基于相依结构的保险公司动态财务分析  

Dynamic Financial Analysis of Insurance Companies with Dependence Structure

作　　者：张崇林 吕端 Zhang Chonglin;Lv Duan

机构地区：[1]中国人民保险集团股份有限公司,北京100031 [2]中国财政科学研究院,北京100142

出　　处：《保险职业学院学报》2021年第3期56-60,共5页Journal of Insurance Professional College

摘　　要：本文通过动态财务分析方法研究保险公司各类风险之间的相依结构,及其对保险公司财务状况和偿付能力的影响。文章采用Copula函数作为描述相依关系的工具并选取Kendall秩相关系数度量相关性。随机模拟的结果表明:随着投资收益率之间以及索赔额之间的Kendall秩相关系数的增加,保险公司的预期收益减小,而预期收益的波动在增大。作为反映保险公司偿付能力的关键指标,破产概率和保单预期赤字也随着相关系数的增大而增大。对决策者而言,选择存在负相关性的投资组合有助于改善财务状况、提高偿付能力。对于存在正相关性的承保风险,适当提高保费水平和责任准备金会有效地降低风险。Based on dynamic financial analysis method,we mainly consider the influence of depen⁃dence structure between some kinds of risks on insurance company’s finance and solvency.For describing the dependence relationship,we select several copula functions and utilize Kendall’s rank correlations within a stochastic simulation study.The results imply that:the greater the Kendall’s rank correlation between the rates of return on investment or the claim sizes is,the less the expected gain of the insurance company is and the greater the standard deviation of the gain per period is.As measurements of the insurer’s solvency,the ru⁃in probability and the expected policyholder deficit become large once the Kendall’s rank correlation increas⁃es.From the perspective of policymakers,a portfolio with negative dependence structure between the risk re⁃turn of bonds can improve the insurer’s solvency.Regarding the positive dependence structure between the un⁃derwriting risks,one can raise the level of premium and reserve in order to reduce the negative impact effectively.

关 键 词：动态财务分析 偿付能力 COPULA 随机模拟 

分 类 号：F840.43[经济管理—保险]