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1.
业务线是保险公司经营的基本单元,对其进行资本配置的研究有利于保险公司的承保决策和偿付能力管理。文章根据百分层资本配置模型思想,推出了Pareto和广义Pareto损失分布下的百分层资本配置公式以及该配置资本所产生的负效用及其乘数因子,得出了基于资本配置理念上的净保费和风险附加因子表达式。算例分析结果显示了百分层资本配置的全面性和Pareto损失分布注重描述损失数据分布尾部或极端情形的特点。  相似文献   

2.
财产保险公司对资金的流动性要求很高,因此风险管理和掌控更加重要.本文研究保险公司风险管理的基本理论以及发展现状,并且引入风险度量方法,选取TailVaR方法进行详细的分析.本文还介绍了经济资本的概念以及配置,并利用TailVaR方法对于两家财产保险企业的经济资本进行计算,分析了两家公司的各业务线的风险管理能力.  相似文献   

3.
我国财险公司产品业务线经济资本配置的实证分析   总被引:3,自引:1,他引:2  
考虑各条业务线之间的相关关系,通过构建经济资本配置模型并进行实证分析结果显示:各家财险公司各条业务线经济资本总和占总保费的比例平均为15%;各家公司各条产品业务线的RAROC之间的差异大,即各条业务线之间的风险收益状况差异大,应该对不同的险种采取不同的承保策略和再保险策略,以均衡各条业务线之间的RAROC指标.  相似文献   

4.
国外保险公司经济资本的应用实践及其启示   总被引:1,自引:0,他引:1  
本文介绍了经济资本在国外保险公司中的应用实践及其经验。经济资本是在高度量化基础上的风险损失与资本承担的相互统一管理,推动了风险管理和资本管理的整体统一,也为我国保险公司构建经济资本管理机制提供了一些思路和经验。  相似文献   

5.
中国保监会关于印发《保险公司偿付能力监管规则(1—17号)》的通知标志着中国保险业监管开始迈入以风险为导向的偿付能力监管时代。中国“偿二代”考虑了资产和负债端的风险,同时又考虑了风险之间的相关性,使得资产配置和业务结构对偿付能力充足率的影响更为复杂和多元,业务结构调整与资产配置之间表现为更强的联动关系,公司流动性、收益性、资本充足率之间的平衡关系不再是直观的简单关系,对公司的经营提出了更大的挑战。鉴于“偿二代”对风险资本计量逻辑的理解,我们试图通过定量的分析探索如何更有效地调整未来保险公司的经营策略。  相似文献   

6.
传统的风险管理模式已经不能适应保险公司发展的需要.经济资本管理已经成为国际保险业风险与资本管理领域的核心工具.保险公司经营的特殊性决定了保险公司要实施经济资本管理.经济资本可以广泛地应用于内部资本充足率管理和价值创造管理,为保险公司的关键决策提供依据.经济资本管理体系核心是准确计量风险、优化资本配置与评估风险调整绩效.中国保险业要实施经济资本管理,必须要统一认识,整合资源,优化组织结构,积极推动经济资本管理体系建设.  相似文献   

7.
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。  相似文献   

8.
资本是企业生存的基础,且成本很高,这就要求保险公司从单纯对业务发生损失和获取收益的管理逐渐过渡到对资本的有效管理。保险公司是经营风险的企业,保险公司资金的负债性性质,决定了保险公司的资本结构的重要性。本文通过对保险业资本基础及其结构的分析,联系我国保险公司的资本基础现状,着力探讨了中小财险公司的资本基础对其战略规划的制约,提出了中小保险公司在一系列的战略制约下如何求得生存和发展的建议。  相似文献   

9.
一、经济资本概念 银行的发展所带来的风险可分为三个层次的损失,即预期损失、非预期损失和异常损失.其中,非预期损失是银行超出平均预期损失以上的损失,它是对预期损失的偏差-标准差(σ),非预期损失随容忍度的改变而不同,银行承担的风险正是这种预料外或不确定因素造成的潜在损失.因此,经济资本可以定义为商业银行在一定时期内为抵御在一定置信水平下非预期损失导致的支付危机所需的资本数量.经济资本对应于特定的置信区间,以统计语言的损失发生时损失额小于经济资本的可能性.经济资本是银行内部配置的一个资本量,能比较不同业务类别及不同类型的风险状况,可以缓释银行的非预期损失.  相似文献   

10.
经济资本管理是保险公司内部进行风险控制的有效方法.以某财险公司2005—2020年的五条业务线的赔付率作为保险风险的风险因子,用核密度方法刻画边缘分布,分别计量了业务线独立情景、多元Copula和Vine Copula模型下的VaR和TVaR,进而得到防范业务线非预期风险所需要持有的经济资本和相关的分散化收益,并从理论上对比了经济资本与"偿二代"最低资本的测算方法.结果表明:多维变量的建模中,Vine Copula很好地展示了Copula的风险聚合和收益分散效应,大大降低了财险公司为应对保险风险所需持有的财务资源,为财险公司在业务管理和风险管理方面提供了新的思路,同时为最低资本的测算方法从风险度量模型、风险因子选择、相依结构确定和相关系数的改进提供了一定的参考价值.  相似文献   

11.

