医疗保险定点医院损失分布估计

本文应用了风险模型的损失分布及其估计方法,在分析社会医疗保险医疗赔付模式下,根据定点医院相关数据对风险模型的损失分布进行了实证分析和估计。并采用蒙特卡罗方法进行了数据仿真,表明估计结果的有效性     

重尾分布下医疗保险保费合理性评估——基于上海市闵行区新农合的实证研究

重尾是医疗费用以及医疗保险损失分布的常见特征之一,本文构建了在重尾分布下,医疗保险经营者科学评估医疗保险保费合理性的模型和方法。当医疗费用面临二阶矩不存在的重尾性下,稳定分布理论中的广义中心极限定理可以取代古典的中心极限定理去评估医疗保险保费的合理性。本文最后用2008年上海市闵行区新型农村合作医疗的住院医疗费用数据进行了实证分析,全面探测了医疗费用的重尾性以及在尾部指标的基础上,估计了闵行区新农合筹资的合理性.     

我国商业银行操作风险现状分析

操作风险是指金融机构由于内部工作流程、人员、技术或者外部事件所造成损失的风险。我国商业银行处于转型当中,由于操作风险引发的损失事件频频发生。本文通过所收集到的国内商业银行的操作风险损失事件,从影响操作风险四个因素角度进行分析,对操作风险损失事件的频度和幅度进行了定量分析,对我国银行业目前面临的状况给予一个初步的概括。     

山西省农村居民收入与消费结构的灰色关联分析

选取山西省2006-2010年以及2011-2015年这两个阶段内农村居民人均年收入与食品支出,居住支出,衣物支出,医疗保险支出,交通通讯支出,家庭设备支出,娱乐教育支出以及其他用品支出这8项主要消费支出进行了灰色关联分析.研究结果显示,山西省农村居民以生存型消费资料为主导的消费结构已经开始发生转变,正在逐渐以享受型消费资料为主导的消费结构转变,但交通通讯不便,娱乐教育、医疗保险等享受和发展型消费资料的消费积极性不高等因素,仍然制约着山西省农村居民消费结构的优化.     

代谢综合症的患病因素分析与预测

以高血压患者的患病因素为例进行解析,提出代谢综合症相关问题的解决方法.研究年龄、BMI、家族史、吸烟、饮酒、文化程度、职业等18个影响高血压疾病的因素.研究的主要目的是将这些因素对高血压患病影响的重要性程度进行排序,并建立相应患病概率的预测模型.这不仅对人们日常生活疾病的预防、监控有一定的指导意义,也给医疗保险中保单的核保提供了风险度量的判别依据.首先用相关性分析剔除与高血压患病相关性较小的因素,继而用主成分分析方法消除因素间的共线性,最后用Logistic回归拟合患病概率模型并根据系数进行排序和预测.结果显示,无论性别,对高血压疾病影响最大的首先是家族史,其次为年龄.     

补充养老、医疗保险的财税处理

补充养老保险、医疗保险是在基本养老保险、医疗保险基础上,政府以政策指导和政策优惠为导向,用工单位和员工共同出资,以资金积累和运作增值为主要特征,以提高出资单位员工的养老待遇为主要特点的社会保险的重要组成部分。     

农民健康状况对农业生产效率影响的实证研究

利用2012年福建安溪随机抽样的335茶农的调查数据,探讨农民健康状况对农业生产效率的影响。通过建立随机前沿生产函数,对茶叶生产的效率损失值进行了测算;以健康损害为关键变量、农户家庭特征和其他变量为控制变量,对效率损失值进行Tobit回归。结果显示,农业生产效率不仅受到劳动、茶园面积、化学要素投入量等传统要素的影响,而且与农民的健康状况显著正相关,说明投资于健康对农民增产增收至关重要。     

基于POT模型的巨灾风险度量与保险模式研究——以地震风险为例

巨灾风险发生的频率低且损失大,具有显著的厚尾性特征,因此不易度量其风险。本文以地震风险为例,采用1961-2011年以来中国发生的4.5级以上地震造成的损失值作为样本,在进行物价调整之后引入了POT模型和广义Pareto分布对损失数据进行拟合,计算出不同的置信度水平下不同的VaR值,得到不同的保费规模与地震保险的价格,并以此为依据设计我国巨灾保险的风险分散机制。     

基于进化博弈的优质猪肉供应链质量安全行为协调机制研究

本文提出了优质猪肉供应链合作伙伴的质量安全行为协调的概念,应用进化博弈的双种群博弈理论,研究了优质猪肉供应链合作伙伴的质量安全行为协调的博弈演化过程及影响因素。研究表明,协调演化方向受协调成本、协调收益、收益分配系数(损失分摊系数)、被惩罚概率、潜在损失、经营规模和奖惩系数等7个因素的影响。降低协调成本,提高协调收益,建立公平有效的利益分配(损失分摊)机制、加强外部监管和惩罚力度,将会促进优质猪肉供应链合作伙伴的质量安全行为协调的实现。     

