对超额赔款再保险定价问题的探讨

【作者】 王雪梅；

【导师】 韦生琼；

【作者基本信息】 西南财经大学 ， 金融学， 2004， 硕士

【摘要】 从1370年第一笔再保险业务在地中海畔首创起，大约历时近500多年，才由劳合社保险商希思（cuthbert heocth）第一次提出超额赔款分保。时至今日，超额赔款再保险已经发展了100多年，成为再保险安排的传统方式。随着经济全球化进程日益加快，风险向全球分散的趋势也日益凸现，尤其是进入20世纪80年代以后，世界性的自然灾害和环境灾害频繁发生，各种灾害的危害范围蔓延扩大，损失程度日益加深，国际再保险市场发展随之加快。尽管再保险发展到今天，已经出现了很多创新形式，如财务再保险，前瞻性超赔再保险、追溯性超赔再保险等等，分散巨灾的方式也有很多创新，如巨灾风险的证券化，利用金融衍生工具分散保险风险等等。但超额赔款再保险由于具有降低成本，利于再保险人风险控制、涵盖范围广以及容易安排等特性，近年来，这种再保险安排的发展逐渐成熟，仍然是分散巨灾风险有效、常见的再保险安排之一，在国际再保险市场上仍然有十分重要的地位。按照加入WTO的承诺以及我国修订后的《保险法》的要求，国家将逐步取消法定分保的规定，每年以5%的速度降低法定分保比例，到2007年，法定分保将全部取消，我国再保险公司将与世界再保险巨头们在同一条件下竞争。回顾我国再保险的发展，法定分保几乎占领了整个再保险市场，再看我们的法定分保，一般是按比例分保方式进行的，即使是占整个市场极少部分的商业分保，也主要采用比例分保方式，而且大多是成数分保。国内再保险业在非比例分保业务上表现出技术经验十分薄弱的现象，不断发展定价技术和深化相关研究已经成为保险业亟待解决的问题。本文拟对非比例再保险的基本形态——超额赔款再保险的定价问题做一个探讨。论文在行文过程中始终以“超额赔款再保险定价”这一核心贯穿全篇，全文由前言和三个章节构成，其基本思路和结构安排如下：前言部分介绍了论文研究的目的和意义，国内外对超额赔款再保险定价的研究现状和发展趋势，论文研究的方法、<WP=4>对象的界定以及逻辑结构，最后对几个需要澄清的概念进行了说明。在论文的第一章笔者试图把与超额赔款再保险、超额赔款再保险定价有关的概念和理论交代清楚，为全文的写作做一个理论上的铺垫。可以说，本章是论文研究的起点。为此，这一章共分三节来完成，从再保险到超额赔款再保险再到超额赔款再保险定价这样三个层次来逐渐深入主题。分别对这三个理论层次涉及的概念及其特点和其它相关问题做了分析和讨论。第一节分析了再保险这一层次相关的概念。首先对再保险的概念、类别进行了简要分析，重点对超额赔款再保险的基本理论进行了阐释包括超额赔款再保险的两种形式：险位超额赔款再保险和事故超额赔款再保险的内涵、基本特点和数学模型。第二节从超额赔款再保险这一层次出发，分析了其自身的特点、在再保险安排中的优势与劣势，并通过一个实例说明了相对于比例再保险的比较优势。通过前面两节，以期达到对超额赔款再保险基本、全面的认识。第三节分析的是超额赔款再保险定价这一层次。这一节包括三个部分，第一部分首先从法律和业务准则两个方面阐述了再保险定价应该遵循的原则，当然也是超额赔款再保险定价应该遵循的原则；然后分析了由于超额赔款再保险两个“限额”、其内涵所决定的特点而与直接保险、比例再保险在定价方面所不同特殊性；最后，从“对直接保险市场的指导作用”、“在国际再保险市场竞争中掌握主动”、“提高经营管理水平”、“ 在转分保时，有助于分出公司确定合理的自留额”等几个方面阐述了对超额赔款再保险进行合理定价的意义。本章的研究，是全文写作的一个理论基点。第二章是整篇论文的重点和核心，笔者在本章提出了对分层安排的超额赔款再保险进行费率厘定的模型。这一章仍然分为三节来完成。第一节从实务中超额赔款再保险定价的不同方法出发，介绍了超额赔款再保险的三种保费制度（也可以说是三种保费计算方法）：定额再保险费制、定率再保险费制、变率再保险费制的概念，分析了不同计算方法的优缺点和适用的情形，并阐述了这三种<WP=5>定价方法与后文的费率厘定模型之间的关系，它们实质上可以看作一个问题的两个方面。这一节的内容实际上是第二节与实际应用之间的一个桥梁，之所以把它安排在第一节，是基于“由表及里”这样一个认识的逻辑顺序来的。第二节利用风险理论中的聚合风险模型建立了超额赔款再保险费率厘定的基本模型。这一节按照应用经济学中建立一个完整的数学模型的过程分为五个部分。首先是建立该模型的假设条件和符号的说明，主要是对影响费率厘定的两个随机变量——保单年度内损失发生次数和损失额度的独立性假设。第二部分是根据超额赔款再保险的内涵和不同保费计算原则，以风险理论中的短期聚合风险模型为基础而建立的数学模型。第三部分则根据概率论的相关理论对模型进行了理论求解，即得出求解的公式。为更清楚地说明问题，在本节第四部分用一个简单的数值例子对模型的求解进行了说明。最后根据第四部分的求解结果得出“在责任额相同的情况下，高层再保险费比低层再保险费低”并印证了“对于同一风险标的，分别安排两层超额赔款再保险和安排相同?更多还原

