风暴潮灾害风险管理研究
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摘要
我国作为海洋大国，由风暴潮等海洋灾害带来的经济损失逐年递增。现行的以政府灾后救助为主、保险市场发育相对落后的海洋灾害风险管理体制，削弱了财政资金利用效率和灾害损失赔付水平，无法适应社会经济发展的需要。本文以灾害保险为视角，探讨我国风暴潮灾害的风险管理问题，依据相关理论和方法，系统研究了风暴潮灾害风险可保性、风暴潮灾害保险费率厘定以及基于再保险模式的风暴潮灾害风险分散策略设计。
本文从风暴潮灾害和巨灾风险的风险特征对比分析着手，将精算原理融入到灾害风险管理中，分析了风暴潮灾害风险的可保性，使用图示法、峰度检验法和基于分位数法的理论模型，对风暴潮灾害风险可保性进行了定量检验，得到了风暴潮灾害保险机制建立的理论前提；对保费厘定原理进行了系统梳理，提炼出了风暴潮灾害综合险定价机理；使用核密度估计模型，拟合了风暴潮灾害损失数据分布，得到了风暴潮灾害的期望损失均值。据此，将信度理论与精算模型相结合，构建出了适用于风暴潮灾害保险的信度保费厘定模型，测算了风暴潮灾害综合险纯费率；为提高风暴潮灾害综合险费率厘定的科学性、实现差别费率计征，根据保险费率校正原理，从区域风险脆弱性与灾害灾损度两个角度，分别使用多元统计方法和模糊综合评价方法，计算了风暴潮灾害综合险费率校正系数，得到了基于乘法模型的风暴潮灾害分类费率，完成了风暴潮灾害综合险费率校正。
在此基础上，设计出了基于再保险模式的风暴潮灾害风险分散策略。依据超额赔款再保险模型，测算了风暴潮灾害再保险费率；基于再保险模式，构建了涵盖政府、保险公司、居民三方的风暴潮灾害再保险链；使用完美静态博弈模型，提取了再保险参与主体行为组合，建立基于效用理论的居民个体最优状态模型和基于帕累托最优的社会最优状态模型，分析了最优行为组合的实现路径，为我国风暴潮灾害风险分散机制的建立提供理论支撑。
论文主要在以下几个方面进行了创新性探讨：
1.检验了保险技术在风暴潮灾害风险管理中的适用性，拓展了风暴潮灾害风险管理的研究思路。使用图示法、峰度检验法和基于分位数法的理论模型，对风暴潮灾害风险的可保性进行了识别，为海洋灾害风险管理提供了理论参考。
2.完成了保险技术在风暴潮灾害风险管理中的应用研究，以及风暴潮灾害综合险费率厘定及校正。使用非参数估计模型结合信度理论、精算理论，完成了风暴潮灾害综合险纯费率厘定；从区域风险脆弱性和灾害灾损度两个角度，计征差别费率，使风暴潮灾害保险的设计更具科学性和适用性。
3.得出了再保险技术在风暴潮灾害风险分散中的实施路径，求解出了最优再保险行为组合。通过风暴潮灾害再保险保费厘定、再保险参与主体行为博弈、个体效用和社会帕累托效用模型构建等技术处理，设计出依托再保险模式的风暴潮灾害风险分散策略，提高了风暴潮灾害风险管理措施的有效性和持续性。
As a main coastal country, economic losses brought by disastrous marineactivities such as storm surge are becoming more and more serious in China. Thedisaster risk management system, with the features of fiscal capital allocation andplanning management style, constrained the efficiency of resource allocation andcompensating ability of frequent marine disasters.
This paper aimed to explore the application of insurance technology in themanagement of storm surg risks in order to build a disaster risk scattered mechanismbased on insurance market with appropriate theories and methods, and systematiclystudied the insurability of storm surge risks and the premium rate against all risks aswell as the risk diversification strategy.
