基于多目标规划的产险公司最优资本规模研究
|
摘要
随宏观经济的发展和金融环境的改善，我国产险业正在经历高速发展阶段。由于产险业负债经营的特殊性和保费规模的迅速增长，产险业出现了持续的增资热潮，产险公司需要及时补充资本金才能够满足自身的发展目标和监管机构、评级机构的要求。在这一经济形势下，产险公司必须加强资本管理，提高资本利用效率，优化资本配置状况，并积极寻求融资策略，提前做好融资规划，防止公司陷入偿付能力不足的困境。由于产险公司的资本管理是一项多目标、全方位的系统工程，所以必须从整体上对公司做全面分析，实现产险公司相互矛盾、相互独立、相互补充等一系列经营目标。本文在分析我国产险业资本管理现状的基础上，将产险公司资本管理与多目标规划模型相结合，兼顾公司经营发展的多个目标，研究了产险公司的最优资本规模问题。
本文共分为七章，主要结构和内容如下。
第一章：引言。本章首先介绍了本文的选题背景和研究意义，梳理了关于保险公司资本理论的国内外发展现状。在此基础上，提出了本文的整体研究框架和研究方法。最后指出了本文的创新点和不足之处。
第二章：产险业资本管理理论与我国的资本管理现状。资本理论经历了漫长的发展阶段，本章在梳理保险公司资本管理理论的基础上，主要研究了我国产险业的经营现状。利用34家产险公司的面板数据，建立局部联立调整模型，采用三阶段最小二乘方法对资本与组合风险的关系进行了实证检验。结果显示，资本增加使产险公司能够承担更多风险，但风险一定程度内的变化并不会导致增资压力；保费增长是导致资本增加的主要因素，规模发展对资本要求的必然性掩盖了我国产险公司盈利能力差的现状；偿付能力充足的公司改变资本和风险的速度大于偿付能力不足的公司。该研究结果表明，虽然长期而言，通过外部融资来提高偿付能力、维持业务的继续发展只能暂时缓解发展压力，并非长久之计。但是短期来看，在当前产险业盈利能力差的现实条件下，产险公司在合理利用资本并严格控制资本成本的基础上，必须积极寻求融资渠道，及时补充资本金以满足业务和机构发展的需要，防止偿付能力风险。所以当前产险业面临的一个重要问题是如何合理确定最优的资本规模问题。
第三章：产险公司资本规模的多目标属性和多目标规划理论。产险公司经营的最终目标是公司价值最大化，但是其实际发展过程中却存在多个管理目标。这些目标主要包括公司规模、经营利润、资本回报率、风险控制、监管要求等。产险公司的多目标属性使得资本管理也必然从多目标的角度展开，所以产险公司资本的最优规模也需要从多目标的角度考虑。这里主要讨论了价值增值、资本成本控制、风险控制、监管要求等目标。随后，本章介绍了多目标规划理论，系统梳理了多目标规划模型的求解方法。
第四章：基于多目标规划的产险公司最优资本规模和资产配置。本章针对产险公司经营中要实现的价值增值最大化、财务困境成本最小化和投资风险最小化目标，建立了承保风险和监管约束下的多目标最优规划模型。利用产险公司的赔付率数据拟合得到Copula函数，然后生成随机损失数据，并结合公司的实际经营情况设定参数对多目标规划模型进行求解。重点研究了不同权重、理想值或者预期目标对多目标模型最优决策的影响，并且比较分析了多目标规划模型的结果与产险公司的实际经营情况。研究发现，基于多目标模型的资本和资产决策能够实现公司的多个目标，有效改善公司的经营管理现状，防止公司追求单一目标所导致的发展困境，有利于产险公司实现可持续发展。
第五章：多目标多阶段下的产险公司最优资本规模研究。本章考虑了产险公司的长期融资策略，以增加公司价值和控制资本成本为目标，在监管约束和破产约束下建立了基于多目标规划的资本规模模型，得到了保险公司的最优增资额度，并在此基础上将单阶段模型推广至多阶段。结果显示，除了保费、净资产、投资收益率之外，增资数额还主要受由摩擦成本率和财务困境成本率之比所决定的损失分位数以及公司可承受的尾部损失影响。产险公司需要以多目标模型为指导，提高融资的目的性和规划性。
第六章：资本规模模型的应用分析。本章首先以产险公司的多目标资本规模模型为例，验证了基于多目标规划的最优决策的合理性。然后本章在检验不同阶段产险公司主要经营指标变化的基础上，分析了各阶段产险公司进行资本管理的主要内容，重点对现阶段产险公司应用多目标规划理论确定最优资本规模的必要性进行了分析。最后，本章阐明了多目标规划模型应用的局限性和注意事项，为多目标规划模型在产险公司经营管理中进一步推广应用提供指导。
第七章：结论。
With the improvement of economic and financial environment, China’sinsurance industry is facing a stage of rapid growth. Owing to the specialcharacteristic of insurance and the large scale of premium, insurance industryappears a surge of capital increase, in order that the companies can have enoughcapital to satisfy their own development aims, the requirment of regulators andrating organizations. Under this condition, all the insurance companies muststrengthen the capital management, improve the utilization efficiency of capital,better off the capital allocation. The importmance is that, companies need to seek thefinancing channels, plan for financing in advance to prenvent themselves fromfalling into insolvency. Because capital management is a complicated systemsengineering, so insurance companies must analyse on the whole to realize theobjectives which are mutual independent, incompatible, complementary. Based onthe analysis of the current capital management conditions, this paper combines thecapital management theory with the multi-objective planning models to improve theability of capital management.
This paper includes seven chapters. The structure and content are as follows.
Chapter one is introduction. It introduces the background and meaning of thewhole paper, and summarizes the insurance capital theory of present situation. Basedon this, we give a whole research framework and research approach of the paper.Finally, we point out the innovation points and deficiency.
Chapter two is about the capital management theory and the state of China’sinsurance industry. Capital theory experiences a long-run development. On the basisof generalizing the theory foundation, we mainly study the present situation ofinsurance in China. Using the panel data of34property&casualty insurancecompanies, this paper conducts the three-stage least squares procedure to estmate asimultaneous equations model in order to determine the relationship between therisk and capital and their influence factors. The result shows that the increase of capital makes companies have the ability to undertake much more risk, but thechange of risk in a limited extent may not cause capital raising pressure. Theincrease of premium is the main factor leading to capital requirement. We also findthat companies with solvency change thire capital and risk faster than companieswith insolvency. The results imply that, although it is not an efficient method toraise capital to ensure the solvency and development in the long run, insurancecompanies must seek financing channel and raise capital as soon as possible tomaintain normal development and gain time for the companies to change theirobjective from scale to benefit. So the companies all face an important problems thathow to determine the optimal capital.