【Abstract】 The first reinsurance business was founded in 1370 by the side of Mediterranean. LLOYD’S underwriter Cuthbert Heocth didn’t put forward the excess of loss reinsurance for the first time until more than 500years later. Up to now, the excess of loss reinsurance has developed for more than 100 years, and is becoming a traditional category of reinsurance. Along with the economic globalization progress, the trend of risk spreading around the world is increasing too. Especially after 1980’s, while multifarious global nature and environment disaster occurring frequently, the scope of all kinds of disaster spreading to extend and the degree of the loss to deepening increasingly, the reinsurance market in the world developed immediately and quickly. Today, the reinsurance has a lot of creative forms, such as, financial reinsurance, prospective excess of loss reinsurance, retroactive excess of loss reinsurance etc. there are also a lot of ways to disperse Catastrophe risk, such as, papering Catastrophe risk, using the derivative tools of financial disperse the risk etc. Because the excess of loss reinsurance has many favorable characteristics, such as, reducing cost, easy arrangement etc., in recent years, this kind of reinsurance has been developed maturely. It is still a valid and familiar reinsurance arrangement, with very important positions in global reinsurance market.According our countries promise for entry into WTO the regulation of the revised Insurance Law, the legal reinsurance will be cancelled gradually, through lowering the legal reinsurance 5% annually. At the end of 2007, the legal reinsurance will be cancelled thoroughly. The reinsurance company will compete with the reinsurance leader of the world in the same condition. Looking back to the development of the reinsurance in our country, the legal reinsurance took possession of almost the whole reinsurance market. And it was pro rata reinsurance, even the commercial reinsurance which occupies a minimum amount of <WP=9>the whole market is also pro rata reinsurance and is often Surplus reinsurance. The reinsurance industry has weak experience and technique in ceding business. Therefore, developing the pricing technique continuously and deepening the related research becomes an urgent problem that must be soluted. The main objective of this thesis is to discuss the pricing of excess of loss reinsurance. Therefore, The thesis is composed of preface and three chapters as follows:The preface introduces the research purpose in thesis with the meaning, the present condition of the developing trend of research in pricing excess of loss reinsurance at home and abroad, research method, objective in this thesis and logic constructions, and illustrates some concepts in the end.Chapter One explains some concepts and theoretics, which relate the excess of loss reinsurance and pricing excess of loss reinsurance. Which provides a platform for the further research in the late chapters. In other words, this chapter is a research foundation in the thesis. Therefore, this chapter is divided into three sections, from reinsurance to excess of loss reinsurance to pricing excess of loss reinsurance. Based on this, a thorough topic is analyzed. Concepts and its characteristics of these three levels of structure are discussed with the other related problems. The concept, which related reinsurance, is discussed in first section. Firstly, it briefly analyzes the concept and category of reinsurance, emphasizes the basic theories of the excess of loss reinsurance, which include the basic characteristics of connotation with mathematics model of working excess of loss reinsurance and catastrophe excess of loss reinsurance. The second section is based on the concept of excess of loss reinsurance, and it analyzes its characteristics with its advantages and disadvantages. The thesis tries to achieve a basic and complete comprehension on excess of loss reinsurance through the above two sections. Section Three discusses <WP=10>the level of pricing excess of loss reinsurance. Thi更多还原