| 资本配置视角下财产保险公司承保决策分析 |
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| 引用本文： | 陈迪红,戴志良,王敏.资本配置视角下财产保险公司承保决策分析[J].经济数学,2009,26(2):35-40. |
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| 作者姓名： | 陈迪红 戴志良 王敏 |
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| 作者单位： | 湖南大学,金融学院,湖南,长沙,410079 |
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| 基金项目： | 国家社会科学基金资助项目(08BJY159) |
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| 摘 要： | 探讨了产险公司在资本和收益双重约束条件下的承保决策问题．首先，从保险理论和实践的角度选择了TVaR资本配置方法，然后构造综合资本、收益双重因素的承保决策模型并进行了实证分析，结论显示从资本的角度进行承保决策是可行的．
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| 关 键 词： | 资本配置 收益约束 承保决策 TVaR方法 |
THE UNDERWRITING DECISION ANALYSIS OF A PROPERTY INSURANCE COMPANY BASED ON CAPITAL ALLOCATION |
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| CHEN Di-hong,DAI Zhi-liang,WANG Min.THE UNDERWRITING DECISION ANALYSIS OF A PROPERTY INSURANCE COMPANY BASED ON CAPITAL ALLOCATION[J].Mathematics in Economics,2009,26(2):35-40. |
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| Authors: | CHEN Di-hong DAI Zhi-liang WANG Min |
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| Institution: | College of Finance;Hunan University;Changsha 410079;China |
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| Abstract: | This article discussed the underwriting decision of a property insurance company constrained to the conditions of capital and return.First,we selected the TVaR capital allocation method based on the insurance theory and practice.Next,we provided an underwriting decision model including the dual factors of capital and return,and made an empirical analysis by using the data of property insurers.The conclusions show that it is feasible to make underwriting decision based on capital allocation. |
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| Keywords: | capital allocation return constrain underwriting decision TVaR method |
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