统计研究 ›› 2007, Vol. 24 ›› Issue (4): 47-50.

• 论文 • 上一篇    下一篇

未偿率模型:保险公司风险度量的新方法

孟生旺 滕帆   

  1. 中国人民大学统计系
  • 收稿日期:1900-01-01 修回日期:1900-01-01 出版日期:2007-04-15 发布日期:2007-04-15

Non-Recovery Ratio: A New Risk Measure for Insurers

MENG Sheng-wang ;TENG Fan
  

  • Received:1900-01-01 Revised:1900-01-01 Online:2007-04-15 Published:2007-04-15

摘要: 本文在借鉴保险公司常用的风险度量方法,如Value at Risk、破产概率以及保单持有人预期亏空等方法的基础上,利用条件尾部期望从保单持有人和保险监管人的角度构造了一个新的风险度量模型—未偿率模型,并对该模型的性质进行了初步讨论。

关键词: 未偿率模型, 风险度量, 条件尾部期望

Abstract: Non-recovery ratio, a new risk measure for insurers, is proposed based on some measures such as Value at Risk, ruin probability, expected policyholder’s deficit, and especially TailVaR, which focuses on the interest of policyholders and supervisors. Some basic properties of non-recovery ratio are also discussed.


 

Key words: Non-Recovery Ratio, Risk Measure, TailVaR