基于决策的保险业务资本配置和业务规模精算研究  

Actuarial Study on Capital Allocation of Insurance Business and the Scale of Business

作　　者：占梦雅[1] 吴述金[1] 

机构地区：[1]华东师范大学金融与统计学院国际金融与风险管理中心,上海200042

出　　处：《中国管理科学》2011年第5期87-93,共7页Chinese Journal of Management Science

基　　金：2011年教育部人文社会科学研究青年资助项目(11YJC630276)

摘　　要：以两目标决策模型为基础,在提出凸性是残余风险测度的自然性质的条件下,将经济资本分配解释为实现公司利润最大化目标及风险残余最小化目标下的资本分配结果;接着在非严格增和不连续边际分布条件下给出了基于两目标分层模型的经济资本分配的唯一次优解;最后给出了资本约束条件下的两目标决策优化的业务规模上界。Based on a two-objective decision-making model,The paper proposes that the convexity is the natural character of residual risk and interpretes that the economic capital allocation is the result of maximizing the profit and minimizing the residual risk.Furthermore based on hierarchical model under the conditions of non-strictly increasing and continuous marginal distribution,The unique capital allocation is the sub-optimal solution.Finally,based on a two-objective decision-making model and under the condition of given capital,the scale of insurance business is optimized.

关 键 词：残余风险 资本分配 业务规模 RAROC 

分 类 号：F830[经济管理—金融学]