保费收入随机化条件下的保险公司破产概率模型研究

保费收入是保险公司破产概率的重要影响因素。传统的保险公司破产概率模型常将保费收入过程看作连续的确定性过程,然而在现实中,保费收入过程却是一个离散的随机过程。本文用复合泊松过程描述保费收入,从而将确定性保费收入条件下的破产概率模型拓展到随机化保费收入条件下的破产概率模型,在此基础上模拟计算了保险公司破产概率,并比较分析了不同的保险资金投资模式对破产概率的影响。     

Probability of ruin for a risk process with claims cost inflation

Abstract

This paper has been inspired by a very interesting article by Taylor (1979) in which he considered the effect of claims cost inflation on a compound Poisson risk process. The present paper divides naturally into two parts. In the first part we show, under very general conditions, that if claims costs are increasing and if the premiums are increasing at the same rate then ultimate ruin is certain for the risk process. In the second part we try to determine how fast the premiums should increase in order that ultimate ruin should not be certain for such a risk process.     

中国保险费率管理制度的变迁与改革

自国内保险业恢复发展以来,费率管理就作为一项重要的保险管理制度确立起来。随着保险业发展情况的变化和政府对金融业管理体制的调整,中国保险业费率管理制度先后经历了分散的指导性管理、严格的集中统一管理和市场化管理三个发展阶段,并正在向更加全面的费率市场化管理迈进。梳理和回顾这一变迁过程的诱因和成果,对于继续推进保险费率市场化改革意义重大。     

Time-varying term premium in T-bill futures rate and the expectations hypothesis

This paper examines time-varying term premium in the T-bill futures rate to determine its significance for the expectations hypothesis (EH). Similar to previous studies on the T-bill forward rates, our data reject the joint hypothesis of the EH and the rational expectations hypothesis (RE). Under the assumption of zero rational expectational error, we find a substantial variation of term premium in the futures rate over time. Furthermore, the lower bound of the expected term premium variance is significantly positive when the rational expectational error is allowed to be nonzero. These findings are inconsistent with the EH. In addition, a relatively high ratio of the lower bound of the expected term premium variance to the prediction error variance implies that the poor predictive power of the futures rate should not be attributed mainly to the market's rational expectational errors.     

财产保险费率市场化的生成机制研究

我国财产保险费率市场化经历了管制——解除管制——管制三个阶段,目前,费率市场化的生成机制仍未形成。本文从财产保险定价的特殊性出发,探讨财产保险费率市场化应具备的特殊条件,以及促使上述条件得以生成的机制,并对费率市场化的两种生成机制进行比较分析,提出我国下一步费率政策改革的建议。     

Forward interest rate premium and asymmetric adjustment: Evidence from 16 countries

This paper examines the ability of the forward premium to provide an unbiased estimate of the future spot rate allowing for potential asymmetries. Extant evidence suggests that forward rates provide a biased predictor of future spot rates. Examining the forward premium for 16 countries, only for 2 countries does the linear expectations hypothesis holds. For the remaining countries, results generally support the view that the larger the forward premium the better a predictor for future spot rates it is, however, this result is not unique across all countries. Furthermore, although the asymmetric model improves data fit over the linear model, only in four cases does the model support an unbiased predictor interpretation. Further research is therefore required to understand the nature of this relationship, not least given the importance of correctly priced forward and long rates in terms of expected returns to future investments and the conduct of monetary policy.     

A ruin model with a resampled environment

ABSTRACT

This paper considers a Cramér–Lundberg risk setting, where the components of the underlying model change over time. We allow the more general setting of the cumulative claim process being modeled as a spectrally positive Lévy process. We provide an intuitively appealing mechanism to create such parameter uncertainty: at Poisson epochs, we resample the model components from a finite number of d settings. It results in a setup that is particularly suited to describe situations in which the risk reserve dynamics are affected by external processes. We extend the classical Cramér–Lundberg approximation (asymptotically characterizing the all-time ruin probability in a light-tailed setting) to this more general setup. In addition, for the situation that the driving Lévy processes are sums of Brownian motions and compound Poisson processes, we find an explicit uniform bound on the ruin probability. In passing we propose an importance-sampling algorithm facilitating efficient estimation, and prove it has bounded relative error. In a series of numerical experiments we assess the accuracy of the asymptotics and bounds, and illustrate that neglecting the resampling can lead to substantial underestimation of the risk.     

The ex ante real rate and inflation premium under a habit consumption model

This paper analyzes and quantifies ex ante components of bond yields – real rate of returns and risk premiums – from observed prices of nominal and indexed bonds in the United Kingdom from 1983 to 2000. The estimation uses an asset pricing framework based on a habit consumption model together with a joint formulation of consumption growth and inflation. Nominal yields carry a time-varying inflation premium that is significant throughout the period, increasing in the bond's maturity and contributing up to 25 basis points to yearly nominal yields. The analysis allows the extraction of the ex ante real rate from indexed bonds by properly taking into account both the incomplete indexation on these instruments and the inflation premium embedded in the nominal bonds.     

