基于Haezendonck-Goovaerts风险度量的资本配置

吉林大学学报(理学版)

基于Haezendonck-Goovaerts风险度量的资本配置

荀立¹, 董娜娜¹, 王德辉²

1. 长春工业大学基础科学学院, 长春 130012; 2. 吉林大学数学学院, 长春 130012

收稿日期:2014-09-22 出版日期:2015-07-26 发布日期:2015-07-27
通讯作者: 王德辉 E-mail:Wangdh@jlu.edu.cn

Capital Allocation Based on HaezendonckGoovaerts Risk Measure

XUN Li¹, DONG Nana¹, WANG Dehui²

1. School of Basic Science, Changchun University of Technology, Changchun 130012, China;2. College of Mathematics, Jilin University, Changchun 130012, China

Received:2014-09-22 Online:2015-07-26 Published:2015-07-27
Contact: WANG Dehui E-mail:Wangdh@jlu.edu.cn

摘要/Abstract

摘要：

用Haezendonck-Goovaerts风险度量方法解决保险公司的资产配置问题, 在设定保险人理赔总额上限的情况下, 基于Haezendonck-Goovaerts风险度量评估短期个别风险模型的个体理赔风险, 得到了配置给个体风险的资本金额、相应的Orlicz分位点, 以及保险人财务安全条件下的门限值、个体风险资本金额、置信水平与保险人容忍上限的关系式.

关键词: 短期个别风险模型, 资本配置, HaezendonckGoovaerts风险度量, Young函数, Orlicz分位点

Abstract:

HaezendonckGoovaerts risk measure was used to investigate the capital allocation in the insurance company. The individual risk in temporal individual risk model was evaluated based on HaezendonckGoovaerts risk measure in the case of the insurer’s total claim ceiling given. The allocated capital for the individual risk and the corresponding Orlicz quantile were computed. Then the relationships between the threshold, the individual risk capital, the confidence level and the insurer’s tolerance upper bound were elaborated in the case of the insurer’s financial safety. Finally, the numerical simulation and comparative analysis were provided. It provides the basis for the decisionmaking for the capital allocation in the insurance company.

Key words: temporal individual risk model, capital allocation, HaezendonckGoovaerts risk measure, Young function, Orlicz quantile

中图分类号:

O213

荀立, 董娜娜, 王德辉. 基于Haezendonck-Goovaerts风险度量的资本配置[J]. 吉林大学学报(理学版), 2015, 53(04): 634-640.

XUN Li, DONG Nana, WANG Dehui. Capital Allocation Based on HaezendonckGoovaerts Risk Measure[J]. Journal of Jilin University Science Edition, 2015, 53(04): 634-640.