基于copula函数的保险业经济资本测度——以健康险、寿险为例

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1、万方数据ResearchoftheEconomiCCapitaIoftheInsuranceIndustrybasedonCopuIaModeI——TakingHealthInsuranceandLifeInsuranceforExampIeAbstractTheChineseinsuranceindustrykeepshighlyrapidgrowthsince1980s，whenthecountryrestartedtheinsuranceindustry．Withtherapidgrowthoftheindustry,in

2、surancecompaniespaysmoreattentiontotheriskmanagementandprediction．Asoneofthethreecolumnsoffinancialindustry,theinsuranceindustryshouldpaymoreattentionontheriskmanagement，whichisessentialforthemtosurviveinthefiercecompetition．Asanadvancedriskmanagementskill，theeconomi

3、ccapitaltheoryisusedintheriskmanagementworkofcommercialbanks．Withthedevelopmentofthetheory，itisalsousedintheinsuranceindustry．TheeconomiccapitaltheoryhasbeenaninternationalmajorriskmanagementskillofinsuranceindustrywhileithasbeenknownfortheChineseinsuranceindustryfor

4、onlymorethantenyears，itwillbeamaintrendofChineseinsuranceindustry．Firstly,thisresearchexplainsthemainriskswhichtheinsurancecompanieswilloccur,thenitexplainsthecomplexrelationshipoftherisk,capitalandprofit．Thisresearchcomparestheeconomiccapitalwiththeminimumcapitaland

5、bookcapitalwhichwillshowtheadvantagesoftheeconomiccapital．Asthemeasurementofeconomiccapital，thisstudyshowstheshortcomingsofthetraditionalmethodsandadvantagesofVaRandTVaRmethods，onwhichthisresearchcalculatetheeconomiccapital．Astheintegrationoftherisk，thisstudyusestheC

6、opulafunctionwhichisusedasamethodtodescribetherelationshipofsomevariables．ThisresearchshowscomparestheCopulafunctionwithsometraditionalmethodswhichshowstheshortcomingsoftraditionalmethod．Thisresearchusesthelogarithmicgrowthratesofhealthinsuranceandlifeinsurancewhicha

7、reintegratedbytheFrankCopulamodel．Besides，theeconomic万方数据capitalofJanuary2015iscalculatedbyMonteCarollosimulationbasedontheVaRandTVaR，theeconomicofJanuary2015is504．37236millionYuan，whichtakes6．88％oforiginalpremiumincome．Themaininnovationsofthispaperlieinthefollowingt

8、wopoints：1．Thisstudyuseseconomictheorytodescribetheriskofhealthinsuranceandlifeinsurancewhichisthemostpopulartheoryoftheriskmanagem