保险与企业风险管理

企业在日常生产经营活动中会遇到各种风险，开展和加强风险管理已成为维护企业生存与发展必不可少的工作，同时也是现代企业管理的一项重要内容，企业风险管理必须从认识风险、选择风险管理方法入手，其中，保险已成为企业开展风险管理的一项重要管理手段。企业必须正确地运用保险为自己的管理服务，同时，保险也要在企业管理中不断创新和发展。     

Bayesian Risk Management for Equity-Linked Insurance

This paper describes how to apply Markov Chain Monte Carlo (MCMC) techniques to a regime switching model of the stock price process to generate a sample from the joint posterior distribution of the parameters of the model. The MCMC output can be used to generate a sample from the predictive distribution of losses from equity linked contracts, assuming first an actuarial approach to risk management and secondly a financial economics approach. The predictive distribution is used to show the effect of parameter uncertainty on risk management calculations. We also explore model uncertainty by assuming a GARCH model in place of the regime switching model. The results indicate that the financial economics approach to risk management is substantially more robust to parameter uncertainty and model uncertainty than the actuarial approach.     

Market Price of Insurance Risk Implied by Catastrophe Derivatives

Abstract

Insurance derivatives facilitate the trading of insurance risks on capital markets, such as catastrophe derivatives that were traded on the Chicago Board of Trade. Simultaneously, insurance risks are traded through reinsurance portfolios. In this paper we make inferences about the market price of risk implied by the information embedded in the prices of these two assets.     

保险资金入市的效应分析及其风险管理

保险资金进入资本市场，以多种方式投资于证券业务，是保险业自身经营发展的需要，也是增强我国保险业的盈利性和竞争力的需要。保险资金入市在给保险公司带来高收益的同时，必然伴随着高风险。无论是保险公司还是监管部门，建立有效的风险控制和监管机制，加强投资风险防范，保障资金安全都是十分必要的。     

Assessment of Undergraduate Risk Management and Insurance Programs

Assessment of academic programs is most often viewed by the academic community as a burden on faculty and administrators. It's something you must do for accreditation or to satisfy funding agencies. However, whether done at the college or departmental level, assessment can be a value‐added process in striving for academic excellence. First, assessment requires the faculty to clearly define its program mission and objectives, along with learning outcomes that are consistent with its chosen mission and objectives. Second, assessment can be used to improve relations with students, alumni, employers, and other constituents. Finally, assessment as an ongoing process will result in a continuous improvement in curriculum and pedagogy. Assessment is at the very heart of the learning process, and all faculty have a duty to the scholarship of learning as an essential element of academic life.     

保险资产管理公司风险管理研究

先后经历了无序和管制阶段,从1999年的<保险公司投资证券投资基金管理暂行办法>,到2004年的<保险机构投资者股票投资管理暂行办法>,再到2007年7月的<保险资金境外投资管理暂行办法>,保险资金运用渠道逐步拓宽.     

2002年以来全球保险业的发展与风险管理

2000年以来,全球经济、政治状况和自然环境都发生了未曾预料的重大变化,如新经济泡沫破灭、信用风险接连暴露、巨灾损失逐年增大、局部战争连续升级、恐怖主义新的威胁等,给全球保险业造成了重大损失,彻底打破了保险业原有的发展规律、运行轨迹和运作模式,给保险业带来了全新的经营风险,使保险业面临前所未有的风险管理挑战.     

寿险资金运用的风险限额管理

资金运用风险是寿险公司面临的两大最主要风险之一,加强资金运用风险管理对确保寿险公司持续稳健经营至关重要。风险限额管理作为风险管理的核心内容,是风险管理体系中不可或缺的组成部分。建立一个科学、可操作和有效的风险限额管理体系,为寿险资金运用风险管理提供控制标准,是决定风险管理成效的关键环节。本文借鉴风险限额分配模型,总结寿...     

寿险企业市场风险相关性实证研究

本文通过采用时变Copula-GARCH-t模型对四家上市寿险企业的市场风险及其时变相关性进行建模,并将2008年次贷危机纳入研究的时间窗口,以考察寿险企业市场风险相关性在不同经济环境下的时变特征。实证研究结果表明,上述模型能够较为充分地描述现实情况,并且从中发现寿险企业间市场风险相关性明显地随时间变化而变化,在金融危机时期有较高的相关度,而在正常时期相关度则有所回落,而各寿险企业的这一变化趋势呈现出较高的一致性。     

财产保险公司对地震保险的承保管控和风险控制分析

本文通过收集全球地震灾害发生的数据,归纳出全球地震的变化趋势和规律。在此基础上概述了我国地震活动规律和地震带分布特征,并引用稳定分布函数分析了地震损失具有右偏、厚尾、长尾特性,解释了我国地震保险供需矛盾的原因。最后描述了我国财产保险公司对地震风险的控制思路,提出了由政府干预解决市场失灵问题的具体建议。     

