我国非寿险业承保业务间的风险分散效应研究  

The Study on the Risk Diversification Effect between Business Lines on the Risk Capital of Chinese Nonlife Insurers

作　　者：吴杰[1] 赵桂芹[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12期102-109,共8页Insurance Studies

基　　金：国家自然科学青年基金项目(71103117)资助;上海财经大学2014年度研究生创新基金项目(CXJJ-2014-332)资助

摘　　要：本文基于偿付能力资本监管的视角，采用2004—2013年我国财产险公司的险种承保数据，以定价风险为例，利用tCopula方法和线性相关方法计算财产保险公司承保险种间的风险分散效应，并比较了两种方法下风险分散程度的差异。研究发现我国财产保险业险种间的分散效应大小与度量风险时选取的置信水平相关，且在不同年份是不同的；tCopula方法下的平均分散效应在20．12％左右，小于利用线性相关方法测算出的分散效应。考虑到我国非寿险业务险种间风险存在尾部相关性，建议我国在第二代偿付能力监管制度建设中，对第一支柱下定价风险的量化资本要求采用tCopula方法测算风险分散效应。From the solvency supervision perspective and using data from 2004 to 2011, this paper calculated the risk diversification effect （ using pricing risk as an example） of different lines of business for Chinese nonlife insur- ance industry using the t Copula method and the linear correlation method, and then compared the difference be- tween these two methods. The result showed that the diversification effects between different lines of business changed with the confidence level for risk measurement, and the diversification effect was different from year to year. We also found that the average diversification effect was about 22. 23 % under the t Copula method,which was lower than that under the linear correlation method. Therefore, considering the nonlinear correlation between de- pendencies of risk in Chinese nonlife insurance industry, the results of this paper served as a reminder that we should use the t Copula method to analyze the risk diversification effect on pricing risk capital requirement under the pillar I of China Risk Oriented Solvency System.

关 键 词：定价风险 风险分散效应 COPULA 

分 类 号：F840.32[经济管理—保险]