财产保险公司经济资本配置中奖惩系统的构建  

Establishment of the bonus-malus system for capital allocation by property insurance companies

作　　者：陈迪红[1] 张霞[1] 

机构地区：[1]湖南大学金融与统计学院,湖南长沙410079

出　　处：《保险研究》2010年第11期20-25,共6页Insurance Studies

基　　金：国家社会科学基金资助项目(08BJY159)

摘　　要：资本配置是保险公司经济资本管理的一项核心内容。保险公司为各业务线配置经济资本时,主要考虑不同业务线的损失分布函数,对大额损失的次数,尤其是损失金额超过期望损失的次数却未加考虑,这必然会使资本在业务线间的配置不公平。本文根据奖惩系统能有效区分被保险标的风险异质性的特点,分析了经济资本配置中奖惩系统的组成要素和评价指标,在一定的假设条件下得出奖惩系统的资本水平、转移概率和转移矩阵,构建了适用于资本配置的奖惩系统,从而为保险公司完善内部风险管理机制、提高偿付能力、设计具有激励作用的经济资本配置技术提供另一视角。Capital allocation is a core element of the economic capital management in an insurance company. When the company allocates economic capital to different business lines, it mainly considers the loss distribution of each line, while ignoring the number of large losses, especially the number of losses whose size exceeding expected losses. This can lead to an unfair allocation. According to bonus-malus system＇s advantage in distinguishing heterogeneous risks of the covered objects, this paper analysed the components and assessment indicators of the bonus-malus system for economic capital allocation, calculated the capital level, the transition probability and the transition matrix,and constructed a bonus-malus system applicable to capital allocation on the basis of certain hypothesis, thereby provided a new viewpoint for an insurance company in designing capital allocation technique aiming to perfect its internal risk management mechanism, improve its solvency and incentivize appropriate capital allocation.

关 键 词：奖惩系统 资本水平 转移矩阵 

分 类 号：F840[经济管理—保险]