TOBIT模型在医疗费用研究中的应用

对一般人群进行医疗费用调查研究时,会存在有相当一部分人的医疗费用支出为零,以此作为因变量使用经典的线性回归进行统计建模时将会导致估计值的偏差。本文尝试使用Tobit模型及其半参数估计方法解决因变量存在大量零删失数据的问题,通过对太原市城镇居民医疗费用相关影响因素调查数据的实证分析,用以为医疗费用控制和医疗保险制度改革提供更有效的统计学方法支持和政策依据。     

保险公司与医院合作的博弈分析

本文在委托-代理理论的框架下构建了在医疗保险风险控制过程中保险公司与医院的委托-代理模型,分析了这种合作的可行性;并运用无限期重复博弈模型探讨了合作的稳定性,同时引证国外管理医疗模式下的POS组织的实例 ,揭示了保险公司与医院之间应该建立"利益共享,风险共担"的有效的激励机制.     

Prevention efforts,insurance demand and price incentives under coherent risk measures

This paper studies an equilibrium model between an insurance buyer and an insurance seller, where both parties’ risk preferences are given by convex risk measures. The interaction is modeled through a Stackelberg type game, where the insurance seller plays first by offering prices, in the form of safety loadings. Then the insurance buyer chooses his optimal proportional insurance share and his optimal prevention effort in order to minimize his risk measure. The loss distribution is given by a family of stochastically ordered probability measures, indexed by the prevention effort. We give special attention to the problems of self-insurance and self-protection, and show that if the buyer’s risk measure decreases faster in effort than his expected loss, optimal effort is non-decreasing in the safety loading with a potential discontinuity when optimal coverage switches from full to zero. On the contrary, if the decrease of the buyer’s risk measure is slower than the expected loss, optimal effort may or may not be non-decreasing in the safety loading. In case of Pareto distributed losses, the seller sets the highest possible price under which the buyer still prefers full insurance over no insurance. We also analyze the case of discrete distributions: on the one hand, for self-protection, under the assumption that the marginal impact of the effort is higher on small losses than it is on catastrophic losses, the optimal effort is non-decreasing in the safety loading. On the other hand, in the case of self-protection, more conditions are needed, in particular, we obtain sufficient conditions for the optimal effort to be non-decreasing or non-monotone in the safety loading.     

基于ANP和模糊聚类的军人家属风险研究

军人家属风险是因军人履行职责而承担的连带风险, 是军人风险的重要组成部分。军人家属风险管理状况关系到军队的稳定性。由于军人家属风险属性上具备一定的模糊性, 当前缺乏规范的理论指导和实践管理经验。文章尝试通过构建ANP模型, 首先分析影响军人风险的因子指标及权重, 再以此为依据, 针对军人家属风险采用模糊聚类法与典型的人身风险、财产风险和责任风险进行聚类, 以期寻求最适宜的类别划分, 将典型风险的成熟管理模式和经验借鉴到军人家属风险领域, 并提出相应的管理建议。研究发现, 意外伤害风险、住房保障风险等13项指标是军人家属风险的主要影响因素; 军人家属风险在阈值0.95的水平上与责任风险聚为同一类型; 构建以军人家属风险为对象, 以军人家属社保和住房为重点内容, 军队保险、商业保险和军人互助保险三位一体的责任保险体系, 是完善军人家属风险管理的关键所在。     

基于巨灾模型的巨灾保险组合研究

巨灾风险所造成的巨大损失已经威胁到人类社会的可持续发展.巨灾保险是分散巨灾损失的一种途径,利用巨灾模型研究被保风险的累积损失和个人损失分布的数学性质,且考虑损失率是巨灾强度的函数.通过巨灾模型和保险公司破产概率的计算和数值仿真,得到不能仅仅依靠保费的选择而分散巨灾风险.     

Empirically assessing and modeling spillover effects from operational risk events in the insurance industry

The aim of this paper is to propose the first mathematical model for spillover effects caused by operational losses and to calibrate it based on an extensive empirical study of spillover effects and their influencing factors in the US and European banking and insurance industry. Our event study shows significant spillover effects due to operational losses, whereby a higher number of firms faces contagion effects than competitive effects. A regression analysis further reveals that spillover effects are rather information-based than pure, as event and firm characteristics have a significant impact, specifically external fraud, the return on equity of the announcing firm and the similarity between the announcing and the non-announcing firm in terms of size. Based on the empirical findings, we fit a distribution and model spillover effects and underlying operational losses to assess respective risk measures by means of a simulation analysis. The results show that spillover risk can be considerable for non-announcing firms as well as from a portfolio view, which has important risk management implications.     

