中国地震指数保险设计与定价研究  

The Design and Pricing of Earthquake Index Insurance in China

作　　者：黄一凡 孟生旺[2,3] Huang Yifan;Meng Shengwang

机构地区：[1]对外经济贸易大学保险学院 [2]中国人民大学应用统计科学研究中心 [3]中国人民大学统计学院

出　　处：《复印报刊资料（统计与精算）》2022年第5期125-138,共14页STATISTICS AND ACTUARIAL SCIENCE

基　　金：国家社会科学基金重大项目“巨灾保险的精算统计模型及其应用研究”(16ZDA052);对外经济贸易大学中央高校基本科研业务费专项资金资助(21QD32)。

摘　　要：地震指数保险是我国巨灾保险制度的重要组成部分。然而,由于地震灾害发生频率低、造成的经济损失高且随机性强,地震指数保险的赔付结构设计往往会面临样本量不足、灾害损失预测不准确等问题,导致严重的基差风险。本文提出了一种新的指数保险设计方法,首先将传统广义可加模型的训练结果与决策树结构相结合,使连续型指数离散化,同步提高了地震损失预测、指数保险设计结果的稳健性和实际可行性。借鉴迁移学习思想,设计具有参数软共享结构的多任务改进决策树模型,最终实现不同区域地震损失数据的增强。基于1949-2019年我国历史地震灾害,基于三个目标区域,包括云南,新疆,以及西藏、青海、甘肃、宁夏,验证新方法对于降低地震指数保险样本外基差风险的优势,并应用“频率-强度”模型框架计算保费,为完善我国巨灾保险制度提供理论参考和实践依据。The earthquake index insurance(EQII)is an important part of China’s catastrophe insurance system.However,due to the low frequency,high loss,and strong randomness of earthquake disasters,the design of EQII compensation structure often faces problems such as insufficient sample size and inaccurate prediction of losses,which can lead to serious basis risk.This paper proposes a novel method of designing index insurance.We first combine the training results of the generalized additive model and the structure of the decision tree,discretize the continuous index,and simultaneously improve the robustness and practical feasibility of the earthquake loss prediction and the index insurance design.Based on the idea of transferred learning,the multi-task improved decision tree with a soft-parameter sharing structure is proposed,thus realizing the data augmentation of earthquake losses in different regions.Using China earthquake loss data between the years 1949 and 2019,this paper taking Yunnan,Xinjiang,and Tibet-Qinghai-Gansu-Ningxia as the three target areas,verifies the advantages of the novel method in reducing the out-of-sample basis risk of EQII and applies the actuarial“frequency-severity”framework to calculate the premium.Our method will provide more theoretical and practical references for the development of China catastrophe insurance system.

关 键 词：地震指数保险 损失预测 决策树 多任务学习 保险设计和定价 

分 类 号：F842.64[经济管理—保险] P315.9[天文地球—地震学]