Chapter three is concerning insurance companies’property of multi-objectiveand the theory of multi-objective planning theory. The ultimate objective ofinsurance company is maximizing the value of themselves, but among theirdevelopment, there exists many sub-objectives, including company size, operatingprofit, the return of capital, risk control, supervising restraint and so on. Thisproperty of multi-objective causes the company should be managed from differentangles. Then this charter discusses the theory of multi-objective planning, andpresents the method of solving multi-objective models.
Chapter four is asset allocation and optimal capital size of insurance companybased on multi-objective planning. Aimed at the value added maximum, financialdistress costs minimum, and investment risk minimum objectives, the charterconstruct a multi-objective programming model limited by underwriting risk andsupervision restraint. We first use the operation data to get the Copula functions,then we generate random loss data to setup parameter in case to solve the model.The research focuses mainly on the influence of the different weights, ideal points,and expected goals. The results show that this model can realize a lot of objectives,and also can improve the present situation of operation and management. At thesame time, it is favourable towards the sustainable development of insurancecompanies.
Chapter five is optimal capital size with multi-objectives and multi-stagesmodel. This chapter sets up value added and capital cost as the main objectives, and builds up a multi-objectives model with a constaint of supervision and bankrupt. Weget the optimal capital and based on this, we extent the model to multi-stages. Theresults implys that, apart from premium, net asset, ruturn on investment, the optimalcapital also influence by the loss quantile determined by the rate of friction cost andfinancial distress cost. This model can effectively guide the companies to improvethe purposiveness and planning of raising capital.
Chapter six is applied analysis of capital optimal size model. This chapterfirstly axamines the rationality of the model, and then analyze the change ofdifferent operation indexes to give capital management stratrgy aimed to differentstages. The last part is the limitations and the matter need attention of the models.
The last chapter is conclusions.
本文共分为七章，主要结构和内容如下。
第一章：引言。本章首先介绍了本文的选题背景和研究意义，梳理了关于保险公司资本理论的国内外发展现状。在此基础上，提出了本文的整体研究框架和研究方法。最后指出了本文的创新点和不足之处。
第二章：产险业资本管理理论与我国的资本管理现状。资本理论经历了漫长的发展阶段，本章在梳理保险公司资本管理理论的基础上，主要研究了我国产险业的经营现状。利用34家产险公司的面板数据，建立局部联立调整模型，采用三阶段最小二乘方法对资本与组合风险的关系进行了实证检验。结果显示，资本增加使产险公司能够承担更多风险，但风险一定程度内的变化并不会导致增资压力；保费增长是导致资本增加的主要因素，规模发展对资本要求的必然性掩盖了我国产险公司盈利能力差的现状；偿付能力充足的公司改变资本和风险的速度大于偿付能力不足的公司。该研究结果表明，虽然长期而言，通过外部融资来提高偿付能力、维持业务的继续发展只能暂时缓解发展压力，并非长久之计。但是短期来看，在当前产险业盈利能力差的现实条件下，产险公司在合理利用资本并严格控制资本成本的基础上，必须积极寻求融资渠道，及时补充资本金以满足业务和机构发展的需要，防止偿付能力风险。所以当前产险业面临的一个重要问题是如何合理确定最优的资本规模问题。
第三章：产险公司资本规模的多目标属性和多目标规划理论。产险公司经营的最终目标是公司价值最大化，但是其实际发展过程中却存在多个管理目标。这些目标主要包括公司规模、经营利润、资本回报率、风险控制、监管要求等。产险公司的多目标属性使得资本管理也必然从多目标的角度展开，所以产险公司资本的最优规模也需要从多目标的角度考虑。这里主要讨论了价值增值、资本成本控制、风险控制、监管要求等目标。随后，本章介绍了多目标规划理论，系统梳理了多目标规划模型的求解方法。
第四章：基于多目标规划的产险公司最优资本规模和资产配置。本章针对产险公司经营中要实现的价值增值最大化、财务困境成本最小化和投资风险最小化目标，建立了承保风险和监管约束下的多目标最优规划模型。利用产险公司的赔付率数据拟合得到Copula函数，然后生成随机损失数据，并结合公司的实际经营情况设定参数对多目标规划模型进行求解。重点研究了不同权重、理想值或者预期目标对多目标模型最优决策的影响，并且比较分析了多目标规划模型的结果与产险公司的实际经营情况。研究发现，基于多目标模型的资本和资产决策能够实现公司的多个目标，有效改善公司的经营管理现状，防止公司追求单一目标所导致的发展困境，有利于产险公司实现可持续发展。
第五章：多目标多阶段下的产险公司最优资本规模研究。本章考虑了产险公司的长期融资策略，以增加公司价值和控制资本成本为目标，在监管约束和破产约束下建立了基于多目标规划的资本规模模型，得到了保险公司的最优增资额度，并在此基础上将单阶段模型推广至多阶段。结果显示，除了保费、净资产、投资收益率之外，增资数额还主要受由摩擦成本率和财务困境成本率之比所决定的损失分位数以及公司可承受的尾部损失影响。产险公司需要以多目标模型为指导，提高融资的目的性和规划性。
第六章：资本规模模型的应用分析。本章首先以产险公司的多目标资本规模模型为例，验证了基于多目标规划的最优决策的合理性。然后本章在检验不同阶段产险公司主要经营指标变化的基础上，分析了各阶段产险公司进行资本管理的主要内容，重点对现阶段产险公司应用多目标规划理论确定最优资本规模的必要性进行了分析。最后，本章阐明了多目标规划模型应用的局限性和注意事项，为多目标规划模型在产险公司经营管理中进一步推广应用提供指导。
第七章：结论。
With the improvement of economic and financial environment, China’sinsurance industry is facing a stage of rapid growth. Owing to the specialcharacteristic of insurance and the large scale of premium, insurance industryappears a surge of capital increase, in order that the companies can have enoughcapital to satisfy their own development aims, the requirment of regulators andrating organizations. Under this condition, all the insurance companies muststrengthen the capital management, improve the utilization efficiency of capital,better off the capital allocation. The importmance is that, companies need to seek thefinancing channels, plan for financing in advance to prenvent themselves fromfalling into insolvency. Because capital management is a complicated systemsengineering, so insurance companies must analyse on the whole to realize theobjectives which are mutual independent, incompatible, complementary. Based onthe analysis of the current capital management conditions, this paper combines thecapital management theory with the multi-objective planning models to improve theability of capital management.
