保险合同在险价值的一种蒙特卡洛模拟算法

A Monte Carlo Simulation Method to Calculate the Value at Risk of Insurance Contract

摘要: 近年，随着生活水平的提高，人们购买保险的意识不断增强，中国的保险行业得到进一步发展。保险公司在推出新的保险计划时，往往要在保险售出之前，估计保险公司在未来一段时间内可能承担的最大损失，以确保保险公司留有充足的资金来应对未来难以预见的风险。本文利用在险价值的蒙特卡洛模拟算法为保险公司估计风险，使其能准确呈现保险公司所面临风险的状况，同时利于监督机关建立适当的监督措施，来保障保险人的权益并维持金融市场的稳定。

Abstract: With the improvement of living standard, people’s consciousness in buying insurance goes stronger and business in China’s insurance industry have developed further in recent years. When an insurance company introduces a new insurance plan, it needs to estimate the biggest loss that it will face with in future, so that the insurance company can keep enough fund to deal with the un-predictable risk. In this paper, we use the value at risk Monte Carlo simulation method to estimate the risk for the insurance company, in order to accurately show situation of the risk that the in-surance company faces with. At the same time, it is helpful for the supervising organ to establish proper supervision measures, so as to protect the insurers’ rights and interests, and maintain sta-bility of financial market.