基于成本最小化准则的法定偿付能力设置.pdfVIP

第 15 卷第 5 期 1至统工程理论方法应用 Vol. 15 No. 5 2006 年 10 月 SYSTEMS ENGINEERING-THEORY METHODOL()GY APPLlCATIONS Oc t. 2006 文章编号 :1005-2542(2006)05-0421-04 基于成本最小化准则的法定偿付能力设置 李健伦， 方兆本 (中国科学技术大学商学院，合肥 230052) 【摘要】国际上正在酝酿着保险监管的改革，使法定偿付能力设直更合理是改革研究的重点内容之一。 传统的研究通过 VaR 方法计算偿付能力，但是该方法自身不能确定最合适安全水平。提出在最低可接受安 全水平之上，使投保人成本负担最小化的法定偿付能力设直准则。在具体建模时，考虑到投保人的风险厌恶 性质，在度量投保人因保险公司破产造成的损失时使用了扭曲风险测度。该准则得到的偿付能力具有合理的 经济解释，为监管机构设直保险系统的安全水平提供了决策依据。 关键词:法定偿付能力;成本最小 1t; 偿付能力成本;扭曲风险测度 中图分类号 :F 840 文献标识码 :A Setting the Statutory Solvency Margin ?ased on Cost Minimization Criterion LI Jian-lun 、 FANG Zhao-ben (Business School , University of Science and Techology of China. Hefei 230052. China) [Abstract Setting statutory solvency margin more reasonable is one of the insurance regulation reform fo? cuses. Traditionally statutory solvency margin is calculated by VaR method. But VaR method itself can t tell the most suitable security level. A decision criterion is introduced that by guaranteeing the minimum acceptable security level.selects the solvency margin making the cost burden of the policyholder minimum. In view of the risk-aversive nature of the policy holders , distortion risk measures ilre ilPplied to evaluate the cost of policyholders caused by the bankruptcy of the insurer. This criterion hilS il nilturill economic expla nation.ilnd helpful for the regulatory authority to decide the security level of the insurance system. Key words: statutory solvency margin; cost minimization; cost o[ solvency margin; distortion risk mea sure 在国际上，紧随商业银行监管改革的步伐，保险