This paper includes seven chapters. The structure and content are as follows.
Chapter one is introduction. It introduces the background and meaning of thewhole paper, and summarizes the insurance capital theory of present situation. Basedon this, we give a whole research framework and research approach of the paper.Finally, we point out the innovation points and deficiency.
Chapter two is about the capital management theory and the state of China’sinsurance industry. Capital theory experiences a long-run development. On the basisof generalizing the theory foundation, we mainly study the present situation ofinsurance in China. Using the panel data of34property&casualty insurancecompanies, this paper conducts the three-stage least squares procedure to estmate asimultaneous equations model in order to determine the relationship between therisk and capital and their influence factors. The result shows that the increase of capital makes companies have the ability to undertake much more risk, but thechange of risk in a limited extent may not cause capital raising pressure. Theincrease of premium is the main factor leading to capital requirement. We also findthat companies with solvency change thire capital and risk faster than companieswith insolvency. The results imply that, although it is not an efficient method toraise capital to ensure the solvency and development in the long run, insurancecompanies must seek financing channel and raise capital as soon as possible tomaintain normal development and gain time for the companies to change theirobjective from scale to benefit. So the companies all face an important problems thathow to determine the optimal capital.
Chapter three is concerning insurance companies’property of multi-objectiveand the theory of multi-objective planning theory. The ultimate objective ofinsurance company is maximizing the value of themselves, but among theirdevelopment, there exists many sub-objectives, including company size, operatingprofit, the return of capital, risk control, supervising restraint and so on. Thisproperty of multi-objective causes the company should be managed from differentangles. Then this charter discusses the theory of multi-objective planning, andpresents the method of solving multi-objective models.
Chapter four is asset allocation and optimal capital size of insurance companybased on multi-objective planning. Aimed at the value added maximum, financialdistress costs minimum, and investment risk minimum objectives, the charterconstruct a multi-objective programming model limited by underwriting risk andsupervision restraint. We first use the operation data to get the Copula functions,then we generate random loss data to setup parameter in case to solve the model.The research focuses mainly on the influence of the different weights, ideal points,and expected goals. The results show that this model can realize a lot of objectives,and also can improve the present situation of operation and management. At thesame time, it is favourable towards the sustainable development of insurancecompanies.
Chapter five is optimal capital size with multi-objectives and multi-stagesmodel. This chapter sets up value added and capital cost as the main objectives, and builds up a multi-objectives model with a constaint of supervision and bankrupt. Weget the optimal capital and based on this, we extent the model to multi-stages. Theresults implys that, apart from premium, net asset, ruturn on investment, the optimalcapital also influence by the loss quantile determined by the rate of friction cost andfinancial distress cost. This model can effectively guide the companies to improvethe purposiveness and planning of raising capital.
Chapter six is applied analysis of capital optimal size model. This chapterfirstly axamines the rationality of the model, and then analyze the change ofdifferent operation indexes to give capital management stratrgy aimed to differentstages. The last part is the limitations and the matter need attention of the models.
The last chapter is conclusions.
引文
[1]蔡颖.产险公司偿付能力与资本结构优化问题研究[J].保险研究,2010,(11):8～19.
[2]陈迪红,晏飞,王敏.委托代理条件下RAROC资本配置方法的修正[J].统计与决策,2008,(2):37～39.
[3]陈迪红,戴志良,王敏.资本配置视角下财产产险公司承保决策分析[J].经济数学,2009,(2):35～40.
[4]陈迪红,冯慧慧. Pareto损失分布下的百分层资本配置模型[J].财经理论与实践,2010,(2):25～29.
[5]陈迪红,林晓亮.我国财险公司产品业务线经济资本配置的实证分析[J].财经理论与实践,2008,(6):31～35.
[6]高志强,张梦琳.产险公司价值最大化下的最优资本研究[J].中南财经政法大学学报,2009,(3):84～88.
[7]李莎,王韦等.产险公司资本结构分析——以中国平安保险(集团)股份有限公司为例[J].保险研究,2009,(9):78～83.
[8]刘俊山.基于风险测度理论的VaR与CVaR的比较研究[J].数量经济技术经济研究，2007,(3):125～133.
[9]鲁昌荣,孙华等.基于EVT和Copula的产险业经济资本的估算[J].统计与决策,2009,(14):11～13.
[10]吕长江,周县华,杨家树.产险公司偿付能力恶化预测研究[J].财经研究,2006,(10):80～91.
[11]沈卓君,许学军.我国产险公司经济资本管理的运用研究[J].当代经济,2010,(8):48～49.
[12]田玲,张岳.基于GARCH模型的我国产险公司经济资本度量[J].保险研究,2010,(3):37～41.
[13]王化楠.资本基础对中小财险公司战略规划的制约[J].金融与经济,2010,(1):58～61.
[14]王跃堂,王亮亮,彭洋.产权性质、债务税盾与资本结构[J].经济研究,2010,(9):122～136.
[15]徐华.我国寿险公司资本结构的影响因素[J].财经科学,2005,(6):113～118.
[16]徐华,周游.我国非寿险业资本结构使用效率的实证研究[J].财经科学,2008,(1):49～56.
[17]徐玖平,李军.多目标决策的理论与方法[M].清华大学出版社,2005.
[18]杨保安,张科静.多目标决策分析-理论、方法与应用研究[M].东华大学出版社,2008.
[19]占梦雅,武述金.多元Copula相依结构下财险承保业务经济资本计量[J].华东师范大学学报(哲学社会科学版),2010,(2):89～94.
[20]张琳,谭跃进.财产产险公司负债风险资本金的确定[J].系统工程,2006,(3):82～87.
[21]张勇.资本结构对寿险公司偿付能力的影响[J].保险职业学院学报,2003,(2):27～30.
[22]赵桂芹.我国产险业资本投入效率及对经营绩效影响的实证分析[J].金融研究,2009,(12):175～187.
[23]赵桂芹,王上文.产险业资本结构与承保风险对获利能力的影响—基于结构方程模型的实证分析[J].财经研究,2008,(1):62～71.
[24]周晶晗,赵桂芹.我国产险公司财务恶化预警研究—基于Logistic模型[J].经济科学,2007,(3):113～123.
[25]卓志,刘芳.初论我国寿险公司业务与资本的匹配[J].财经科学,2004,(4):108～112.