Two Classroom Simulations in Financial Risk Management and Insurance

ABSTRACT: Few classroom experiences provide as much educational value as a simulation exercise. A properly structured simulation provides students with the motivation to learn, the opportunity to explore strategies in an environment conducive to experimentation, and the immediate instructional benefit of watching their decisions affect the outcome of the collective simulation experience. This article describes the procedure and relative success of two classroom simulations for students in introductory and intermediate risk management and insurance courses. The first simulation replicates the risk management function of futures contracts through the use of hypothetical traders in the corn market with different risk management needs. The corn futures trading simulation achieves several goals for an introductory course in risk management and insurance: (1) students learn the importance of capital market risk management mechanisms; (2) students understand the transfer of risk among hedgers and speculators; and (3) students receive exposure to the concept that risk management is both possible and necessary for both speculative and pure risks. The second simulation mimics the operation of the market for homeowners insurance. By dividing students into consumer groups and insurer groups, participants experience the effect of chance events and insurance purchase decisions on their wealth. Small groups of upper‐level students act as insurers, and must price, package, and sell their product with a limited amount of surplus. Introductory students serve as consumers with limited resources who must survey the market and decide what product to buy and from whom. The competitive element and relatively unregulated market provide students with the incentive to innovate in a market for a common type of insurance and also demonstrates the need for some amount of insurance regulation. These simulations supply a simple way to enhance students' understanding of important basic concepts in a format that provides a welcome break from the traditional lecture format.     

Principles for Sustainable Insurance: Risk Management and Value

Some of the largest global insurers are actively pursuing the recently enacted Principles for Sustainable Insurance (PSI). While the concept of sustainability is often associated with a governance design that promotes stakeholder value, the PSI do not appear to be a call for stakeholder‐focused insurers. Rather, the PSI appear to be about internalizing tacit claims in the operations of insurers. Conceptual and empirical literature on shareholder value maximization suggests that when an insurer honors its tacit claims the value to shareholders increases. A key insight from practice is that a sincere pursuit of the PSI will expand the scope of corporate risk management.     

Risk Management and Insurance-Related Journals: A Survey of Risk and Insurance Academics

This research provides an assessment of the utility and quality of risk management and insurance (RMI)-related journals using professorial expert opinion. Although Social Science Citation Index (SSCI)-produced citation counts and article impact factors are widely available and commonly used methods of journal comparison, they are limited to very few generally premier journals in any field, including RMI, leaving stakeholders with substantial gaps when benchmarking journal factors. We bridge this gap by comparing RMI faculty opinion of quality to SSCI assessments for 13 journals with results indicating general consistency across these measures. The expert opinion approach is extended to assess quality across a sample of 30 RMI-related publications, along with assigning journal categories delineated based on reported academic utility, contributing to RMI boundary definitions. Posthoc analysis indicates only modest influences for some individual, institutional, and journal-related factors on professorial perceptions, evidence that expert opinions are reliable measures of RMI journal utility and quality. Additionally, only modest differences are found in journal quality assessments by academics relative to the teaching versus research institutional mission of their employers, as well as across perceived individual teaching versus research role expectations. Thus, the expert opinion approach to evaluating utility and quality, coupled with regression and subsample analysis, aids RMI academics and other stakeholders in journal assessment and boundary definition issues. These contributions to the advancement of journal assessment methodologies in general may also prove useful across academic disciplines.     

我国财产保险业的风险管理与制度创新

随着居民财富迅速扩大,国家扩内需政策的推动,汽车等消费需求的增长,未来对财产保险的消费需求将呈现快速增长的态势,这将对风险管理提出更高要求。保险公司应区别客户类别,建立相应的客户管理制度。建立严格的客户管理措施,理顺管理架构体系、坚持事前调查制度、建立准入退出机制、依法经营规范管理、严密监控分类考核,同时要加强风险管理的基础建设。     

保险公司市场风险经济资本度量研究

经济资本(EC)是在既定期间和置信水平下,公司根据实际承担的风险计算的用以吸收非预期损失的资本额度,目前市场风险是整体经济资本测算体系中最为突出的风险.根据当前保险运营与资产投资的比例特征,同时对资产端与负债端建立市场风险投资模型,采用嵌套随机模拟方法进行两阶段情景生成,度量未来一年内不同风险测度下的市场风险经济资本需求,并对比不同情景数量下的测算稳定性.结果证明:随着内部或外部情景模拟次数的增加,市场风险经济资本测算结果对于极端风险的预测趋于稳定,在内外部情景数量乘积相同时运算时间基本一致.当内外部两阶段情景生成参数差异较大的情形下,应适当增加情景生成数量,以确保对于极端风险预测的准确性.     

我国银行同业拆借市场的汇率风险管理

本文通过分析我国银行在同业拆借市场中的境外交易特征,考察了汇率波动对该市场系统性风险的影响.研究发现汇率风险使银行价值具有不确定性,因而加大了银行同业拆借的系统性风险.最后文章就如何提高银行监管效率、降低银行系统性危机传染风险等提出了相关的政策建议.