基于Haezendonck-Goovaerts风险度量的资本配置  

Capital Allocation Based on Haezendonck-Goovaerts Risk Measure

作　　者：荀立[1] 董娜娜[1] 王德辉[2] 

机构地区：[1]长春工业大学基础科学学院,长春130012 [2]吉林大学数学学院,长春130012

出　　处：《吉林大学学报（理学版）》2015年第4期634-640,共7页Journal of Jilin University:Science Edition

基　　金：国家自然科学基金(批准号:11271155);高等学校博士学科点专项基金(批准号:20110061110003);教育部人文社科项目(批准号:12YJA790187);吉林省科技发展计划项目(批准号:20140418053FG);长春工业大学校内基金(批准号:GJ20150106)

摘　　要：用Haezendonck-Goovaerts风险度量方法解决保险公司的资产配置问题,在设定保险人理赔总额上限的情况下,基于Haezendonck-Goovaerts风险度量评估短期个别风险模型的个体理赔风险,得到了配置给个体风险的资本金额、相应的Orlicz分位点,以及保险人财务安全条件下的门限值、个体风险资本金额、置信水平与保险人容忍上限的关系式.Haezendonck-Goovaerts risk measure was used to investigate the capital allocation in the insurance company.The individual risk in temporal individual risk model was evaluated based on Haezendonck-Goovaerts risk measure in the case of the insurer＇s total claim ceiling given.The allocated capital for the individual risk and the corresponding Orlicz quantile were computed.Then the relationships between the threshold,the individual risk capital,the confidence level and the insurer＇s tolerance upper bound were elaborated in the case of the insurer＇s financial safety.Finally,the numerical simulation and comparative analysis were provided.It provides the basis for the decisionmaking for the capital allocation in the insurance company.

关 键 词：短期个别风险模型 资本配置 Haezendonck-Goovaerts风险度量 YOUNG函数 Orlicz分位点 

分 类 号：O213[理学—概率论与数理统计]