[26] Alexandre A, Mohamed H, JeanPaul L. Spectral risk measures and portfolio selection [J].Journal of Banking and Finance,2008,(32):1870~1882.
[27] Andrade G, Kaplan S N. How costly is financial (not economic) distress? Evidence fromhighly leveraged transactions that became distressed [J]. The Journal of Finance,1998.53(5):1443~1493.
[28] Artzner P, Delbaen F, Eber J, Heath D. Coherent measures of risk [J]. MathematicalFinance,1999,(9):203~228.
[29] Bachman J. Capitalization requirements for multiple line property-liability insurancecompanies [M]. S. S. Huebner Foundation for Insurance Education, Wharton School,University of Pennsylvania (Philadelphia and Homewood, Ill.),1978.
[30] Beck N, Katz J N. What to do (and not to do) with time-series cross-section data [J]. TheAmerican Political Science Review,1995,89(3):634~647.
[31] Ben-Albdelaziz F. L’efficacite En Programmation Multi-Objectifs Stochastique [D].Universite de Laval, Quebec,1992.
[32] Biger N, Kahane Y. Risk considerations in insurance ratemaking, Journal of Risk andInsurance,1978,(45):121~132.
[33] Bisignani R, Masala G, Micocci M. Economic capital management for insurancecompanies using conditional value at risk and a copula approach. Working paper,2007.
[34] Bodoff N. Capital allocation by percentile layer [C].2007ERM Symposium, www.ermsymposium.rg/2007/pdf/papers/Bodoff.pdf.2007.
[35] Brennan M J. Discussion [J]. Journal of Finance,1975,(30):446~447.
[36] Buser S A, Chen A H, Kane E J. Federal deposit insurance, regulatory policy, andoptimal bank capital [J], Journal of Finance,1981,(36):51~60.
[37] Butsic R P. Solvency measurement for property–liability risk-based capital applications[J]. Journal of Risk and Insurance,1994,(61):656~690.
[38] Cagle J A B, Harrington S E. Insurance supply with capacity constraints and endogenousinsolvency risk [J]. Journal of Risk and Uncertainty,1995,11(3):219~232.
[39] Carayannopoulos P, Kelly M. Determinants of capital holdings: evidence from theCanadian property/casualty insurance industry [J]. Journal of Insurance Regulation,2004,23(2):45~65.
[40] Chandra V, Sherris M. Capital management and frictional costs in insurance [J].Australian Actuarial Journal,2007,12(4):399~448.
[41] Cooper R W. Investment return and property-liability insurance ratemaking [M].Published for the S. S. Huebner Foundation for Insurance Education by R. D.Irwin (Homewood, Ill),1974.
[42] Cummins J D, Sommer D W. Capital and risk in property-liability insurance markets [J].Journal of Banking and Finance,1996,(20):1069~1092.
[43] Cummins J D, Nini G P. Optimal capital utilization by financial firms: evidence from theproperty-liability insurance [J]. Journal of Financial Services Research,2002,(21):15~53.
[44] Cummins J D, Danzon P M. Price, financial quality, and capital flow in insurancemarkets [J]. Journal of Financial Intermediation,1997,6(1):3~38.
[45] Cummins J D. Risk-based premiums for insurance guaranty funds [J]. Journal of Finance1988,(43):823~839.
[46] Cummins J D, Phillips R D. Estimating the cost of equity capital for property‐liabilityInsurer [J]. Journal of Risk and Insurance,2005,72(3):441~478.
[47] Cummins J D, Nye D J. Portfolio optimization models for property liability insurancecompanies: An analysis and some extensions [J]. Management Science,1981,(27):414~430.
[48] Demarta S, McNeil A. The t copula and related copula [J]. International StatisticalReview,2005,73:111~129.
[49] Derrig R. Theoretical considerations of the effects of federal income taxes on investmentincome in property-liability ratemaking [J]. Journal of Risk and Insurance,1994,61:691~709.
[50] Dhaene J, Tsanakas A, Valdez E A, Vanduffel S. Optimal capital allocation principles[J].Journal of Risk and Insurance,2012,79(1):1~28.
[51] Dhaene J, Goovaerts M, Lundin M, Vanduffel S. Aggregating economic capital [J].Belgian Actuarial Bulletin,2006,5:14~25.
[52] Djehiche B, H rflet P. Standard approaches to asset&liability risk [J]. Working paper,2004.
[53] Doherty N, Garven J. Price regulation in property-liability insurance: a contingent claimsapproach [J].Journal of Finance,1986,41:1031~1050.
[54] Embrechts P, Lindskog F, McNeil A. Modeling dependence with copula and applicationsto risk management [D]. Handbook of Heavy Tailed Distributions in Finance, S. T.Rachev ed., Elsevier,2003:329~384.
[55] Embrechts P, Kluppelberg S, Mikosch T. Extremal events in finance and insurance,Springer,1997.
[56] Estrella A. The cyclical behavior of optimal bank capital [J]. Journal of Banking andFinance,2004,28:1469~1498.
[57] Fairley S. Investment income and profit margins in property-liability insurance: Theoryand empirical tests [J]. Bell Journal of Economics and Management Science,1979,10:192~210.
[58] Fama E F, French K R. Testing tradeoff and pecking order predictions about dividendsand debt [J]. The Review of Financial Studies,2002,15(1):1~13.
[59] Feldblum S. NAIC property-casualty insurance company risk-based capital requirements.http://casualtyactuaries.com/pubs/proceed/proceed96/96297.pdf,1996.
[60] Flannery M J, Rangan K P. Partial adjustment toward target capital structures [J]. Journalof Financial Economics,2006,79(3):469~506.
[61] Franklin B. Letter to Joseph Priestly. Reprinted in the Benjamin Franklin Sampler,1956.Fawcett, New York,1772.
[62] Froot K A, Stein J C. Risk Management, capital budgeting and capital structure policyfor financial institutions: An integrated approach [J]. Journal of Financial Economics,1998,47:55~82.
[63] Froot K A, Scharfstein D S, Stein J C. Risk management: Coordinating corporateinvestment and financing policies [J]. Journal of Finance,1993,48:1629~1658.
[64] Froot K A. Risk management, capital budgeting, and capital structure policy for insurersand reinsurers [J]. The Journal of Risk and Insurance,2007,74(2):273~299.
[65] Froot K A, Stein C. Risk management, capital budgeting, and capital structure policy forfinancial institutions: An integrated approach [J]. Journal of Financial Economics,1998,47:55~82.
