文章基本信息

标题：Catastrophe Risk Capital Charge: Evidence from the Thai Non-Life Insurance Industry
本地全文：下载
作者：Thitivadee Chaiyawat ; Thitivadee Chaiyawat ; Pojjanart Vinijpitayakul 等
期刊名称：American Journal of Economics
印刷版ISSN：2166-4951
电子版ISSN：2166-496X
出版年度：2015
卷号：5
期号：5
页码：488-494
DOI：10.5923/j.economics.20150505.08
语种：English
出版社：Scientific & Academic Publishing Co.
摘要：Natural catastrophes continue to significantly rise in these recent years. Catastrophe risk quantification is to explore to optimize capital consumption for hedging catastrophic losses. This study therefore focuses on the Loss Distribution Approach (LDA) measuring catastrophe risk economic capital based on financial service firm’s own historical loss data. Severity distribution is generated employing mathematical convolution usually conducted by Monte-Carlo simulation in practice. Catastrophe losses in this study are classified into 3 risk event types which are 1) flood, 2) windstorm, and 3) earthquake. The data of catastrophe risks of an insurance company in Thailand used in this study are from 2005 to 2012.Firm-wide catastrophe losses distribution is believed to have strong dependence on the loss distribution of each risk event type. Therefore, this study conducts a dependence analysis between catastrophe risk profile of an insurance company using Gaussian, Student’s t, and Gumbel copula. Modeling dependence between severities and frequencies using dependence between risk profiles grasps diversification benefits and yields lower economic capital for catastrophe risk of an insurance company. In the case of believing that catastrophe loss would have the pattern of large claim similar to the past two years Gumbel copula, used under extreme value assessment, indicates that insurance company should hold a capital of THB1,870 million or 77% of an insurer’s total available capital to hedge against catastrophe risks. However, if an insurer believes that catastrophe, especially flood, occurring in the past two years was the rare event, Gaussian copula assessment suggests that economic capital of only THB645 million, 27% of total available capital, should be enough to make sure that an insurer would be 99.9% financially solvent.
关键词：Catastrophe Risk; Economic Capital; Insurance; Copula