存款保险费率的敏感性分析及实证检验

资本充足率、存款保险费率是发达国家普遍采用的维持银行稳定的基本措施,一般来说资本充足率越高,则所需的存款保险费率越低,银行为减小成本,都希望在合理控制风险的前提下减少所缴纳的存款保险.本文使用根据期权思想建立的存款保险定价模型,推导了存款保险费率对资本充足率的敏感性系数;其次根据中国上市银行的数据进行测算,分别计算了14家银行每增加一个单位的资本充足率可降低存款保险费率的数额,并对实证的结果进行比较;最后给出相关结论.     

09-0519(四次修改稿)_陈磊 (存款保险费率的敏感性分析及实证检验) 2010-04-23

资本充足率、存款保险费率是发达国家普遍采用的维持银行稳定的基本措施,一般来说资本充足率越高,则所需的存款保险费率越低,银行为减小成本,都希望在合理控制风险的前提下减少所缴纳的存款保险。本文使用根据期权思想建立的存款保险定价模型,推导了存款保险费率对资本充足率的敏感性系数;其次根据中国上市银行的数据进行测算,分别计算了 14 家银行每增加一个单位的资本充足率可降低存款保险费率的数额,并对实证的结果进行比较;最后给出相关结论     

基于银行单位资产损失分布的存款保险定价研究

受到现有的存款保险定价模型适用条件的限制，已有的存款保险定价方法无法适用于我国多数的中小商业银行，而这些银行往往是风险较高需要存款保险机构重点关注的对象。为破解这一难题，依据银行损失分布、资产配置与存款保险定价的关系，提出了基于单位资产损失分布来测算存款保险费率的新思想，并将信用资产组合风险的度量与存款保险定价结合在一起，给出了测算单位资产损失分布的新方法。该方法从构造贷款组合损失的矩母函数入手，采用鞍点法求解贷款组合的损失分布，进而测算单位资产的损失分布，用于测算商业银行的存款保险费率。算例分析表明，该方法突破了原有定价模型在数据条件上的限制，所依赖的数据均来自商业银行公开的信息披露和监管数据，适用于所有的商业银行，具有广阔的应用前景。     

存款保险定价、额度与银行业道德风险分析

本文对存款保险定价、存款保险额度与银行业道德风险之间的关系进行了分析。在Merton（1977）的存款保险期权定价模型基础上进行扩展,分析存款保险定价与银行资产风险之间的关系;采用72个国家1983-2003年的面板数据建立计理经济学模型,进一步研究存款保险额度与存款保险定价之间的相关性。     

基于混合分数布朗运动的银行存款再保险定价研究

在标的资产服从混合分数布朗运动的前提下,给出了溢额再保险的定价公式,并且进行了实证分析,结果表明:再保险的费率一般都是低于原保险费率,且费率与波动率也呈正的相关性。因此,所建立的存款保险定价模型是比较符合实际情况。     

面向违约风险的商业银行存款担保费率实物期权定价模型

为了抵御存款挤兑以避免金融市场动荡,中央银行与各商业银行之间隐含着信用担保关系.央行有效监管,显然需要有效甄别各商业银行存款资产结构和波动特征.文章提出了一种基于实物期权定价的商业银行存款信用担保费率模型,通过公式推导和等价变换,获得一个基于违约风险测算以获得回购期权定价的解析表达式.根据该费率模型,基于工、农、建、交、中、招等国内6家主要国有商业银行的公开数据进行实证分析.试验结果表明,根据银行存款资产特征,央行应该采取差别化担保费率政策,提取比例与商业银行的资产规模无关,而应与该行存款波动率呈正比例关系.     

考虑银行破产外部效应的存款保险定价模型

运用存款保险的期望损失定价方法和Shapley值法,建立了考虑银行违约/破产外部效应的存款保险定价模型。模型中度量的破产成本不仅考虑了银行破产清算过程中其自身资产价值的损失,还考虑了银行违约/破产的负外部效应——可能增加其他银行的破产损失,据此确定的存款保险保费反映了各银行对系统总破产成本的边际贡献。为验证模型效果,构造了三种情景进行模拟分析,结果表明:存款保险保费与银行系统对破产银行资产的收购能力负相关,且负相关程度随经济形势的恶化而加剧;保费与整个银行系统参保银行数目之间也呈负相关关系。     

区域地震保险费率定价研究——河北省为例

回顾了地震保险费率相关国内外文献,并对相关文献的方法和结论进行了简要评述,讨论了地震保险费率的影响因素和定价原则等.以河北省为例,分别采用平衡法和成本收益模型法研究地震保险费率定价,采用这两种方法得出了河北省地震保险费率结果分别是0.5%和0.57%,并将结果进行了对比分析,综合这两个结果和新西兰等国外费率水平,确定其地震保险净费率为55%~0.56%之间.最后对我国建立省级区域地震保险提出政策建议.     