Beginning from the contrast of risk features of the storm surge and catastrophe,the thesis analyzed the insurablility of the storm surge and verified the feasibility ofstorm surge insurance against all risks.Using the kernel density estimation of thenon-parameter method, the paper fitted the distribution of the storm surge losses andobtained the expected loss mean.Then, the paper proposed a storm surge pure rate-making model and realized the rate determination, relying on the reliability theory andactuarial theory. To improve the practicality, according to the insurance rateadjustment principles, the article employed multivariate statistical methods and fuzzycomprehensive evaluation method to test the regional risk vulnerability and disasterdamage degree, then gained classification rate.
On that basis, the paper discussed the risk diversification strategy of the stormsurge. First,the paper built an excess of loss reinsurance model and estimated thepremium rate of the storm surge reinsurance.Then, with the purpose to establish theoptimal reinsurance chain,it put forward several optimality criterien and analyzed therealization of the Nash equilibrium among main parties(government, insurancecompanies, individuals) in the optimal reinsurance chain by a perfect game model ofstatic mixers.Finally, based on the individual optimal model of utility theory and thesocially optimal model of Pareto optimality theory,the article proved the optimal stateof reinsurance chain mentioned above, providing theoretical proof for the storm surge disaster risk diversification mechanism.
The main results and innovations of this paper lie in the following three:
Firstly, the paper tested the feasibility of the implementation of storm surgedisaster insurance, expanding the view of storm surge risk management. Usingkurtosis inspection and fractile quantile model, it estated the insurability of the stormsurge, providing reference for risk diversification of marine disaster.
Secondly, the paper applied insurance technogy in risk management of stormsurge, and set and corrected the rate of the storm surge disaster insurance against allrisks. It employed the kernel density model with reliability theory and actuarial theoryto acquire the pure rate. Moreover, it estimated regional disaster vulnerability and thestorm surge disaster damage degree, ensuring the rate correction being scientific andpractical.
Thirdly, the paper obtained the path of reinsurance and probed into the optimalbehavior portfolio. By means of reinsurance rate-making, static game model ofreinsurance participants, individual optimal model of utility theory and the sociallyoptimal model of Pareto optimality theory, the article demonstrated riskdiversification strategy based on reinsurance chains, enhancing the long-term validityof storm surge risk management mechanism.
本文从风暴潮灾害和巨灾风险的风险特征对比分析着手，将精算原理融入到灾害风险管理中，分析了风暴潮灾害风险的可保性，使用图示法、峰度检验法和基于分位数法的理论模型，对风暴潮灾害风险可保性进行了定量检验，得到了风暴潮灾害保险机制建立的理论前提；对保费厘定原理进行了系统梳理，提炼出了风暴潮灾害综合险定价机理；使用核密度估计模型，拟合了风暴潮灾害损失数据分布，得到了风暴潮灾害的期望损失均值。据此，将信度理论与精算模型相结合，构建出了适用于风暴潮灾害保险的信度保费厘定模型，测算了风暴潮灾害综合险纯费率；为提高风暴潮灾害综合险费率厘定的科学性、实现差别费率计征，根据保险费率校正原理，从区域风险脆弱性与灾害灾损度两个角度，分别使用多元统计方法和模糊综合评价方法，计算了风暴潮灾害综合险费率校正系数，得到了基于乘法模型的风暴潮灾害分类费率，完成了风暴潮灾害综合险费率校正。
在此基础上，设计出了基于再保险模式的风暴潮灾害风险分散策略。依据超额赔款再保险模型，测算了风暴潮灾害再保险费率；基于再保险模式，构建了涵盖政府、保险公司、居民三方的风暴潮灾害再保险链；使用完美静态博弈模型，提取了再保险参与主体行为组合，建立基于效用理论的居民个体最优状态模型和基于帕累托最优的社会最优状态模型，分析了最优行为组合的实现路径，为我国风暴潮灾害风险分散机制的建立提供理论支撑。
论文主要在以下几个方面进行了创新性探讨：
1.检验了保险技术在风暴潮灾害风险管理中的适用性，拓展了风暴潮灾害风险管理的研究思路。使用图示法、峰度检验法和基于分位数法的理论模型，对风暴潮灾害风险的可保性进行了识别，为海洋灾害风险管理提供了理论参考。
2.完成了保险技术在风暴潮灾害风险管理中的应用研究，以及风暴潮灾害综合险费率厘定及校正。使用非参数估计模型结合信度理论、精算理论，完成了风暴潮灾害综合险纯费率厘定；从区域风险脆弱性和灾害灾损度两个角度，计征差别费率，使风暴潮灾害保险的设计更具科学性和适用性。