[66] Froot K A. Risk management, capital budgeting, and capital structure policy for insurersand reinsurers [J]. The Journal of Risk and Insurance,2007,74(2):273~299.
[67] Furlong F T, Keeley M. Capital regulation and bank risk taking: A note [J]. Journal ofBanking&Finance,1989,13(6):883~891
[68] Gatzert N, Schmeiser H. The influence of corporate taxes on pricing and capital structurein property liability insurance [J]. Insurance: Mathematics and Economics,2008,42(1):50~58.
[69] Szeg G. Measures of risk [J]. European Journal of Operational Research,2005,26(7):1253~1272.
[70] Givoly D, Hayn C, Ofer A R, Sarig O. Taxes and capital tructure: Evidence from firmsresponse to the tax reform act of1986[J]. Review of Financial Studies,1992,5(2):331~355.
[71] Gron A. Capacity constraints and cycles in property-casualty insurance markets [J]. TheRAND Journal of Economics,1994,25(1):110~127.
[72] GRON A. Property-casualty insurance cycles, capacity constraints, and empirical results
[D]. Department of Economics, Massachusetts Institute of Technology, Cambridge,1989.
[73] Hancock J, Huber P, Koch P. Value creation in the insurance industry[J]. RiskManagement and Insurance Review,2001,4(2):1-9.
[74] Hardelin J, De Forges S L. Raising capital in an insurance oligopoly market[J]. TheGeneva Risk and Insurance Review,2012,37:83~108.
[75] Harrington S. Insurance derivatives, tax policy, and the future of the insurance industry[J]. Journal of Risk and Insurance,1997,64(4),719~726.
[76] Harrington S, Mann S, Niehaus G. Insurer capital structure decisions and the viability ofinsurance derivatives [J]. J. Journal of Risk and Insurance,1995,62(3):483~508.
[77] Harrington S, Niehaus G. Capital, corporate income taxes, and catastrophe insurance [J].Journal of Financial Intermediation,2003.12(4):365~389.
[78] Markowitz H. Portfolio selection [J]. Journal of Finance,1952,7(1):77~91.
[79] Markowitz H. Portfolio selection: Efficient diversification of investments [M], New York:John Willey&Sons.1959.
[80] Hill R D, Modigliani F. The Massachusetts model of profit regulation in non-lifeinsurance: an appraisal and extensions [M], in: J. David Cummins and Scott E.Harrington, eds., Fair Rate of Return in Property-Liability Insurance (Boston: KluwerAcademic Publishers),1987:27~53.
[81] Hill R D. Profit regulation in property-liability insurance, Bell Journal of Economics,1979,10(1):172~191.
[82] Hipp C, Plum M. Optimal investment for insurers [J]. Insurance: Mathematics andEconomics,2000,27(2)：215~228.
[83] Ibragimov R, Jaffee D, Walden J. Multiline Insurance with Costly Capital and LimitedLiability. http://faculty.haas.berkeley.edu/JAFFEE/Papers/MonolineMultilineJan08.pdf,2008.
[84] Kim J, Hardy M. A capital allocation based on a solvency exchange option. Insurance:Mathematics and Economics,2009,44(3):357~366.
[85] LeMaire J. An application of game theory: cost allocation [J]. ASTIN Bulletin,1984,14(1):61~81.
[86] Cummins J D. Allocation of capital in the insurance industry [J]. Risk Management andInsurance Review,2000,3(1):7~27.
[87] Jacques K, Nigro P. Risk-based capital, portfolio risk and bank capital: a simultaneousequations approach [J]. Journal of Economics and Business,1997,49(6):533~567.
[88] Jaffe D, Russell T. Catastrophe insurance, capital markets, and uninsurable risks. TheJournal of Risk and Insurance.1997,64(2):205~230.
[89] Jarrow R, Purnanandam A. A generalized coherent risk measure: The firm's perspective[J]. Finance Research Letters,2005,2(1):23~29.
[90] Jensen M C. Agency costs of free cash flow, corporate finance, and takeovers [J]. TheAmerican Economic Review,1986,76(2):323~329.
[91] Kahane Y. Insurance exposure and investment risks: a comment on the use of chance-constrained programming [J]. Operations Research,1977,25(2):330~337.
[92] Kahane Y, Nye D J. A portfolio approach to the property-liability insurance industry [J].Journal of Risk and Insurance,1975,42(4):579~598.
[93] Kessler D. Insurance market mechanisms and government interventions [J]. Journal ofBanking&Finance,2008,32(1):4~14.
[94] Kim D, Santomero A M. Risk in banking and capital regulation [J]. Journal of Finance,1988,43(5):1219~1233.
[95] Klein R W, Phillips R D, Shiu W. The capital structure of firms subject to priceregulation: evidence from the insurance industry [J]. Journal of Financial ServicesResearch,2002.21(1):79~100.
[96] Koziol C, Lawrenz J. What makes a bank risky? Insights from the optimal capitalstructure of banks [J]. Journal of Banking&Finance,2009,33(5):861~873.
[97] Kraus A, Ross S A. The determination of fair profits for the roperty-liability insurancefirm [J]. Journal of Finance,1982,37(4):1015~1028.
[98] Laeven R, Perotti E. Optimal capital structure for insurance companies. http://www.netspar.nl/files/Evenementen/20100610/pres%20roger%20laeven.pdf,2010.
[99] Leibowitz M L, Henriksson R D. Portfolio optimization within a surplus framework [J].Financial Analysts Journal,1988,44(2):43~51.
[100] Lemma S, Seward J. Financial distress, bankruptcy and reorganization [D]. in Jarrow,R.A., V. Maksimovic, and W. Ziemba. eds., Finance, Elsevier Science, New York.1995.
[101] Li S, Huang Z. Determination of the portfolio selection for a property-liability insurancecompany [J]. European Journal of Operational Research,1996,88(2):257~268.
[102] Lin C M, Phillips R, Smith S. Hedging, financing, and investment decisions: Theoryand empirical tests [J]. Journal of Banking&Finance,2008,32(8):1566~1582.
[103] Liu C S, Yang H. Optimal investment for an insurer to minimize its probability of ruin[J]. North American Actuarial Journal,2004,8(2):11~31.
[104] Denault M. Coherent allocation of risk capital [J]. Journal of Risk,2001,4(1):1~34.
[105] Manka S, Bruneau C. Optimal investment and capital management decisions for anon-life insurance company[J]. http://www.institutlouisbachelier.org/risk10/work/1045452.pdf,2009.
