基于破产概率和VaR的保险公司资产负债管理研究  

A Study of the Method of ALM for the Insurance Companies based on VaR and Bankruptcy Probability

作　　者：纪颖波[1] 房海滨[2] 

机构地区：[1]天津大学建筑工程学院,天津300072 [2]天津大学管理学院,天津300072

出　　处：《北京理工大学学报（社会科学版）》2007年第5期77-80,共4页Journal of Beijing Institute of Technology：Social Sciences Edition

摘　　要：应用聚合风险模型和蒙特卡罗模拟技术,计算不同情况下的破产概率,并对结果进行了对比分析,发现初始准备金在开始时间段对破产概率影响较大,不同初始准备金(其它参数相同)下的破产概率随着时间的变化逐渐收敛到终极破产概率;通过建立某一置信度下的破产概率VaR受限模型,实现对不同保险产品参数和经营策略下的破产风险进行对比和控制。By the method of Monte Carlo simulation and polymeric risk model, the paper resolves and analyses the bankruptcy probability under different scenarios, finds that the initial reserve has a big influence on the bankruptcy probability in the beginning period, and the bankruptcy probability with different initial reserves in the limited period will gradually reach the ultimate bankruptcy probability. With the application of VaR, the paper argues that this method can compare and analyze the risk of bankruptcy under different insurance product parameters and strategies.

关 键 词：资产负债管理 破产概率 蒙特卡罗模拟 VAR 

分 类 号：F840[经济管理—保险]