巨灾的频繁发生已引起了社会各界的高度关注。本文应用阈顶点模型(Peaks over threshold,POT)和广义帕累托分布(generalized pareto distribution,GPD),对我国1969—2012年间的地震直接经济损失数据进行拟合,利用不同方法探讨了最优阈...巨灾的频繁发生已引起了社会各界的高度关注。本文应用阈顶点模型(Peaks over threshold,POT)和广义帕累托分布(generalized pareto distribution,GPD),对我国1969—2012年间的地震直接经济损失数据进行拟合,利用不同方法探讨了最优阈值的选取问题,并采用极大似然法对GPD分布的参数进行了估计。经检验发现POT模型拟合巨灾风险厚尾部分的效果较好。文章还探索了POT模型在VaR上的应用,并提出用CVaR、PML这2种风险测度指标来改善VaR。最后利用复合泊松分布的可分解性及实际损失额在不同起赔点下具有的不同分布函数的事实,充分考虑了不同情况下纯保费的计算。展开更多
This article summarizes a joint research projec undertaken under the Risk Management Solutions, Inc(RMS) banner to investigate some of the possible approaches for agricultural risk modeling in China. Two modeling appr...This article summarizes a joint research projec undertaken under the Risk Management Solutions, Inc(RMS) banner to investigate some of the possible approaches for agricultural risk modeling in China. Two modeling approaches were investigated—the simulated weather crop index and the burn yield analysis approach. The study was limited to Hunan Province and a single crop—rice. Both modeling approaches were dealt with probabilistically and were able to produce probabilistic risk metrics. Illustrative model outputs are also presented. The article discusses the robustness of the modeling approaches and their dependence on the availability, access to, and quality of weather and yield data. We offer our perspective on the requirements for models and platforms for agricultural risk quantification in China in order to respond to the needs of all stakeholders in agricultural risk transfer.展开更多
文摘巨灾的频繁发生已引起了社会各界的高度关注。本文应用阈顶点模型(Peaks over threshold,POT)和广义帕累托分布(generalized pareto distribution,GPD),对我国1969—2012年间的地震直接经济损失数据进行拟合,利用不同方法探讨了最优阈值的选取问题,并采用极大似然法对GPD分布的参数进行了估计。经检验发现POT模型拟合巨灾风险厚尾部分的效果较好。文章还探索了POT模型在VaR上的应用,并提出用CVaR、PML这2种风险测度指标来改善VaR。最后利用复合泊松分布的可分解性及实际损失额在不同起赔点下具有的不同分布函数的事实,充分考虑了不同情况下纯保费的计算。
文摘This article summarizes a joint research projec undertaken under the Risk Management Solutions, Inc(RMS) banner to investigate some of the possible approaches for agricultural risk modeling in China. Two modeling approaches were investigated—the simulated weather crop index and the burn yield analysis approach. The study was limited to Hunan Province and a single crop—rice. Both modeling approaches were dealt with probabilistically and were able to produce probabilistic risk metrics. Illustrative model outputs are also presented. The article discusses the robustness of the modeling approaches and their dependence on the availability, access to, and quality of weather and yield data. We offer our perspective on the requirements for models and platforms for agricultural risk quantification in China in order to respond to the needs of all stakeholders in agricultural risk transfer.
