【摘要】 根据现实的利率数据建立拟合程度较高的利率机制转换模型,对利率风险进行准确刻画.在构建基于利率转换模型的经济资本度量模型的基础上,以两全保险为例,运用嵌套随机模拟方法得到基于机制转换模型的利率风险经济资本量化结果,并分析了与机制转换模型相关的参数对利率风险经济资本的敏感度.结果表明:马尔可夫机制转换的利率模型比传统利率模型能更好地拟合现实利率数据;相较机制转换利率模型,传统利率模型下计算的经济资本偏低,利率风险被低估;保险公司在利率缓慢上升时比快速下降时需要更多的经济资本;与机制转换相关的参数对经济资本影响的敏感性不同.本文通过机制转换模型对保险公司经济资本进行了较为精准的度量,拓宽了经济资本的研究框架,丰富了保险公司风险管理理论,为经济资本的实际应用提供了参考与借鉴.更多还原

【Abstract】 According to the real interest rate data, the regime switching model of interest rate with higher fitting degree is established to accurately describe the interest rate risk. Based on the combination of the economic capital measure model and the regime switching model of interest rate, the quantitative results of the economic capital are obtained by applying the nested stochastic simulation method with endowment insurance as an example. The sensitivity of the parameters associated with the regime switching model is analyzed. The results show that the Markovian regime switching model fits the real interest rate data better than the traditional model.The economic capital calculated under the traditional interest rate model is lower than the regime switching version and the interest rate risk is underestimated. Insurance companies need more economic capital when the interest rate rises slowly than when it falls rapidly and the parameters associated with the regime switching have different sensitivities to economic capital. This paper provides a more accurate measurement of economic capital of insurance companies using the regime switching model.更多还原