考虑再保险的存款保险定价及其应用.pdfVIP

摘 要 系统性银行危机（systemic banking crisis ）的浪潮自20 世纪80 年代以来波 及全球。作为金融安全网的三大支柱之一的存款保险制度在防范银行挤兑、保护 存款人的合法权益、维护各国乃至世界金融市场的稳定方面作出了重要贡献。然 而随着金融全球化的趋势不断扩大，银行面临的风险越来越大，突发性事件带来 的损失也越来越多，像巴林银行事件、英国北岩银行事件等等。于是我们就会发 现单个存款保险公司由于自身资产有限，面对如此巨大的损失也显得柔弱无力。 为了应对这个问题，本文将再保险引入存款保险领域，按照保险公司承保的 损失区间的划分，将保险公司分为原保公司和再保公司，原保公司承保的损失不 能超过一个上限，超过部分由再保公司来承担。我们设计了两个模型，在第一个 模型中，假定银行资产的运动过程服从几何布朗运动这种简单的情形，在此前提 下，我们运用保险精算方法推导原保险和再保险定价公式；在第二个模型中，为 了使模型更能拟合资产分布的尖峰厚尾现象，考虑用带Possion 跳的扩散过程来 拟合银行资产的运用过程，同时在此基础上运用保险精算方法推导出最终的原保 险与再保险定价公式。在实证环节，针对第一个模型本文选用 R-V 模型的方法 间接得出银行的资产价值和波动率，并与相同随机过程下不考虑再保险因素的结 果进行了比较；针对第二个模型，本文运用极大似然估计方法估算出跳跃模型的 参数，然后将其带入定价公式估算出原保险和再保险的数值结果，同时也与相同 跳跃扩散过程下不考虑再保因素的结果进行了比较。 关键词：存款保险；再保险；保险精算定价；跳跃扩散过程 I Abstract Since the 1980s, systemic banking crisis spread to the whole world. The deposit insurance, as one of the three pillars of financial safety nets, had made an important contribution to resist bank runs, protect the legitimate rights of depositors and maintain the financial market ’s stability of a country, even the global. However, with the growing trend of financial globalization, the risks faced by banks are getting larger, more and more losses come from sudden events, such as the Barings Bank incident, United Kingdom Northern Rock events and so on. So we will find a phenomenon that a single holding limited assets ’deposit insurance company seems weak in the face of such a huge loss. In order to address this problem, the reinsurance is introduced to the deposit insurance field in this article, in accordance with the division of insurance losses, insurance are divided into primary insurance company and reinsurance company, the original insurance company’s underwriting losses don’t exceed a ceiling, the e