[106] Mao H, Ostaszewski K. Pricing insurance contracts and determining optimal capital ofinsurers [C]. In Industrial Engineering and Engineering Management (IEEM),2010IEEE International Conference on: IEEE.
[107] Marcus A J. The bank capital decision: a time series cross-section analysis [J]. Journalof Finance,1983,38(4):1217~1232.
[108] Matten C. Managing bank capital: capital allocation and performance measurement,http://www.lavoisier.fr/livre/notice.asp?id=OKLWRSAAR6XOWP,2000.
[109] Merton R C. An analytic derivation of the cost of deposit insurance and loan guarantees:An application of modern option pricing theory [J]. Journal of Banking&Finance,1977,1(1):3~11.
[110] Merton R C, Perold A F. Theory of risk capital in financial firms [J]. Journal of AppliedCorporate Finance,1993,6(3):16~32.
[111] Merton R C. Operation and regulation in financial intermediation: a functionalperspective. In: P. Englund, ed., Operation and Regulation of Financial Markets(Stockholm: The Economic Council),1993:17~68.
[112] Modigliani F, Miller M H. Corporate income taxes and the cost of capital: A correction[J]. The American Economic Review,1963.53(3):433~443.
[113] Modigliani F, Miller M H. The cost of capital, corporation finance and the theory ofinvestment [J]. The American Economic Review,1958.48(3):261~297.
[114] Myers S C. Capital structure [J]. Journal of Economic Perspectives,2001,15(2):81~102.
[115] Myers S C, Read J A. Capital Allocation for Insurance Companies, Journal of Risk andInsurance,2001,68(4):545-580.
[116] Myers S C. Panel discussions. Panel I: Barriers to and opportunities for low-cost tradingof catastrophic risk.In: Froot, K.(Ed.), The Financing of Catastrophe Risk. Univ. ofChicago Press, Chicago,1999:434~437.
[117] Myers S C, Cohn R. Insurance rate of return regulation and the capital asset pricingmodel. Advisory Filing of the Massachusetts Automobile and Accident PreventionBureau for1982Rates,1981.
[118] Myers S C, Cohn R. A discounted cash flow approach to property-liability insurancerate regulations. In: Cummins, J.D., Harrington, S.E.(Eds.), Fair Rate of Return inProperty-Liability Insurance. Kluwer–Nijhoff, Boston,1987:55~78.
[119] Myers S C, Read J A. Surplus Allocation for Insurance Companies. Working paper,Massachusetts Institute of Technology, Cambridge, MA,1999.
[120] Panning W H. Managing the invisible: measuring risk, managing capital, maximizingvalue. In SOA/CAS2006ERM Symposium Call for Papers.2006.
[121] Perold A. Capital allocation in financial firms [J]. Journal of Applied Corporate Finance,2005,17(3):110~118.
[122] Peura S, Keppo J. Optimal bank capital with costly recapitalization [J]. Journal ofBusiness,2006,79(4):2163~2202.
[123] Phillips R D, Cummins J D, Allen F. Financial pricing of insurance in the multiple-lineinsurance company [J]. Journal of Risk and Insurance,1998,65(4):597~636.
[124] Quirin G D, Waters W R. Market efficiency and the cost of capital: the strange case offire and casualty insurance companies [J]. Journal of Finance,1975,30(2):427~445.
[125] Rajan R G, Zingales L. What do we know about capital structure: some evidence frominternational data [J]. Journal of Finance,1995,50(5):1421~1460.
[126] Rime B. Capital requirements and bank behavior: empirical evidence for Switzerland [J].Journal of Banking&Finance,2001,25(4):789~805.
[127] Ruhm D L, Mango D E. A method of implementing myers-read capital allocation insimulation [C]. In: The Casualty Actuarial Society Forum, Fall2003Edition.
[128] Sherris M, Studies A. Equilibrium insurance pricing, market value of liabilities andoptimal capitalization [C]. Proceedings of the13th AFIR International Colloquium,Maastricht, Netherlands.2003.
[129] Shim J. Capital-based regulation, portfolio risk and capital determination: empiricalevidence from the US property–liability insurers [J]. Journal of Banking&Finance,2010,34(10):2450~2461.
[130] Shim J, Lee E J, Lee S H. A Versatile Copula and Its Application to Risk Measures [J].International Journal of Business and Economics,2010,9(3):213-231.
[131] Shrieves R E, Dahl D. The relationship between risk and capital in commercial banks[J]. Journal of Banking&Finance,1992,16(2):439~457.
[132] Smith C. Alternative methods for raising capital: rights versus underwritten offerings [J].Journal of Financial Economics,1997,5(3):273~307.
[133] Smith A, Moran I, Walczak D. Why can financial firms charge for diversifiable risk?
[C]. Thomas Bowles Symposium, GSU,2003.
[134] Sommer D W. The impact of firm risk on property-liability insurance prices [J]. Journalof Risk and Insurance,1996,63(3):501~514.
[135] Stancu-Minasian I. M. Stochastic Programming with Multiple Objective Functions [M].Doedrecht: D. Reidel Publishing Companiey,1984.
[136] Taylor G. Fair premium rating methods and the relations between them [J]. Journal ofRisk and Insurance,1994,61(4):592~615.
[137] Taylor G. An equilibrium model of insurance pricing and capitalization [J]. The Journalof Risk and Insurance,1995,62(3):409~446.
[138] Titman S, Wessels R. The determinants of capital structure choice [J]. Journal ofFinance,1988,43(1):1~19.
[139] Titman S. The effeet of capital strueture on a firm’s liquidation decision [J]. Journal ofFinancial Economics,1984,13(1):137-151.
[140] Turner A L. Insurance in an Equilibrium Asset-Pricing Model [M]. In: J. D. Cumminsand S. E. Harrington, Fair Rate of Return in Property-Liability Insurance (Dordrecht:Kluwer Nijhoff Publishing),1981.
[141] Venter G G. Capital allocation survey with commentary [J]. North American ActuarialJournal,2004,8(2):96~107.
[142] Winter R. The dynamics of competitive insurance markets [J]. Journal of Financialintermediation,3(4):379~415.
[143] Kahane Y. Capital adequacy and the regulation of financial intermediaries [J]. Journal ofBanking and Finance,1977,(1):207~218.
[144] Yow, S. and M. Sherris, Enterprise Risk Management, Insurer Value Maximisation, andMarket Frictions [J]. Astin Bulletin,2008.38(1):293~339.
[145] Zanjani, G. Pricing and capital allocation in catastrophe insurance [J]. Journal ofFinancial Economics,2002,65(2):283~305.
