估算我国保监会对产险业的容许破产概率

Abstract

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

CLC Number:

F840

LI Jian-lun, FANG Zhao-ben. Estimating the Permitted Ruin Probability of CIRC towards P&C Insurers[J]. Chinese Journal of Management Science, 2006, (4): 6-12.

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

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