精算师年会 佳达再保险经纪有限公司 CAA.ppt

Measuring and Managing Catastrophic Risk in China September 26, 2008 量化与管理中国巨灾风险 2008年9月26日 Discussion Topics Global Evolution of Cat Models 2008 Cat Events Rising Expectations in Cat Risk Measurement and Management Regulatory view Rating agency view Managing Catastrophe risk Event monitoring i-aXs 讨论议题 巨灾模型的全球演进 2008年巨灾事件 对巨灾风险评估和管理的新期望 从监管的角度 从评级机构的角度 巨灾风险管理 事件监测 i-aXs Evolution of Catastrophe Models 巨灾模型的演进 Value of Cat Models 巨灾模型的价值 The Simple Method to Exposure RatingEarthquake Example The largest magnitude earthquake you might expect near Beijing is 8.0 The probability of this event could be about 1 in 500 years (based on historical data) 1 such event in the last 500 years (1679) A PML estimate for this could range from 5% to 15% of Beijing total sums insured Probability of a 6.0 to 7.9 magnitude earthquake near Beijing is about 2.00% About 10 events in the last 500 years. the damage in these events could range from 1% to 10% A significant level of uncertainty is associated with these methods 风险定价的简单方法以地震为例 在北京附近发生的可以预见的最大震级地震是8.0级 可能的最大损失将达到大约北京地区总保额的15% 根据历史数据，该事件发生的可能性大约是500年一遇 这样的事件在过去500年中只发生过1次（1679年） 在北京周围发生6.0 至7.9级地震的可能性大约是2.00% （50年1遇） 在过去500年中发生过大约10次. 这些事件可能造成的损失介于北京地区总保额的1%至10% 如果具备北京地区的风险累计数字，就可以得到这些事件的大约损失估计 这些方法存在很大的不确定性 Rising Expectations in Catastrophic Risk ManagementRegulatory View CIRC Circular No. 402 (April 2007), in response to increased catastrophic risk, companies are encouraged to (among other things): Appropriately purchase catastrophic reinsurance to leverage international reinsurance sources Leverage tools developed by third parties to gradually improve the state of catastrophic risk modeling in China Globally move to define appropriate capital levels through risk-based capital measures European Union through Solvency 2 regulation is setting target capital to be 99.5% VaR (1 in 200 year worst outcome) Scenarios would generally involve a cat 对巨灾风险管理的日益提升的期望从监管的角度 中国保监会 2007年4月第402号通知用以应对日益频繁的巨灾风险，鼓励保险公司 (但不限于): 妥善安排巨灾再保险