摘要
巨灾保险基金作为分散巨灾风险的重要手段,已经引起政府和社会各界的广泛关注,并且深圳和宁波已于2014年陆续建立了巨灾风险分散制度,但限于该制度对政府资金的过度依赖性,很难在全国范围内推广。通过对比分析现有巨灾风险分散模式存在的问题,提出了建立跨区域型台风巨灾保险基金的具体设计方案。首先,运用GPD分布下的POT模型模拟台风巨灾损失强度分布,结合复合泊松过程测度基金初始规模;其次,计算出不同置信度下的VaR和CVaR值,并据此设计损失补偿机制;再次,运用灰色关联度法,对11个沿海地区的台风风险进行区划,进而根据各地区的经济发展水平制定初始资金的分配比例;最后给出结论和政策建议。
As an important means to spread the catastrophe risk, the catastrophe insurance fund has aroused wide concern of the government and all walks of life. Although the catastrophe insurance system of Shenzhen and Ningbo have established in 2014, limited to the dependence of government finance, this new system is difficult to promote in other regions. Therefore, comparing the different models and defects existing, the essay proposes to establish a cross-regional typhoon catastrophe insurance fund which fits our national conditions. Firstly, based on POT model under GPD distribution,the essay simulates the distribution and uses Compound Poisson Process to measure the scale of typhoon catastrophe loss. Secondly, VaR and CVaR models are used for the design of loss compensation mechanism. Thirdly, the essay uses gray system theory to divide 11 coastal regions into different premiums levels, and set up the proportion of the initial allocation funds according to the level of regional economic development. The paper finally gives the conclusions and policy recommendations.
出处
《中国软科学》
CSSCI
CSCD
北大核心
2017年第6期69-80,共12页
China Soft Science