一个可变保费巨灾风险模型的局部破产概率

考虑极端风险的情况,建立了巨灾风险模型,得到了保险公司破产概率的局部结果.预期有巨灾索赔发生的时候,模型会对保险费率做出相应的调整以减少损失.还提出一个网络马氏骨架框架下的回归型索赔相依的风险模型,该模型不仅在精算领域有很大的理论和应用价值,在网络,金融,生物,排队论等其他领域也将有广泛的应用.     

基于决策者风险偏好的模糊鲁棒性项目调度优化

不确定条件下模糊鲁棒性项目调度计划的生成受决策者风险偏好影响。本文研究模糊活动工期下考虑决策者风险偏好的鲁棒性项目调度优化问题，目标是合理安排活动开始时间，生成特定风险偏好下鲁棒性最大的进度计划。首先界定问题，构建优化模型；随后针对问题NP-hard属性和模型特点设计交替禁忌搜索启发式算法，求解得到不同风险偏好下满意的进度计划；最后用实例验证说明，并分析关键参数影响。结论如下：决策者风险偏好由规避转乐观时，项目冲突区间总和增多；截止日期、资源可用量较紧张时，风险偏好变化对冲突区间总和变化影响更大；风险偏好乐观时，截止日期变化对冲突区间总和变化影响更大。研究成果可为不同风险偏好决策者在不具历史数据的高不确定环境中制定合理前摄性计划提供决策支持。     

Optimal bank portfolio choice under fixed-rate deposit insurance

This paper analyzes the investment decisions of insured banks under fixed-rate deposit insurance. The model takes into account the charter value and allows banks to dynamically revise their asset portfolios. Trade-offs exist between preserving the charter and exploiting deposit insurance. The optimal bank portfolio problem is solved analytically for a constant charter value. In any audit period, banks maximize their risk exposure before some critical time and act cautiously thereafter. The corresponding deposit insurance is shown to be a put option that matures at this critical time rather than at the audit date.     

Environmental corporate responsibility for investments evaluation: an alternative multi-objective programming model

The manufacturer who is a supplier of trade credit may face non-payment risk from customers and a capital shortage problem simultaneously. Trade credit insurance, as one of the most important risk management tools, has been widely used in companies’ daily operation. In this study, the manufacturer who allows customers to delay payment for goods already delivered purchases trade credit insurance to transfer and reduce non-payment risk and borrows money from a bank to accommodate the capital constraint problem. The Stackelberg game and loss-averse theory are used to establish a newsboy model including trade credit insurance, and the optimal insurance coverage and total sales of the manufacturer are thereby investigated. Subsequently, the interest rate decision of the bank under different risk-averse situations is also characterized. We find that the interest rate set by a loss-averse bank is equal to or greater than that given by a risk-neutral bank. The use of trade credit insurance can help the manufacturer expand sales and dramatically reduce its default risk. Both the bank and the manufacturer are better off due to the use of trade credit insurance, but contrary to what one might expect, the bank prefers giving a higher interest rate to the manufacturer when the premium rate is in a reasonable region, which indicates that the manufacturer cannot use the insurance to negotiate better financing terms.     

Valuation of risk-based premium of DB pension plan with terminations

This paper concentrates on the premium valuation of pension insurance provided by the Pension Benefit Guaranty Corporation (PBGC). The PBGC provides a defined benefit pension sponsor with coverage in case that the pension fund fails to make pension payments as promised or that the plan sponsor does not stay in business any more. In practice, both the pension fund and the sponsor assets play a critical role in fulfilling the commitment of pension payments, and thereby it is not reasonable to isolate the risk of distress termination of the sponsor assets from that of the premature termination of the pension fund. Different from previous works in which the premature termination of the pension fund and the distress termination of the sponsor assets are analyzed separately, our model examines the situation in which retirees suffer the risk of two types of terminations at the same time. We evaluate the risk-based fair premium under the framework that the pension fund and the sponsor assets are correlated and subject to the risk of the involuntary termination (i.e., premature termination) and the distress termination, respectively. In this framework, we manage to obtain closed-form pricing formulas. Our model is more practical because of the realistic design of termination schemes. Numerical simulations are also carried out to demonstrate our findings. Our numerical experiments validate that a variable rate premium is more appropriate for the PBGC to implement.     