The influence of non-linear dependencies on the basis risk of industry loss warranties

Index-linked catastrophic loss instruments represent an alternative to traditional reinsurance to hedge against catastrophic losses. The use of these instruments comes with benefits, such as a reduction of moral hazard and higher transparency. However, at the same time, it introduces basis risk as a crucial key risk factor, since the index and the company’s losses are usually not fully dependent. The aim of this paper is to examine the impact of basis risk on an insurer’s solvency situation when an industry loss warranty contract is used for hedging. Since previous literature has consistently stressed the importance of a high degree of dependence between the company’s losses and the industry index, we extend previous studies by allowing for non-linear dependencies between relevant processes (high-risk and low-risk assets, insurance company’s loss and industry index). The analysis shows that both the type and degree of dependence play a considerable role with regard to basis risk and solvency capital requirements and that other factors, such as relevant contract parameters of index-linked catastrophic loss instruments, should not be neglected to obtain a comprehensive and holistic view of their effect upon risk reduction.     

Global loss diversification in the insurance sector

We study the possibility for international diversification of catastrophe risk by the insurance sector. Adopting the argument that large insurance losses may be a ‘globalizing factor’ for the industry, we study the dependence of geographically distant insurance markets via equity returns. In particular, we employ conditional copula theory to model the bivariate dependence of the insurance industry. In contrast to earlier literature on this subject, we disentangle the causes of dependence stemming from the asset side from those from the liability side by conditioning on general market conditions. We find that for both Europe-America and Europe-Asia the dependence is significant. Moreover, we find asymmetric effects: the international dependence is particularly high for losses, even after conditioning for the asset side dependence. Finally, we investigate the time variation in copula parameters and find evidence that dependence in the insurance sector has increased over time, thus reducing the scope for international diversification of large losses in this sector.     

Optimal Exercise Strategies for Operational Risk Insurance via Multiple Stopping Times

In this paper we demonstrate how to develop analytic closed form solutions to optimal multiple stopping time problems arising in the setting in which the value function acts on a compound process that is modified by the actions taken at the stopping times. This class of problem is particularly relevant in insurance and risk management settings and we demonstrate this on an important application domain based on insurance strategies in Operational Risk management for financial institutions. In this area of risk management the most prevalent class of loss process models is the Loss Distribution Approach (LDA) framework which involves modelling annual losses via a compound process. Given an LDA model framework, we consider Operational Risk insurance products that mitigate the risk for such loss processes and may reduce capital requirements. In particular, we consider insurance products that grant the policy holder the right to insure k of its annual Operational losses in a horizon of T years. We consider two insurance product structures and two general model settings, the first are families of relevant LDA loss models that we can obtain closed form optimal stopping rules for under each generic insurance mitigation structure and then secondly classes of LDA models for which we can develop closed form approximations of the optimal stopping rules. In particular, for losses following a compound Poisson process with jump size given by an Inverse-Gaussian distribution and two generic types of insurance mitigation, we are able to derive analytic expressions for the loss process modified by the insurance application, as well as closed form solutions for the optimal multiple stopping rules in discrete time (annually). When the combination of insurance mitigation and jump size distribution does not lead to tractable stopping rules we develop a principled class of closed form approximations to the optimal decision rule. These approximations are developed based on a class of orthogonal Askey polynomial series basis expansion representations of the annual loss compound process distribution and functions of this annual loss.     

Product safety for a monopolist under strict liability

This paper views strict producer liability as essentially requiring the producer to provide a tie-in sale of full coverage insurance to its customers. The output and safety levels under strict producer liability are compared to those that would exist when the consumer retains all liability. The risk averseness of the producer and the availability of commercial liability coverage are shown to affect the producer's output and safety decision. In general, a shift from consumer to producer liability might not encourage the production of safer products, either with or without the availability of commercial liability insurance to the producer.     

医疗保险个人账户机制创新及其可行性研究——基于患者道德风险的分析

我国目前实行“统账结合”的医疗保险模式,其医疗个人账户的设计与统筹账户中设定的起付线、封顶线以及患者自付比例等限制性参数都是为了控制医患双方的“道德风险”及其“串谋”的频率。但本文对患者道德风险产生过程与机理的实地调研表明:在“统账结合”的医疗保险模式下,患者的各种道德风险均是以其个人账户为基础的;我国现行的医疗保险个人账户缴费机制也因此存在进一步改进和创新的空间。本文将根据先验保费原理以及个人账户实行社会医疗保险卡(IC卡)制度,设计出一种新的个人账户缴费机制。这种机制创新无论对于被保险人道德风险的规避,还是缓解个人账户纵向积累的矛盾都将起到重要作用。