基于破产概率的巨灾保险偿付能力分析  

Analysis of Catastrophe Insurance Solvency Based on Ruin Probability

作　　者：尚勤 李隆鑫 Shang Qin;Li Long-xin(School of Economics and Management,Dalian University of Technology»Dalianl 16023,China)

机构地区：[1]大连理工大学经济管理学院

出　　处：《系统工程》2019年第6期38-45,共8页Systems Engineering

基　　金：国家社科基金资助项目(19BJY228);辽宁省社会科学规划项目(L16BGL012);辽宁省经济社会发展研究课题(2019lslktqn-010);中央高校基本科研业务费(DUT18RW120)

摘　　要：本丈利用破产概率对承保巨灾风险的保险公司的偿付能力进行分析。选取我国大陆1995-2017年地震损失数据作为研究样本,运用POT模型拟合巨灾损失分布.有效提高了巨文损失估计的精确度。利用更新风险模型刻画保险公司盈余过程.得到保险公司破产概.率的解析解.弥补了经典风险模型不足。研究还进一步分析了投保率、初始资本等因素的变动对保险公司偿付能力的彰响。研究结论可为我国巨灾保险制度建设提供参考和决策依据。This paper uses the ruin probability to analyze the solvency of insurance companies that cover catastropherisks. Selecting the earthquake loss data from 1995-2017 in China as a research sample≫ using the POT model to fit thecatastrophe loss distribution, effectively improving the accuracy of catastrophe loss estimation. Using the renewal riskmodel to describe the insurance company' s earnings process, the analytical solution of the insurance company J s ruinprobability is obtained,which makes up for the shortage of the classic risk model. The paper further analyzes the impactof changes in insurance coverage, initial capital and other factors on the solvency of insurance companies. The conclusionscan provide reference and decision-making basis for the construction of China*s catastrophe insurance system.

关 键 词：巨灾保险 POT模型 更新风险模型 破产概率 偿付能力 

分 类 号：F840[经济管理—保险]