A Research On Cat-Reinsurance Pricing Based On POT-Copula

With the deterioration and change of the ecological environment,China has entered a stage of frequent catastrophes,which not only brought huge economic losses,but also caused certain obstacles to the sustainable development of the economy and social stability.Facing the disasters,our main responses are national financial assistance and social donations.The insurance market has limited intervention because people lack the awareness of risks and insurance and have formed excessive dependence on the government and society.On the other hand,many insurance companies do not have sufficient capital stock to withstand the catastrophe risk,so they are unwilling to cover these risks.The current government-led catastrophe rescue mode violates the original intention of insurance protection itself and does not actively mobilize the power of the insurance market and the capital market.For the long-term healthy and sustainable development of the insurance market,the support of reinsurance is very necessary.The catastrophe reinsurance can disperse the original risks of insurer effectively and help to form a perfect catastrophe insurance system at the same time.The key to the good development of catastrophe reinsurance market lies in reasonable pricing.In order to solve above problems,this paper aims to design a double-objects catastrophe reinsurance contract,which is based on the POT model in extreme value theory and Copula theory.By reducing the pressure on reinsurance companies,we try to increase their participation in catastrophe reinsuranceFirst of all,this paper expounds the severe catastrophe risk faced by our country and the lack of system for dealing with catastrophe.On the basis of summarizing previous research results,it summarizes the definition of catastrophe and the development status of catastrophe reinsurance in our country.Secondly,on the basis of the theoretical analysis of the reinsurance method,combined with the characteristics of catastrophe risk and loss data,the appropriate accident overpayment reinsurance method was selected.According to it,we design a simple catastrophe reinsurance contract.After combing several common reinsurance pricing principles,considering the limited data and the reinsurance method of catastrophe reinsurance,the Pareto pricing method in empirical pricing method is selected as the catastrophe reinsurance pricing.In addition,this part introduces the POT model used in the construction of pricing model and the Copula principle and parameter estimation test related methods.So far,the theoretical framework of this paper has been basically completed.Then,using the historical seismic observation data manually compiled,the empirical analysis of the model and the Monte Carlo simulation pricing was carried out.And then,the catastrophe reinsurance pure premium was obtained.Finally,the research conclusions are drawn,and we give some suggestions of the development of catastrophe reinsurance market,which provides a reference for the development of catastrophe reinsurance suitable for China’s national conditions.