| 基于VaR的科技保险风险补偿问题研究 |
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| 引用本文： | 罗琰,谷政.基于VaR的科技保险风险补偿问题研究[J].运筹与管理,2021,30(12):185-190. |
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| 作者姓名： | 罗琰 谷政 |
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| 作者单位： | 南京审计大学 金融学院,江苏 南京 211815 |
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| 基金项目： | 国家社会科学基金项目(19BYJ171);国家自然科学基金资助项目(71971118);江苏省高校优势学科三期南京审计大学应用经济学(苏政办发[2018]87 号) |
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| 摘 要： | VaR(Value at Risk)是金融企业进行全面风险管理的有效工具,是保险公司“偿二代(C-ROSS)”量化资本要求采用的方法。本文利用VaR工具,在委托代理框架下,研究了科技保险风险补偿合同问题,阐述了科技保险风险补偿的理论依据。在对称信息与非对称信息情形下,获得了风险补偿合同的闭式解。本文结果显示,合同中固定补偿将起主导作用,最优边际补偿系数可正可负,且随保险公司置信水平增加而递减。
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| 关 键 词： | VaR 科技保险 风险补偿 |
| 收稿时间： | 2020-01-06 |
Research on the Risk Compensation of Science and Technology Insurance Based on VaR |
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| LUO Yan,GU Zheng.Research on the Risk Compensation of Science and Technology Insurance Based on VaR[J].Operations Research and Management Science,2021,30(12):185-190. |
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| Authors: | LUO Yan GU Zheng |
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| Affiliation: | School of Finance Nanjing University of Audit, Nanjing 210815, China |
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| Abstract: | VaR is an effective tool for financial enterprises to carry out comprehensive risk management, and the insurance company method of C-ROSS quantifying capital. Under the principal-agent framework, this paper studies a risk compensation contract of science and technology insurance using the VaR tool, expounds the theoretical basis of science and technology insurance risk compensation, and obtains the explicit solutions of the risk compensation contract under the cases of symmetry and asymmetry information respectively. The results indicate that fixed compensation in the contract plays a leading role, and the optimal marginal incentive coefficients could be positive or negative, decreasing with the confidence level of insurance company. |
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| Keywords: | VaR science and echnology insurance risk compensation |
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