基于死亡率风险管理的保险公司最优资本配置研究  

Optimal Capital Allocation for Insurance Companies:Under the View of Mortality Risk Management

作　　者：李冰清[1] 王丽佳[1] 柯晓芳 

机构地区：[1]南开大学金融学院,天津300350 [2]厦门农商银行,福建厦门361013

出　　处：《保险研究》2016年第11期16-25,共10页Insurance Studies

基　　金：国家自然科学基金项目(71671094)的资助

摘　　要：本文从死亡率风险管理的角度研究保险公司的最优资本配置问题。应用CBD模型刻画随机死亡率,并假设资本面临的风险来自于随机死亡率。以美国的经验死亡率数据为基础,在偿付能力的约束下探究保险公司在不同产品线上的最优资本配置。通过敏感性分析,考虑保险期限、死亡率改善、缴费方式和随机利率等多种因素对模型结果的影响,对保险公司的最优资本配置有一定的指导意义。This paper studied the optimal capital allocation of insurance companies from the perspective of mortality rate management. We assumed that the capital risk came from the stochastic mortality, which was described by the CBD model. By applying the empirical mortality dates of the United States, we arrived at the optimal capital allocation of insurance products under the solvency requirements. We also explored the impacts of insurance period, mortality improvement, premium payment method and stochastic rate on the results by conducting sensitivity tests. The study can provide some guidance to insurance companies.

关 键 词：资本配置 死亡率风险 CBD模型 

分 类 号：G22[文化科学] G32