We propose a fully Bayesian approach to non-life risk premium rating, based on hierarchical models with latent variables for both claim frequency and claim size. Inference is based on the joint posterior distribution and is performed by Markov Chain Monte Carlo. Rather than plug-in point estimates of all unknown parameters, we take into account all sources of uncertainty simultaneously when the model is used to predict claims and estimate risk premiums. Several models are fitted to both a simulated dataset and a small portfolio regarding theft from cars. We show that interaction among latent variables can improve predictions significantly. We also investigate when interaction is not necessary. We compare our results with those obtained under a standard generalized linear model and show through numerical simulation that geographically located and spatially interacting latent variables can successfully compensate for missing covariates. However, when applied to the real portfolio data, the proposed models are not better than standard models due to the lack of spatial structure in the data.  相似文献   

12.

Recursive formulae are derived for the evaluation of the moments and the descending factorial moments about a point n of mixed Poisson and compound mixed Poisson distributions, in the case where the derivative of the logarithm of the mixing density can be written as a ratio of polynomials. As byproduct, we also obtain recursive formulae for the evaluation of the moments about the origin, central moments, descending and ascending factorial moments of these distributions. Examples are also presented for a number of mixing densities.  相似文献   

13.
The Japanese disclosure system of consolidated statements was introduced in 1977 and extensively revised in 1997. The role of the bureaucracy has been significant in these developments and seems to be part of Japan's closed culture. However, other explanations could also be applied. In particular, although Japanese firms opposed such disclosures on the basis of preparation costs, the Japanese government had to modernize the disclosure system, including consolidation, in order to develop the securities market regardless of an individual company's interests.  相似文献   

14.
After the Second World War, during the neutralization of the controlled economy of wartime Japan, a design for a Corporate Accounting Law was elaborated by the Investigation Committee on the Business Accounting System. The Investigation Committee tried to establish not only new business accounting standards but also a central and independent administrative organ of corporate accounting regulation on the basis of the Corporate Accounting Law. The Corporate Accounting Law was expected to lay the legal foundation of the new corporate accounting regulation regime in Japan. Nevertheless, even though the original design of the fundamental accounting law was never realized, it should be considered the starting point for our understanding of external accounting history in post-war Japan.  相似文献   

15.
This paper examines the way two accounting techniques, namely depreciation and foreign exchange, were deliberated on, between 1870 and 1900, in an Indian jute company whose shareholders resided in the UK. The arena for these deliberations was the conflictual relationship between controlling and non-controlling shareholders as to how best to account for depreciation and foreign exchange especially when the particular accountings affected distributional issues such as the dividend decision. The purpose of this paper is to analyse and explain the processes by which a company's accounting practices emerge and develop as a contest between different interests. Accounting framed the parameters of the deliberations and provided the language of power and dissent. The paper uses a rich archive that includes narrative and accounting material.  相似文献   

16.
正The China Journal of Accounting Research"CJAR"(ISSN 1755-3091)publishes quarterly.It contains peer-reviewed articles and commentaries on accounting,auditing and corporate governance issues that relate to the greater China region.We welcome the submission of both theoretical and empirical research papers pertinent to researchers,regulators and practitioners.Authors should note:1 Submissions must be original  相似文献   

17.
Short selling may accelerate stock price adjustment to negative news. However, the literature provides mixed evidence for this prediction. Using short-sale refinancing and a staggered difference-in-differences (DID) model, this paper explores the effect of short selling on stock price adjustment. Our results show that (1) short-sale refinancing improves the speed of stock price adjustment to negative news. This result holds after we control for endogeneity. (2) The positive relationship between short-sale refinancing and stock price adjustment speed is significant in subsamples of stocks with higher earnings management or lower accuracy of analyst forecasts, indicating that firms with more opaque information are more likely to be targeted by short sellers. In subsamples of stocks with a higher ownership concentration or lower ownership by institutional investors, short selling is more likely to increase the speed of stock price adjustment, indicating that ownership structure may influence negative news mining. (3) As short-sale refinancing exacerbates the absorption of bad news by stock prices, it increases crash risk. This study enriches the research on the economic consequences of short selling and provides empirical evidence supporting regulations on short selling in China.  相似文献   

18.

We introduce an expected utility approach to price insurance risks in a dynamic financial market setting. The valuation method is based on comparing the maximal expected utility functions with and without incorporating the insurance product, as in the classical principle of equivalent utility. The pricing mechanism relies heavily on risk preferences and yields two reservation prices - one each for the underwriter and buyer of the contract. The framework is rather general and applies to a number of applications that we extensively analyze.  相似文献   

19.
China’s slowing economic growth and rapid urbanization have made local government debt financing a significant issue.This study uses a sample of China’s provinc...  相似文献   

20.
The trading station or factory maintained by the Dutch East India Company (VOC) was Japan's sole window on the Western world during most of the Tokugawa period (1600-1868). While many aspects of the factory's role in Dutch/Japanese cultural exchange have been researched little is known in the West of the accounting at the factory. This paper considers the possibility that double-entry bookkeeping employed by the Dutch may have been diffused to the Japanese. The available evidence is synthesized after considering the accounting system in the Dutch factory.  相似文献   

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