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中国管理科学

中国管理科学 ›› 2006, Vol. ›› Issue (4): 6-12.

• 论文 • 上一篇    下一篇

估算我国保监会对产险业的容许破产概率

李健伦, 方兆本   

  1. 中国科学技术大学管理学院, 安徽, 合肥, 230026
  • 收稿日期:2005-07-28 修回日期:2006-07-15 出版日期:2006-08-28 发布日期:2012-03-07

Estimating the Permitted Ruin Probability of CIRC towards P&C Insurers

LI Jian-lun, FANG Zhao-ben   

  1. School of Management, University of Science and Technology of China, Hefei 230026, China
  • Received:2005-07-28 Revised:2006-07-15 Online:2006-08-28 Published:2012-03-07

PDF (PC)

1357

被引次数

12

摘要： 根据保险业监管的现行法规和产险业的公开数据,使用copula方法和准蒙特卡罗模拟方法探讨我国保监会对产险业的容许破产概率.通过估算,得到了此容许破产概率为1.28%.该数值对我国的偿付能力监管改革具有基准参照点的意义.最后,文章利用模拟产生的样本点对政策系数与容许破产概率的关系进行了分析.

关键词: 偿付能力, 容许破产概率, 模拟计算, copula函数

Abstract: This paper makes researches on the permitted ruin probability of the China Insurance Regulatory Commission towards P&C insurance industry.Based on the current regulation rules of the Chinese insurance industry and released data,Copula method and Quasi Monte Carlo simulation are applied to estimate the permitted ruin probability.The estimaed probabliity is 1.28%.This value can serve as a benchmark for the China solvency regulation reform.Furthermore,the relationship between the policy coefficients and the permitted ruin probability is analyzed by simulated samples.

Key words: solvency margin, permitted ruin probability, simulation, copula function

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