再保险业务风险分布特征的实证分析

再保险人的整体风险管理能力、水平和行为将直接影响再保险公司的整体风险管理绩效以及整个保险市场的稳定。本文使用极值理论模拟了再保险业务的风险分布特征，比较了成数再保险和非比例再保险业务风险分布的差异，认为再保险业务损失分布不服从正态分布，具有厚尾性；成数业务损失分布具有均值大、方差小的特点，而非比例业务损失分布的均值较小，但方差较大；在高置信水平条件下，非比例业务的风险损失率远远大于成数业务。因此，再保险公司应当大力发展非比例再保险业务，并增强资本实力，积极拓展业范围，在国际市场上分散风险。

An Empirical Analysis of Reinsurance Business Risk Distribution

The reinsurer’s integrated risk management ability is important to the safety of direct insurers and the stability of insurance market. This paper presents an application to the claims of an reinsurance company providing a model for loss rate evaluated through simulations based on the peaks over threshold’s approach and compares the risk distribution difference between the quota share reinsurance and non-proportional reinsurance. The results show that loss of reinsurance businesses is not subjected to norm distribution and present a behavior of fat tail. The mean of quota share reinsurance’s loss distribution is larger than non-proportional reinsurance’s, while the variance and risk loss rate at high confidence level is smaller. The conclusions also indicate that reinsurance company should develop in the international market and diversify its risk.