Copula在非寿险准备金评估及其风险分散中的应用.pdf

摘 要 保险公司不同保险业务之间的相关关系会产生风险分散效益，建立适当的 相关结构模型对确定法定偿付能力水平所需要的准备金十分重要。 本文应用正态Copula函数和不同保险业务的损失三角形，建立损失的多元 联合分布模型，研究损失三角形的相关关系。通过给出的估计步骤可以预测未 来损失，估计损失准备金，并通过三种风险度量方法得出不同相关结构下的风 险分散效益以及和归于每个损失三角形的风险分散效益等。本文将具体的方法 应用于中国非寿险公司的实际数据，对国内保险公司结合自身情况进行相关理 论研究和实际应用具有很好的参考价值和实际意义。 本文第一章介绍了研究背景和本文的结构。 第二章介绍了Copula的基本理论，常用的Copula函数以及应用Copula建模 的主要优势等。 第三章介绍了Copula 在非寿险准备金评估中的应用。建立损失三角形的正 态 Copula 模型，研究损失三角形的相关关系，估计损失准备金，并度量不同相 关结构下的风险分散效益及其归因。 第四章总结了本文主要结论和不足之处，并提出扩展和修正方法。 关键词：Copula；准备金；风险分散效益 1 Abstract Diversification benefits arise from the underlying dependency structures between different lines of business for an insurance company. So, appropriate dependency modelling is essential for determining the mandatory solvency level of reserves. This paper takes on Normal copulas models as well as loss triangles of different lines of business to construct joint multivariate distribution model of losses and study the dependency structure. Estimation procedures are given to finish the forecasting of future losses as well as the calculation of overall reserves, diversification benefits and the benefits attributable to each loss triangle with three risk measures. Besides, the methods are illustrated on practical data of a nonlife-insurance company in China, which will make sense for relevant theory study and practice for nonlife-insurance companies in China. Chapter 1 introduces the background and the structure of the paper. Chapter 2 introduces the basic theory of copula, several common copulas and advantages of copula. Chapter 3 introduces the application of copula for reserve estimation of nonlife-insurance companies. After building up