构内部控制体系的预警指标体系。这与各行业新出台的法规要求一致。第一章就信用创造组织风险问题的根源和研究背景以及国内外研究状况进行了综述。而后,指出两类信用创造组织的代表:保险公司与商业银行面对的各自有关风险问题及本文创新之处。第二章针对信用创造组织的风险问题,提出风险度量的一般化标准,并在标准上提出风险度量的一般化新表达法,将风险问题与概率统计融合。第三章针对保险关心的有限破产概率的计算采用数学保险风险模型,讨论了索赔到达间隔时间服从几何分布,索赔额分布为一般离散型分布的一类连续时间风险模型的破产问题。首先将风险模型纳入PDMP框架,借助于带离散分量的广义生成元的概念得到相关鞅,其次,再利用测度变换理论得到破产概率的一般表达式。第四章对新一类保险风险盈余过程提出了研究模型,表达破产概率及生存概率的解。然后提出概率意义下保险公司偿付能力的定义及性质,从战略发展角度提出提高保险公司偿付能力的对策。第五章从巴塞尔新协议对我国银行业提出的新要求开始,就建立银行业内部评级体系中的细节:预期违约概率的计算提出了期权度量分析法,着重提出了利率和负债在确定和随机条件组合下四种组合情况的信用风险求偿权模型,因此给出了预期违约概率在特定条件下的计算。第六章总结了研究中的问题与展望。综上,本文从信用创造组织的分类代表保险公司、商业银行来分别探讨了风险问题。提出了建立针对各信用创造机构内部控制体系的相应预警指标体系,以防范风险,获得最大收益。更多还原

【Abstract】 The risk problems in the the credit creation organization have been increasingly emphasized on research, especially insurance company and commercial bank. Starting with risk problem of the credit creation organizations, this article builds a set of models to solve problems on the risk involving the two mainstays of credit creation organization: insurance company, commercial bank. The mathematic methods used in the models include probability, statistics, stochastic process, measure theory and so on. Further more, the respective forecast warning index systems for inner control of every corresponding credit creation organization are presented, which act in accord with recent polices of many industries.The first chapter of the paper summarizes the foundation and research background of the risk problems, and the situation of domestic and overseas research on the risk problems. Subsequently, the paper points out the respective correlative risk problem of the delegates of two kinds of credit creation organization:insurance company and commercial bank which confronted,and concludes innovation of the paper.In the second chapter, the general criterion of risk measurement in allusion to the risk problem in the credit creation organization is presented. Moreover,the new general expression of risk measurement is expressed which is based upon the general criterion, combining probability statistics with risk measurement.In the third chapter, the model of insurance risk is presented, which solve the finite ruin probability concerned by the insurance. The paper discusses the ruin problem of a kind of continuous-time risk model with inter-occurrence time obeyed geometric distribution and with claim size obeyed general discrete distribution. Firstly, the risk model is set in the framework of PDMP, and a correlative martingale in virtue of the extended generator with discrete component is gotten. Secondly, the general expressions for ruin probabilities are presented via the change of the probability measure.In the fourth chapter, the new model of insurance risk surplus problem is presented, and the ruin probability and the survival probability are solved. Subsequently, the paper puts forward the definition and characters of the solvency of更多还原