基于VaR风险度量准则的水产养殖保险最优风险分层测度——以南美白对虾为例  

On Optimal Risk Stratification of Aquaculture Insurance Based on VaR Risk Measurement Criterion——taking the Case of South American White Prawn for Example

作　　者：郑慧[1,2,3] 王舒仪 于霄葳 Zheng Hui;Wang Shuyi;Yu Xiaowei

机构地区：[1]中国海洋大学经济学院,山东青岛266100 [2]中国海洋大学海洋发展研究院,山东青岛266100 [3]国家海洋信息中心,天津300171

出　　处：《保险职业学院学报》2021年第6期26-33,共8页Journal of Insurance Professional College

基　　金：山东社科新型智库研究专项“基于供给侧改革视角的山东省渔业保险经营效率及提升策略研究”(19CZKJ25)。

摘　　要：作为农业保险的重要构成部分,高风险、高损失、低利润等问题严重制约着水产养殖保险的发展。建立稳健的风险分层体系,是提高水产养殖保险损失补偿能力与风险分散效果的关键。本文以原保险公司自留风险最小为目标,将阈值与最优分保结合设计满足稳健性要求的最优风险分层体系,以解决水产养殖保险的自留风险和分保风险分配问题;使用极值理论,构建POT-GPD模型测算超过阈值的承保风险,并基于VaR风险度量准则计算水产养殖保险成数再保险的最优分保点。以南美白对虾为例,进行了实证检验。所得结论为科学划分水产养殖保险承保风险,推广多元化再保险市场提供理论支撑。As an important component of agricultural insurance,high risk,high loss,low profit and other problems seriously restrict the development of aquaculture insurance.The establishment of a robust risk stratification system is the key to improve the ability of aquaculture insurance loss compensation and the effect of risk diversification.Aiming at the minimum self-retention risk of the original insurance company,this article combines the threshold with the optimal reinsurance to design the optimal risk stratification system that meets the robustness requirements,so as to solve the problem of self-retention risk and reinsurance risk allocation of aquaculture insurance.By using the extreme value theory,the POT-GDP model is built to analyze the underwriting risks exceeding the threshold value,and the optimal reinsurance allocation point of aquaculture insurance ratio is calculated based on VaR risk measurement criteria.And the south American white shrimp is taken as an example for the empirical test.The conclusion provides theoretical support for the scientific classification of aquaculture insurance underwriting risks and the promotion of diversified reinsurance market.

关 键 词：水产养殖保险 极值理论 VaR风险度量准则 最优分保 

分 类 号：F840.323[经济管理—保险]