基于POT模型的地震再保险定价研究
The Study of Seismic Reinsurance Pricing Question Based on POT Model
DOI: 10.12677/SA.2017.63037, PDF, HTML, XML, 下载: 1,597  浏览: 2,569  科研立项经费支持
作者: 孟芊汝*, 王喆：大连理工大学，数学与科学学院，辽宁 大连；尚勤：大连理工大学，管理与经济学部，辽宁 大连
关键词: POT模型；阈值；复合泊松分布；再保险；POT Model； Threshold； Compound Poisson Distribution； Reinsurance
摘要: 中国是世界上自然灾害最为严重的国家之一，而再保险作为巨灾风险管理的有效手段，在我国的发展极不成熟。本文以地震巨灾为例，基于中国大陆地区1996年至2015年4.5级以上地震造成的直接经济损失数据，运用POT模型和广义帕累托分布(Generalized Pareto Distribution, GDP)对地震巨灾风险进行测算，并给出不同的置信度水平下VaR。最后，利用复合泊松分布的定义和性质给出再保险公司在不同免赔额下净保费的计算方法。为我国巨灾再保险定价研究提供了理论参考和数据支持。
Abstract: China is one of the countries with serious natural disasters in the world. But as an effective means to manage catastrophe risk, reinsurance develops immaturely in our country. In this paper, we take earthquake catastrophe for example. Basing on the direct economic loss data of the earthquake which exceed the M4.5 class from 1996 to 2015, we use POT model and the distribution of GPD to calculate earthquake catastrophe risk and give the VAR under different levels of confidence. In the end, by using the definition and properties of compound Poisson distribution, we put forward a method to calculate the net premium under different deductible undertaken by the reinsurance company. The paper provides theory reference and data support for the study of catastrophe reinsurance pricing question in our country.
文章引用：孟芊汝, 尚勤, 王喆. 基于POT模型的地震再保险定价研究[J]. 统计学与应用, 2017, 6(3): 320-332. https://doi.org/10.12677/SA.2017.63037

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