Reserach On The Enterprise Loan Insurance Pricing Models

According to the data of People's Bank of China, by the end of the first quarter of 2015, non-financial enterprise loans have accounted for more than 70% of our country's social stock loans. The main credit risk focuses on enterprise loans, and thus it is a demanding task to guard against and resolve credit risks produced by enterprise loans. Under this circumstance, the development of enterprise loan insurance is of practical significance for the healthy operation of the economy.However, our country's loan insurance price is no difference to different credit risk or sometimes too high in rate. The quantitative techniques are not fully applied to the loan insurance pricing method, and the loan insurance pricing is mainly based on the experience of loan losses mean. Obviously, that is not conducive to the development of enterprise loan insurance. At the same time, the research on the pricing of loan insurance is not enough. Some pricing method is limited to a certain industry, and some possible pricing methods are also limited to a preliminary discussion. So, there is a large study space to develop a more scientific and more reasonable pricing method for enterprise loan insurance, and the scientific pricing models and methods will also benefit the development of enterprise loan insurance.Based on the theory and practice of loan insurance pricing, around the credit risk faced by enterprise loans, and combined with the latest research in the field of insurance pricing and credit risk measurement, the article builds some insurance pricing models for enterprise loans systematically, throwing light on certain principles in enterprise loan insurance pricing and thus putting forward with strategies and comprehensive pricing models under complex conditions with a view to providing valuable reference for the theory and practice. The following are the main contents and results of research.1. To make up the flaws of the similar models, this paper proposes a model of enterprise loan insurance pricing based on the unexpected loss and the extreme loss of loan by improving the credit risk measurement method. The study finds that the unexpected loss and extreme loss of loan features great losses and small probability, which is not easy to be predicted and is more suitable to use loan insurance to transfer credit risk. Conversely, the new model will capture the credit risk from the unexpected loss and extreme loss of loan, so it optimizes the credit risk coverage of the enterprise loan insurance price.2. The popularization of the Basel agreement has seen the general application of economic capital theory in banking and insurance. Based on the research of Chapter 3, to conform to the trend, with the consideration of the profit and loss of both banks and insurance companies and application of the theory of economic capital, the paper constructs a model of enterprise loan insurance pricing with RAROC. The study finds that with the help of RAROC, we can not only make the price of enterprise loan insurance, but can also find the boundary of the credit risk transfer price. So the model will be more valuable to the price maker in the future mode of economic capital management.3. In order to reduce the dependence on some conditons and enrich the approaches of enterprise loans insurance pricing, given that the market price of the listed companies is characterized by an easy measurement, the paper constructs the principle and the basic model of enterprise loan insurance pricing by applying the option pricing theory. The study takes the listed borrowers' market value and debt during the insurance period into account and some other factors will affect the credit risk of enterprise loans to different degrees, and the enterprise loan insurance prices should be adjusted accordingly. The basic model will not only reduce the complexity and difficulty of the loan insurance pricing, but also broaden the price setters' choice for the enterprise loan insurance.4. On the basis of the research of Chapter 5, combined with the principle of bankrupt enterprises' debt repayment, the paper constructs a model of enterprise loan insurance pricing by using the theory of option pricing and bear spreads. The study finds that different borrower's liquidation structure will bring various credit risks to the lending bank, and thus the enterprise loan insurance prices should be adjusted accordingly. The model will make the enterprise loan insurance price reflect the credit risk of the borrower's debt accurately, improving the basic model of chapter 5 and is more suitable for the listed enterprise loan insurance pricing.5. The paper summarizes the suitable scope and applicable conditions of different enterprise loan insurance pricing models. And then, to improve the operability of the models and facilitate the model users make reasonable pricing decisions according to the actual conditions and environment, this paper also proposes some enterprise loan insurance pricing strategies and integrated pricing models under some complex conditions. The study finds that under realistic conditions, it is difficult to make a reasonable price of enterprise loan insurance by only one pricing model or method. To avoid the limitation of single model, the price makers can combine the enterprise loan insurance prices which move different pricing models to a comprehensive price through the weighted method according to the actual conditions.