中国银行系统的宏观审慎监管研究

全球金融危机爆发后,对银行系统实行审慎监管已成为国内外学者及相关监管机构的共识。但目前银行系统的监管研究多为微观审慎监管,宏观审慎监管研究缺乏,尤其是对中国银行网络系统进行动态建模并进行宏观审慎监管的定量研究未见。本文首先利用中国2008至2015年16家上市银行的实际数据构建动态的中国银行网络系统模型,然后使用Component VaR、Incremental VaR、Shapley value EL以及ΔCoVaR四种风险分配机制研究中国银行网络系统的宏观审慎监管方法。研究表明:对中国银行网络系统进行宏观审慎监管能够有效提升其稳定性,并且四种机制相比之下,ΔCoVaR的监管效果最为显著,而Incremental VaR则相对较差。此外,通过宏观审慎资本与银行指标之间的相关性分析,发现Incremental VaR、Shapley value EL以及Component VaR机制下的宏观审慎资本与银行的总资产具有一定的相关性,此时宏观审慎资本可以根据银行的总资产来设置;而ΔCoVaR机制下则不相关,因此宏观审慎资本可以依据各银行的系统性风险贡献大小来设置。     

Systemic Risk and Interbank Lending

We propose a simple model of the banking system incorporating a game feature, where the evolution of monetary reserve is modeled as a system of coupled Feller diffusions. The optimization reflects the desire of each bank to borrow from or lend to a central bank through manipulating its lending preference and the intention of each bank to deposit in the central bank in order to control the reserve and the corresponding volatility for cost minimization. The Markov Nash equilibrium for finite many players generated by minimizing the linear quadratic cost subject to Cox–Ingersoll–Ross type processes creates liquidity and deposit rate. The adding liquidity leads to a flocking effect implying stability or systemic risk depending on the level of the growth rate, but the deposit rate diminishes the growth of the total monetary reserve causing a large number of bank defaults. The central bank acts as a central deposit corporation. In addition, the corresponding mean field game in the case of the number of banks N large and the infinite time horizon stochastic game with the discount factor are also discussed.     

GAMLSS模型在车险定价中的应用

在系统梳理国内外非寿险产品费率厘定方法的基础上,详细介绍了GAMLSS模型,证明了在位置参数和尺度参数的预测中均引入随机效应的GAMLSS模型可更有效地解释纵向数据中个体间的异质性.最后将GAMLSS模型应用于一组纵向车辆保险数据,计算了先验保费、后验保费、后验风险保费和奖惩因子.实证结果表明,GAMLSS模型不仅可为非寿险产品的定价提供依据,而且使风险分类更加稳定、合理.     

Optimal insurance design in the presence of exclusion clauses

The present work studies the design of an optimal insurance policy from the perspective of an insured, where the insurable loss is mutually exclusive from another loss that is denied in the insurance coverage. To reduce ex post moral hazard, we assume that both the insured and the insurer would pay more for a larger realization of the insurable loss. When the insurance premium principle preserves the convex order, we show that any admissible insurance contract is suboptimal to a two-layer insurance policy under the criterion of minimizing the insured’s total risk exposure quantified by value at risk, tail value at risk or an expectile. The form of optimal insurance can be further simplified to be one-layer by imposing an additional weak condition on the premium principle. Finally, we use Wang’s premium principle and the expected value premium principle to illustrate the applicability of our results, and find that optimal insurance solutions are affected not only by the size of the excluded loss but also by the risk measure chosen to quantify the insured’s risk exposure.     

Pricing life insurance under stochastic mortality via the instantaneous Sharpe ratio

We develop a pricing rule for life insurance under stochastic mortality in an incomplete market by assuming that the insurance company requires compensation for its risk in the form of a pre-specified instantaneous Sharpe ratio. Our valuation formula satisfies a number of desirable properties, many of which it shares with the standard deviation premium principle. The major result of the paper is that the price per contract solves a linear partial differential equation as the number of contracts approaches infinity. One can represent the limiting price as an expectation with respect to an equivalent martingale measure. Via this representation, one can interpret the instantaneous Sharpe ratio as a market price of mortality risk. Another important result is that if the hazard rate is stochastic, then the risk-adjusted premium is greater than the net premium, even as the number of contracts approaches infinity. Thus, the price reflects the fact that systematic mortality risk cannot be eliminated by selling more life insurance policies. We present a numerical example to illustrate our results, along with the corresponding algorithms.