《保险研究》20240605-《基于R-Vine Copula的财险公司经济资本度量与分散化效益研究》（郑敏、郑苏晋、刘皖）

［摘   要］经济资本在保险公司内部风险管理和资本配置等方面发挥着至关重要的作用，它能够准确地反映保险公司所面临的风险状况，并为风险的有效管理与资本的合理配置提供重要依据。本文以财险公司的经济资本为研究对象，在传统资产负债模型的框架下，通过R-Vine Copula风险聚合方法对资产和负债进行联合建模，进而计算经济资本并分析相应的分散化效益，并与监管方法进行比较。研究结果表明财险公司的资产和负债存在复杂的依赖关系，利用Vine结构可以更加全面、精确地描述这两者之间的非对称和非线性相关性，同时拟合数据的尾部特征，进而获得更为稳健的净资本估计量，以及更为真实的经济资本需求和相应的分散效益。相较于偿付能力规则下的线性聚合方法，R-Vine Copula风险聚合方法能充分利用资产变量和负债变量之间的相关性信息，适宜用作计算经济资本的内部模型。该模型以风险为导向，为研究资产和负债的联动关系提供一个新的方法，可以帮助财险公司更好地管理风险，并提升整体业务的稳定性和可持续发展能力。

［关键词］经济资本；R-Vine Copula；分散化效益；破产概率

［基金项目］北京市社会科学基金一般项目(21JJB018)。

［作者简介］郑敏，中央财经大学保险学院、中国精算研究院副研究员，博士生导师；郑苏晋，中央财经大学保险学院、中国精算研究院副院长，教授；刘皖，中国财产再保险有限责任公司财务主管。

Research on Economic Capital Measurement and Diversification Benefits of Property and Casualty Insurance Companies—Based on R-Vine Copula

ZHENG Min,ZHENG Su-jin,LIU Wan

Abstract：Economic capital plays a vital role in the internal risk management and capital allocation of insurance companies,which can accurately reflect the risk status faced by insurance companies and provide an important basis for effective risk management and rational capital allocation.In this paper,the economic capital of property and casualty (P&C) insurance companies is taken as the research object.Under the framework of traditional asset-liability model,the R-Vine Copula risk aggregation method is used to jointly model assets and liabilities,and then the economic capital is calculated and the corresponding diversification benefits are analyzed,compared with regulatory methods.The research results show that the assets and liabilities of P&C insurance companies have a complex dependence relationship.The use of the Vine structure can more comprehensively and accurately describe the asymmetric and nonlinear correlation between assets and liabilities of P&C insurance companies,and fit the tail characteristics of the data,which is conducive to obtaining a more robust net capital estimate and more real economic capital requirements,as well as the diversification benefits of economic capital.Compared to the linear aggregation method used in solvency regulations,the R-Vine Copula risk aggregation method can leverage the correlation information between asset variables and liability variables,making it suitable as an internal model for calculating economic capital.This model,oriented towards risk,can assist P&C insurance companies in managing risks more effectively and enhancing the stability and sustainable development capabilities of their overall business,providing a new approach for studying the linkage between assets and liabilities.

Key words：economic capital;R-Vine Copula;diversification benefit;ruin probability