[146] Zhang Y. Economic impact of capital level in an insurance company[C]. Enterprise RiskManagement Symposium,2006.
[147] Zhang Y. Why should an insurance firm charge for frictional costs? http://74.125.127.132/scholar?q=cache:q6y0lIfJyuYJ:scholar.google.com/&hl=zh-CN&as_sdt=0,2006.
[2]陈迪红,晏飞,王敏.委托代理条件下RAROC资本配置方法的修正[J].统计与决策,2008,(2):37～39.
[3]陈迪红,戴志良,王敏.资本配置视角下财产产险公司承保决策分析[J].经济数学,2009,(2):35～40.
[4]陈迪红,冯慧慧. Pareto损失分布下的百分层资本配置模型[J].财经理论与实践,2010,(2):25～29.
[5]陈迪红,林晓亮.我国财险公司产品业务线经济资本配置的实证分析[J].财经理论与实践,2008,(6):31～35.
[6]高志强,张梦琳.产险公司价值最大化下的最优资本研究[J].中南财经政法大学学报,2009,(3):84～88.
[7]李莎,王韦等.产险公司资本结构分析——以中国平安保险(集团)股份有限公司为例[J].保险研究,2009,(9):78～83.
[8]刘俊山.基于风险测度理论的VaR与CVaR的比较研究[J].数量经济技术经济研究，2007,(3):125～133.
[9]鲁昌荣,孙华等.基于EVT和Copula的产险业经济资本的估算[J].统计与决策,2009,(14):11～13.
[10]吕长江,周县华,杨家树.产险公司偿付能力恶化预测研究[J].财经研究,2006,(10):80～91.
[11]沈卓君,许学军.我国产险公司经济资本管理的运用研究[J].当代经济,2010,(8):48～49.
[12]田玲,张岳.基于GARCH模型的我国产险公司经济资本度量[J].保险研究,2010,(3):37～41.
[13]王化楠.资本基础对中小财险公司战略规划的制约[J].金融与经济,2010,(1):58～61.
[14]王跃堂,王亮亮,彭洋.产权性质、债务税盾与资本结构[J].经济研究,2010,(9):122～136.
[15]徐华.我国寿险公司资本结构的影响因素[J].财经科学,2005,(6):113～118.
[16]徐华,周游.我国非寿险业资本结构使用效率的实证研究[J].财经科学,2008,(1):49～56.
[17]徐玖平,李军.多目标决策的理论与方法[M].清华大学出版社,2005.
[18]杨保安,张科静.多目标决策分析-理论、方法与应用研究[M].东华大学出版社,2008.
[19]占梦雅,武述金.多元Copula相依结构下财险承保业务经济资本计量[J].华东师范大学学报(哲学社会科学版),2010,(2):89～94.
[20]张琳,谭跃进.财产产险公司负债风险资本金的确定[J].系统工程,2006,(3):82～87.
[21]张勇.资本结构对寿险公司偿付能力的影响[J].保险职业学院学报,2003,(2):27～30.
[22]赵桂芹.我国产险业资本投入效率及对经营绩效影响的实证分析[J].金融研究,2009,(12):175～187.
[23]赵桂芹,王上文.产险业资本结构与承保风险对获利能力的影响—基于结构方程模型的实证分析[J].财经研究,2008,(1):62～71.
[24]周晶晗,赵桂芹.我国产险公司财务恶化预警研究—基于Logistic模型[J].经济科学,2007,(3):113～123.
[25]卓志,刘芳.初论我国寿险公司业务与资本的匹配[J].财经科学,2004,(4):108～112.
[26] Alexandre A, Mohamed H, JeanPaul L. Spectral risk measures and portfolio selection [J].Journal of Banking and Finance,2008,(32):1870~1882.
[27] Andrade G, Kaplan S N. How costly is financial (not economic) distress? Evidence fromhighly leveraged transactions that became distressed [J]. The Journal of Finance,1998.53(5):1443~1493.
[28] Artzner P, Delbaen F, Eber J, Heath D. Coherent measures of risk [J]. MathematicalFinance,1999,(9):203~228.
[29] Bachman J. Capitalization requirements for multiple line property-liability insurancecompanies [M]. S. S. Huebner Foundation for Insurance Education, Wharton School,University of Pennsylvania (Philadelphia and Homewood, Ill.),1978.
[30] Beck N, Katz J N. What to do (and not to do) with time-series cross-section data [J]. TheAmerican Political Science Review,1995,89(3):634~647.
[31] Ben-Albdelaziz F. L’efficacite En Programmation Multi-Objectifs Stochastique [D].Universite de Laval, Quebec,1992.
[32] Biger N, Kahane Y. Risk considerations in insurance ratemaking, Journal of Risk andInsurance,1978,(45):121~132.
[33] Bisignani R, Masala G, Micocci M. Economic capital management for insurancecompanies using conditional value at risk and a copula approach. Working paper,2007.
[34] Bodoff N. Capital allocation by percentile layer [C].2007ERM Symposium, www.ermsymposium.rg/2007/pdf/papers/Bodoff.pdf.2007.
[35] Brennan M J. Discussion [J]. Journal of Finance,1975,(30):446~447.
[36] Buser S A, Chen A H, Kane E J. Federal deposit insurance, regulatory policy, andoptimal bank capital [J], Journal of Finance,1981,(36):51~60.
[37] Butsic R P. Solvency measurement for property–liability risk-based capital applications[J]. Journal of Risk and Insurance,1994,(61):656~690.
[38] Cagle J A B, Harrington S E. Insurance supply with capacity constraints and endogenousinsolvency risk [J]. Journal of Risk and Uncertainty,1995,11(3):219~232.
[39] Carayannopoulos P, Kelly M. Determinants of capital holdings: evidence from theCanadian property/casualty insurance industry [J]. Journal of Insurance Regulation,2004,23(2):45~65.
[40] Chandra V, Sherris M. Capital management and frictional costs in insurance [J].Australian Actuarial Journal,2007,12(4):399~448.
[41] Cooper R W. Investment return and property-liability insurance ratemaking [M].Published for the S. S. Huebner Foundation for Insurance Education by R. D.Irwin (Homewood, Ill),1974.
[42] Cummins J D, Sommer D W. Capital and risk in property-liability insurance markets [J].Journal of Banking and Finance,1996,(20):1069~1092.
[43] Cummins J D, Nini G P. Optimal capital utilization by financial firms: evidence from theproperty-liability insurance [J]. Journal of Financial Services Research,2002,(21):15~53.
