基于成本最小化准则的法定偿付能力设置

国际上正在酝酿着保险监管的改革,使法定偿付能力设置更合理是改革研究的重点内容之一。传统的研究通过V aR方法计算偿付能力,但是该方法自身不能确定最合适安全水平。提出在最低可接受安全水平之上,使投保人成本负担最小化的法定偿付能力设置准则。在具体建模时,考虑到投保人的风险厌恶性质,在度量投保人因保险公司破产造成的损失时使用了扭曲风险测度。该准则得到的偿付能力具有合理的经济解释,为监管机构设置保险系统的安全水平提供了决策依据。

Setting the Statutory Solvency Margin Based on Cost Minimization Criterion

Setting statutory solvency margin more reasonable is one of the insurance regulation reform focuses.Traditionally statutory solvency margin is calculated by VaR method.But VaR method itself can't tell the most suitable security level.A decision criterion is introduced that by guaranteeing the minimum acceptable security level,selects the solvency margin making the cost burden of the policyholder minimum.In view of the risk-aversive nature of the policy holders,distortion risk measures are applied to evaluate the cost of policyholders caused by the bankruptcy of the insurer.This criterion has a natural economic explanation,and helpful for the regulatory authority to decide the security level of the insurance system.