3.得出了再保险技术在风暴潮灾害风险分散中的实施路径，求解出了最优再保险行为组合。通过风暴潮灾害再保险保费厘定、再保险参与主体行为博弈、个体效用和社会帕累托效用模型构建等技术处理，设计出依托再保险模式的风暴潮灾害风险分散策略，提高了风暴潮灾害风险管理措施的有效性和持续性。
As a main coastal country, economic losses brought by disastrous marineactivities such as storm surge are becoming more and more serious in China. Thedisaster risk management system, with the features of fiscal capital allocation andplanning management style, constrained the efficiency of resource allocation andcompensating ability of frequent marine disasters.
This paper aimed to explore the application of insurance technology in themanagement of storm surg risks in order to build a disaster risk scattered mechanismbased on insurance market with appropriate theories and methods, and systematiclystudied the insurability of storm surge risks and the premium rate against all risks aswell as the risk diversification strategy.
Beginning from the contrast of risk features of the storm surge and catastrophe,the thesis analyzed the insurablility of the storm surge and verified the feasibility ofstorm surge insurance against all risks.Using the kernel density estimation of thenon-parameter method, the paper fitted the distribution of the storm surge losses andobtained the expected loss mean.Then, the paper proposed a storm surge pure rate-making model and realized the rate determination, relying on the reliability theory andactuarial theory. To improve the practicality, according to the insurance rateadjustment principles, the article employed multivariate statistical methods and fuzzycomprehensive evaluation method to test the regional risk vulnerability and disasterdamage degree, then gained classification rate.
On that basis, the paper discussed the risk diversification strategy of the stormsurge. First,the paper built an excess of loss reinsurance model and estimated thepremium rate of the storm surge reinsurance.Then, with the purpose to establish theoptimal reinsurance chain,it put forward several optimality criterien and analyzed therealization of the Nash equilibrium among main parties(government, insurancecompanies, individuals) in the optimal reinsurance chain by a perfect game model ofstatic mixers.Finally, based on the individual optimal model of utility theory and thesocially optimal model of Pareto optimality theory,the article proved the optimal stateof reinsurance chain mentioned above, providing theoretical proof for the storm surge disaster risk diversification mechanism.
The main results and innovations of this paper lie in the following three:
Firstly, the paper tested the feasibility of the implementation of storm surgedisaster insurance, expanding the view of storm surge risk management. Usingkurtosis inspection and fractile quantile model, it estated the insurability of the stormsurge, providing reference for risk diversification of marine disaster.
Secondly, the paper applied insurance technogy in risk management of stormsurge, and set and corrected the rate of the storm surge disaster insurance against allrisks. It employed the kernel density model with reliability theory and actuarial theoryto acquire the pure rate. Moreover, it estimated regional disaster vulnerability and thestorm surge disaster damage degree, ensuring the rate correction being scientific andpractical.
Thirdly, the paper obtained the path of reinsurance and probed into the optimalbehavior portfolio. By means of reinsurance rate-making, static game model ofreinsurance participants, individual optimal model of utility theory and the sociallyoptimal model of Pareto optimality theory, the article demonstrated riskdiversification strategy based on reinsurance chains, enhancing the long-term validityof storm surge risk management mechanism.
引文
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