基于财险公司定价风险的资本要求计量  

A Study on P&C Insurers' Capital Requirement Based on Pricing Risks

作　　者：沈立[1] 谢志刚[1] 

机构地区：[1]上海财经大学金融学院,上海200433

出　　处：《保险研究》2014年第8期42-53,共12页Insurance Studies

基　　金：国家自然科学青年基金项目(71103117);上海财经大学研究生创新基金资助项目(CXJJ-2012-379)资助

摘　　要：定价风险是财产保险公司承保风险的重要组成部分，对定价风险进行度量并设定资本要求是偿付能力监管制度体系建设的核心工作之一。本文将59家财险公司分成四类，运用2002～2011年的数据，度量了不同险种的定价风险，并采用Copula方法对分险种定价风险进行聚合，得到总的资本要求。我们使用分层递减的方法来为我国财险行业设置资本要求，建议将保费分为[0，15亿）、[15亿，100亿）、[100亿以上]三个区间，分别对应的资本要求为39％、32％、16％。Pricing risks are an important part of P＆C insurers＇ underwriting risks. One of the core jobs of constructing the solvency regulation system is to set out quantitative solvency capital requirement for pricing risks. In this pa- per, by dividing 59 insurers in China＇ s P＆C insurance market into four segments, and based on relevant data during 2002-2011 ,we measured the pricing risks by lines of business, then aggregated all lines＇ pricing risks with the Cop- ulas method to arrive at the total capital requirements. We recommended the layered-decreasing method for setting out capital requirements for the P＆C insurance industry by dividing premiums into three layers ： [ 0,1.5 billion ] , [ 1.5 billion ,10 billion] and [ above 10 billion]. The corresponding solvency capital requirements of the three layers were 39% ,32% and16%.

关 键 词：定价风险 资本要求 COPULA 

分 类 号：F840.32[经济管理—保险]