| 基于TailVaR的我国保险公司经济资本度量研究 |
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| 引用本文： | 王稳,郭祥.基于TailVaR的我国保险公司经济资本度量研究[J].中国软科学,2012(5):148-156. |
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| 作者姓名： | 王稳 郭祥 |
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| 作者单位： | 对外经济贸易大学保险学院,北京,100029 |
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| 基金项目： | 国家社科基金重点项目(11AJY014);教育部人文社科基金规划项目(10YJA790190);对外经济贸易大学国家企业风险管理创新团队项目(73000010) |
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| 摘 要： | 经济资本集中反映企业整体层面上的风险,是企业风险管理的有效途径与重要手段。使用TailVaR方法基于正态分布与伽马分布对我国保险公司的经济资本进行测算,既满足风险度量一致性原则,又克服了风险损失率单纯依赖正态分布的假设。研究结果表明我国保险公司所需的经济资本量存在较大差异,保险公司的风险管理水平极为不同,保险公司需要建立经济资本为核心的风险管理框架以有效应对风险损失。
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| 关 键 词： | 经济资本 TailVaR 一致性风险度量 企业风险管理 |
Measurement of Economic Capital of Insurance Companies Based on TailVaR |
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| WANG Wen
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GUO Xiang.Measurement of Economic Capital of Insurance Companies Based on TailVaR[J].China Soft Science,2012(5):148-156. |
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| Authors: | WANG Wen GUO Xiang |
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| Institution: | (School of Insurance,University of International Business and Economics,Beijing 100029,China) |
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| Abstract: | As an effective way and important mean of enterprise risk management,economic capital reflects the overall risk of enterprises and is the core of the future risk management.This paper calculates Chinese Insurance companies’ economic capital using TailVaR method based on normal distribution and Gamma distribution,which not only satisfy the principle of risk measurement consistency,but also overcome the risk loss of relying solely on the normal distribution assumption.The paper also turns out the big differences between insurance companies,to show the very different levels of the insurance company’s risk management.Insurance companies need to build economic capital as the core of risk management framework to effectively deal with loss. |
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| Keywords: | economic capital TailVaR coherent measure of risk enterprise risk management |
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