保险风险管理研究

【作者】 肖俊喜；

【导师】 程坦；

【作者基本信息】 东北财经大学 ， 数量经济学， 2002， 硕士

【摘要】 我国加入WTO后，我国各行业将受到不同程度的冲击，其中受冲击最大的是金融业，而金融业中首当其冲的是保险业。这关系到我国经济稳定。因而，对保险公司风险管理即对保险公司风险、风险度量以及风险的转移研究有其必要性。 精算学(Actuarial Science)是一门集数学、统计学、计算机科学、会计学、金融学、经济学、法律与通讯等学科于一体的综合性边缘学科。精算，简单地说，就是对金融风险进行测度、建模、管理。由于世界经济的发展，风险性质的变化，保险公司传统的转移风险工具（再保险）不能适应新的风险变化。保险公司有必要在传统体系之外寻求新的风险融资的方式去分散和转移保险公司所面临的风险。国外的发展实践表明，保险公司可更多地涉足于资本市场，通过保险风险证券化将风险转移到资本市场。具体来说，通过资本市场上被大众所广泛接受的投资工具——原生工具与衍生工具来转移风险。从而，在一定程度上保险风险证券化替代了传统的保险方式。正是从这个意义上说，保险风险证券化产品也被称为另类风险转移产品。本文旨在通过对保险公司破产概率模型以及保险风险证券化研究，建立一套理论框架，以期望对我国保险业以及精算教育的发展有所贡献。本文从风险着手，建立了各种破产概率模型，并对保险风险证券化产品设计及其定价进行了研究。本文具体安排如下。本文共五章。在第一章，通过对日本保险公司破产风波以及我国加入WTO后，对我国保险业的挑战分析，论述了保险公司进行风险管理的必要性。一旦提及到风险管理，就要涉及到风险度量方法。但由于保险学的分布都是偏倚的，利用经典度量风险方法来测度保险公司风险有其不足之处，因而，有必要引入新的工具——破产概率。第二章内容是在索赔次数服从Poisson过程，索赔额服从给定概率分布（如指数分布）条件下，将经典风险破产概率模型逐渐推广到比较现实的破产概率模型，建立了一套比较完善的理论框架。第三章利用先进的计算机技术对保险公司破产概率进行了随机模拟，从另<WP=3>一个角度佐证了第二章有关结论。本章额外的收获就是可获得保险公司破产概率随机模拟的应用程序。第四章研究和探讨了保险风险证券化，涉及到保险证券化产品设计及其产品定价。着重研究了保险期权的欧式期权与永久性美式期权定价，并在文献[2]基础之上，根据等价鞅或风险中性性质获得了比较令人兴奋的结论——类似于Black-Scholes期权定价公式与Merton期权定价公式。在第五章，作者对我国保险业以及精算教育的发展提出若干拙见。更多还原

【Abstract】 The impact of entering WTO on Chinese finance industry, especially on insurance industry, may be so dramatic that it may threaten the stability of the economy of the country. Thus it is necessary to study risks in insurance companies, risk measurement and risk shifting. Actuarial Science is an academic discipline of the synthetic frontier, which involves many fields such as Mathematics, Statistics, Computer Science, Accounting, Finance, Economics, Laws and Communications and Actuaries is to measure, model and manage risks.Development of world economy and changes in risk nature make reinsurance, the traditional tool of risk shifting used by insurance companies, no longer fit to new risk. It is necessary for insurance companies to seek new ways of risky finance from out of the traditional system to diversify and shift risks they are facing. Experience of developed countries shows that insurance companies can turn to the capital market to shift risks by insurance risky securitization .By using accepted investment tools such as primitive securities and derivative securities, they can shift risks to the capital market. So the products of insurance risky securitization are called "different products" for risk shifting. The purpose of the paper is to build up a set of theoretical frame by studying the ruin probability of insurance companies and insurance risky securitization, and to do something to the development of insurance industry and actuaries education of the country. The author models kinds of ruin probability and studies products designing and pricing of insurance risky securitization. There are five chapters in the paper:Chapter1:In this part, the author discusses the necessity for insurance companies to manage risks by analyzing bankruptcy of insurance companies in Japan and the challenges to insurance industry in China after entering WTO. When it comes to risk management, it matters to methods of risk measurement. Because<WP=5>the distributions in insurance are skew, it is necessary to introduce a new tool, the ruin probability.Chapter 2: As the number of claims follows Poisson process and the amount of corresponding individual claims follows the given distribution (for example, exponential distribution), the author generalizes ruin probability models and builds up a set of more perfect theoretical frame.Chapter3: In this part, the author simulates stochastically the ruin probability of insurance companies by using advanced computer techniques and tests some results of the second chapter. Chapter4:The author discusses insurance risky securitization, designing and pricing of its products and emphasizes the European option pricing and perpetual American option pricing. Based on reference [2] and using equivalent martingale or the risk-neutral nature, the author reaches exciting conclusions, which are similar to the Black-Scholes option pricing formula and Merton option pricing formula.Chapter 5: the author gives some suggestions to the development of insurance industry and actuaries education in China.更多还原