偿付能力监管中的概率模型的引入

颖 王(湖北工业大学，中国)

摘要

经历全球金融危机后，保险监管应该如何调整？是否也可以借鉴银行监管的概率模型成为西方许多国家探索的重要内容。所谓的概率模型就是保险公司可以通过概率模型来计算他们在不同状况下的风险暴露程度，以计算统计分布中包含到了所有范围内的风险变量、相关结果以及这些结果发生的概率。

关键词

概率模型；风险暴露程度；VaR模型

参考

Luke N. Girard. An Approach to Fair Valuation of Insurances Liabilities Using the Firm’s Cost of Capital [J]. North American Actuarial Journal,2002.6(2).

Shaun Wang. A Set of New Method and Tools for Enterprise Risk Capital Management Portfolio Optimization [J]. Astin Bulletin,2002(3):43-75.

Sherris M. Equilibrium Insurances Pricing, Market Value of Liabilities and Optimal capitalization. UNSW Actuarial Studies Working Paper[Z]. 2020.

Stewart C. Myers., James A. Read, Jr. Capital Allocation for Insurance

Companies [J]. Journal of risk and insurance,2001(68):545-580.

Zeppetella T. Allocation of Required Capital by Line of Business. Society of Actuaries, Intracompany Capital allocation Papers[Z].2002.

DOI: http://dx.doi.org/10.12345/fm.v1i3.12055