Optimal proportional reinsurance with a loss-dependent premium principle

ABSTRACT

Empirical studies suggest that many insurance companies recontract with their clients on premiums by extrapolating past losses: a client is offered a decrease in premium if the monetary amounts of his claims do not exceed some prespecified quantities, otherwise, an increase in premium. In this paper, we formulate the empirical studies and investigate optimal reinsurance problems of a risk-averse insurer by introducing a loss-dependent premium principle, which uses a weighted average of history losses and the expectation of future losses to replace the expectation in the expected premium principle. This premium principle satisfies the bonus-malus and smoothes the insurer's wealth. Explicit expressions for the optimal reinsurance strategies and value functions are derived. If the reinsurer applies the loss-dependent premium principle to continuously adjust his premium, we show that the insurer always needs less reinsurance when he also adopts this premium principle than when he adopts the expected premium principle.     

Examining the bond premium puzzle with a DSGE model

The basic inability of standard theoretical models to generate a sufficiently large and variable nominal bond risk premium has been termed the “bond premium puzzle.” We show that the term premium on long-term bonds in the canonical dynamic stochastic general equilibrium (DSGE) model used in macroeconomics is far too small and stable relative to the data. We find that introducing long-memory habits in consumption as well as labor market frictions can help fit the term premium, but only by seriously distorting the DSGE model's ability to fit other macroeconomic variables, such as the real wage; therefore, the bond premium puzzle remains.     

The effects of Federal funds rate surprises on S&P 500 volatility and volatility risk premium

In this paper, we examine the effects of expected and surprise components in Federal funds target rate changes on realized and implied volatility. We find that surprise changes in the target rate significantly increase volatility. Consistent with the efficient market hypothesis, our analysis suggests that the expected component of a target rate change as well as the target rate change itself, do not significantly affect volatility. We also show that larger than expected decreases in the Federal funds target rate tend to lower the volatility risk premium.     

我们对中国A股长期看好--访摩根大通中国证券市场部主席李晶

记者:您怎样评价目前中国金融市场的发展状况? 李晶:中国金融市场进入了一个新的纪元,有一些新的发展情况,从2006年5月1日开始,政府取消了实行1年A股发行新股的限制,几年以来A股比香港上市的数量少了很多,特别是去年的股改开始,一年以来没有任何的新股在A股上市.     

Convolution of uniform distributions and ruin probability

Abstract

This paper presents an “operational calculus” method for evaluating the convolution of uniform distributions and applies it to solve a problem in ruin theory.     

Approximate values of premium return assurances

Premium return assurances are often connected with annuities, with various provisions. In the following it is assumed that the amount to be returned at the death of the annuitant is equal to the difference between the purchase money and the annuity payments that have been received.     

A meta-analysis of the equity premium

The equity premium is a key parameter in asset allocation policies. There is a vigorous debate in the literature regarding the actual measurement of the equity premium, its size and the determinants of its variation. This study aims to take stock of this literature by means of a meta-analysis. We identify how the size of the equity premium depends on the way it is measured, along with its evolution over time and its variation across regions in the world. We find that the equity premium is significantly lower if measured by ex ante methods rather than ex post, in more recent periods, and for more developed countries. In addition, looking at the underlying fundamentals, we find that larger volatility in GDP growth tends to raise the equity premium while a higher nominal interest rate has a negative impact on the equity premium.     

Predicting the equity premium with dividend ratios: Reconciling the evidence

This paper evaluates the ability of dividend ratios to predict the equity premium. We conduct an in and out-of-sample comparative study and apply the Goyal and Welch (2003) graphical method to equity premia derived from the UK FTSE All-Share and the S&P 500 indices. Preliminary in-sample univariate regressions reveal that in both markets the equity premium contains an element of predictability. However, the considered out-of-sample models outperform the historical moving average only in the UK context. This is confirmed by the graphical diagnostic which further indicates that dividend ratios are useful predictors of UK excess returns. Our paper provides a possible explanation of why dividend ratios might be more informative in the UK market by linking these findings to the disappearing dividend phenomenon. Finally, Campbell and Shiller (1988) identities are employed to account for the time-varying properties of the dividend ratio and dividend growth processes. It is shown that by instrumenting the models with the identities, forecasting ability can be further improved.     

Analysis of ruin measures for the classical compound Poisson risk model with dependence

In this paper, we consider an extension to the classical compound Poisson risk model. Historically, it has been assumed that the claim amounts and claim inter-arrival times are independent. In this contribution, a dependence structure between the claim amount and the interclaim time is introduced through a Farlie–Gumbel–Morgenstern copula. In this framework, we derive the integro-differential equation and the Laplace transform (LT) of the Gerber–Shiu discounted penalty function. An explicit expression for the LT of the discounted value of a general function of the deficit at ruin is obtained for claim amounts having an exponential distribution.     

The term structure of the forward premium

Most studies of the efficiency of the foreign exchange market focus on a single maturity — usually a one month forward exchange rate. However, one observes that forward contracts of many maturities are simultaneously traded in the foreign exchange market. The hypothesis that the foreign exchange market uses all available information has implications for the joint behavior of forward exchange rates of various maturities. This paper proposes an equilibrium theory of the term structure of the forward premium. The model is tested using data on the German and Canadian exchange rates; the results indicate that the data are consistent with the theory for Germany and inconsistent with the theory for Canada.