基于决策的保险业务资本配置和业务规模精算研究

中国管理科学

基于决策的保险业务资本配置和业务规模精算研究

占梦雅, 吴述金

华东师范大学金融与统计学院国际金融与风险管理中心, 上海 200042

收稿日期:2010-12-01 修回日期:2011-09-20 出版日期:2011-10-30 发布日期:2011-10-30
作者简介:占梦雅(1977- ),女(汉族),江西九江人,华东师范大学金融与统计学院讲师,经济学博士,研究方向:保险精算
基金资助:
2011年教育部人文社会科学研究青年资助项目(11YJC630276)

Actuarial Study on Capital Allocation of Insurance Business and the Scale of Business

ZHAN Meng-ya, Wu Shu-jin

School of Finance and Statistics, ECNU, Intemational Finance and Risk Management Center, Shanghai 200042, China

Received:2010-12-01 Revised:2011-09-20 Online:2011-10-30 Published:2011-10-30

摘要/Abstract

摘要： 以两目标决策模型为基础,在提出凸性是残余风险测度的自然性质的条件下,将经济资本分配解释为实现公司利润最大化目标及风险残余最小化目标下的资本分配结果;接着在非严格增和不连续边际分布条件下给出了基于两目标分层模型的经济资本分配的唯一次优解;最后给出了资本约束条件下的两目标决策优化的业务规模上界。

关键词: 残余风险, 资本分配, 业务规模, RAROC

Abstract: Based on a two-objective decision-making model,The paper proposes that the convexity is the natural character of residual risk and interpretes that the economic capital allocation is the result of maximizing the profit and minimizing the residual risk.Furthermore based on hierarchical model under the conditions of non-strictly increasing and continuous marginal distribution,The unique capital allocation is the sub-optimal solution.Finally,based on a two-objective decision-making model and under the condition of given capital,the scale of insurance business is optimized.

Key words: residual risk, capital allocation, the scale of business, RAROC

中图分类号:

F830

占梦雅, 吴述金. 基于决策的保险业务资本配置和业务规模精算研究[J]. 中国管理科学.

ZHAN Meng-ya, Wu Shu-jin. Actuarial Study on Capital Allocation of Insurance Business and the Scale of Business[J]. Chinese Journal of Management Science.

[1]	白哲, 李孟刚. 基于条件破产概率的保险公司财务预警与资本分配[J]. 中国管理科学, 2016, 24(7): 36-42.
[2]	白哲, 李孟刚. 基于条件破产概率的保险公司财务预警与资本分配[J]. 中国管理科学, 2016, 24(7): 36-42.