【作者】 刘丹；

【导师】 孟生旺；

【作者基本信息】 天津财经大学 ， 金融学， 2006， 硕士

【摘要】 保险公司的定价方法一直以来是保险领域研究的重中之重,近几十年来,研究学者与保险从业人员一直着眼于如何确定保险公司承保运作的公平性、可竞争性与收益率,金融定价模型的出现在一定程度上解决了这些问题,填补了传统定价方法不合时宜的地方。本文共分为四章。第一章对早期的定价理论进行简要的阐述,这也为金融定价模型的出现奠定了研究基础,以经典的投资理论为框架,具有超现实的意义。第二章对各类模型进行详尽的阐述。模型主要包括:目标承保边际利润模型,目标总收益率模型,保险资本资产定价模型,折现现金流模型,内部收益率模型,期权定价模型,套利定价模型。这部分是本文最重要的理论基础。第三章首先对我国一家保险公司(中国人民保险公司)进行金融描述,包括对各类变量的描述,然后对该公司应用各个定价模型进行实证分析,从而确定合理的费率水平和承保边际利润。最后,用一系列参数值对模型进行检验,这些参数值均来自这家保险公司,并在随后说明哪些参数最需要准确的度量,哪些模型最容易随着不同变量的变化而受到影响。这些分析说明了每种模型的潜在能力和缺点。通过比较不同定价方法的合理承保利润边际,强调他们的差别。这样,能使公司管理者和监管者在多变的业务环境下更好的测量采用某种方法对价格产生的潜在影响。第四章对本文进行概括性的总结,并对我国应用金融定价模型提出实践性指导,使整篇文章的结构更加清晰。更多还原

【Abstract】 Ratemaking techniques for property/casualty insurers are rather important contents all along. Thedetermination of a “fair,” or competitive, rate of return for property/casualty insuranceunderwriting operations has been the subject of increasing scrutiny over the last several decadesamong both academics and insurance practitioners. A number of property/casualty insurancepricing models have been proposed, developed, and/or applied, they also made up somelimitations in traditional pricing models. Four parts are contained in the paper.The first part summarizes the traditional pricing models that are basis for alternative pricingmodels which base on classic investment theories simultaneously.The second part specifies a variety of financial pricing models that have been proposed forproperty/casualty insurance, including the Target Total Rate of Return approach, the CapitalAsset Pricing Model, several Discounted Cash Flow approaches, the Internal Rate of ReturnModel, the Option Pricing Model, and the Arbitrage Pricing model. The specification istheoretical consideration.The third part introduces financial statements of all the variables used in a representative insurer(PICC) and generates a financial statement for a representative insurer and then applies eachpricing model to this insurer to determine the appropriate premium level and underwriting profitmargin. Finally, the models are examined over a range of parameter values that occur acrossinsurers and over time to demonstrate which parameters need to be measured most accurately,and which models are most impacted by changes in different variables. This analysis illustratespotential strengths and weaknesses of each technique. By comparing the indications of fairunderwriting profit margins under each of these pricing methods, their differences will behighlighted. This will allow both company management and regulators to better gauge thepotential impact on prices of adopting one or another technique in various businessenvironments.The last part summaries the resultes and also serves as a practical guide for applying thesemodels in order to encourage more widespread use of these approaches.更多还原