[44] Cummins J D, Danzon P M. Price, financial quality, and capital flow in insurancemarkets [J]. Journal of Financial Intermediation,1997,6(1):3~38.
[45] Cummins J D. Risk-based premiums for insurance guaranty funds [J]. Journal of Finance1988,(43):823~839.
[46] Cummins J D, Phillips R D. Estimating the cost of equity capital for property‐liabilityInsurer [J]. Journal of Risk and Insurance,2005,72(3):441~478.
[47] Cummins J D, Nye D J. Portfolio optimization models for property liability insurancecompanies: An analysis and some extensions [J]. Management Science,1981,(27):414~430.
[48] Demarta S, McNeil A. The t copula and related copula [J]. International StatisticalReview,2005,73:111~129.
[49] Derrig R. Theoretical considerations of the effects of federal income taxes on investmentincome in property-liability ratemaking [J]. Journal of Risk and Insurance,1994,61:691~709.
[50] Dhaene J, Tsanakas A, Valdez E A, Vanduffel S. Optimal capital allocation principles[J].Journal of Risk and Insurance,2012,79(1):1~28.
[51] Dhaene J, Goovaerts M, Lundin M, Vanduffel S. Aggregating economic capital [J].Belgian Actuarial Bulletin,2006,5:14~25.
[52] Djehiche B, H rflet P. Standard approaches to asset&liability risk [J]. Working paper,2004.
[53] Doherty N, Garven J. Price regulation in property-liability insurance: a contingent claimsapproach [J].Journal of Finance,1986,41:1031~1050.
[54] Embrechts P, Lindskog F, McNeil A. Modeling dependence with copula and applicationsto risk management [D]. Handbook of Heavy Tailed Distributions in Finance, S. T.Rachev ed., Elsevier,2003:329~384.
[55] Embrechts P, Kluppelberg S, Mikosch T. Extremal events in finance and insurance,Springer,1997.
[56] Estrella A. The cyclical behavior of optimal bank capital [J]. Journal of Banking andFinance,2004,28:1469~1498.
[57] Fairley S. Investment income and profit margins in property-liability insurance: Theoryand empirical tests [J]. Bell Journal of Economics and Management Science,1979,10:192~210.
[58] Fama E F, French K R. Testing tradeoff and pecking order predictions about dividendsand debt [J]. The Review of Financial Studies,2002,15(1):1~13.
[59] Feldblum S. NAIC property-casualty insurance company risk-based capital requirements.http://casualtyactuaries.com/pubs/proceed/proceed96/96297.pdf,1996.
[60] Flannery M J, Rangan K P. Partial adjustment toward target capital structures [J]. Journalof Financial Economics,2006,79(3):469~506.
[61] Franklin B. Letter to Joseph Priestly. Reprinted in the Benjamin Franklin Sampler,1956.Fawcett, New York,1772.
[62] Froot K A, Stein J C. Risk Management, capital budgeting and capital structure policyfor financial institutions: An integrated approach [J]. Journal of Financial Economics,1998,47:55~82.
[63] Froot K A, Scharfstein D S, Stein J C. Risk management: Coordinating corporateinvestment and financing policies [J]. Journal of Finance,1993,48:1629~1658.
[64] Froot K A. Risk management, capital budgeting, and capital structure policy for insurersand reinsurers [J]. The Journal of Risk and Insurance,2007,74(2):273~299.
[65] Froot K A, Stein C. Risk management, capital budgeting, and capital structure policy forfinancial institutions: An integrated approach [J]. Journal of Financial Economics,1998,47:55~82.
[66] Froot K A. Risk management, capital budgeting, and capital structure policy for insurersand reinsurers [J]. The Journal of Risk and Insurance,2007,74(2):273~299.
[67] Furlong F T, Keeley M. Capital regulation and bank risk taking: A note [J]. Journal ofBanking&Finance,1989,13(6):883~891
[68] Gatzert N, Schmeiser H. The influence of corporate taxes on pricing and capital structurein property liability insurance [J]. Insurance: Mathematics and Economics,2008,42(1):50~58.
[69] Szeg G. Measures of risk [J]. European Journal of Operational Research,2005,26(7):1253~1272.
[70] Givoly D, Hayn C, Ofer A R, Sarig O. Taxes and capital tructure: Evidence from firmsresponse to the tax reform act of1986[J]. Review of Financial Studies,1992,5(2):331~355.
[71] Gron A. Capacity constraints and cycles in property-casualty insurance markets [J]. TheRAND Journal of Economics,1994,25(1):110~127.
[72] GRON A. Property-casualty insurance cycles, capacity constraints, and empirical results
[D]. Department of Economics, Massachusetts Institute of Technology, Cambridge,1989.
[73] Hancock J, Huber P, Koch P. Value creation in the insurance industry[J]. RiskManagement and Insurance Review,2001,4(2):1-9.
[74] Hardelin J, De Forges S L. Raising capital in an insurance oligopoly market[J]. TheGeneva Risk and Insurance Review,2012,37:83~108.
[75] Harrington S. Insurance derivatives, tax policy, and the future of the insurance industry[J]. Journal of Risk and Insurance,1997,64(4),719~726.
[76] Harrington S, Mann S, Niehaus G. Insurer capital structure decisions and the viability ofinsurance derivatives [J]. J. Journal of Risk and Insurance,1995,62(3):483~508.
[77] Harrington S, Niehaus G. Capital, corporate income taxes, and catastrophe insurance [J].Journal of Financial Intermediation,2003.12(4):365~389.
[78] Markowitz H. Portfolio selection [J]. Journal of Finance,1952,7(1):77~91.
[79] Markowitz H. Portfolio selection: Efficient diversification of investments [M], New York:John Willey&Sons.1959.
[80] Hill R D, Modigliani F. The Massachusetts model of profit regulation in non-lifeinsurance: an appraisal and extensions [M], in: J. David Cummins and Scott E.Harrington, eds., Fair Rate of Return in Property-Liability Insurance (Boston: KluwerAcademic Publishers),1987:27~53.
[81] Hill R D. Profit regulation in property-liability insurance, Bell Journal of Economics,1979,10(1):172~191.
[82] Hipp C, Plum M. Optimal investment for insurers [J]. Insurance: Mathematics andEconomics,2000,27(2)：215~228.
[83] Ibragimov R, Jaffee D, Walden J. Multiline Insurance with Costly Capital and LimitedLiability. http://faculty.haas.berkeley.edu/JAFFEE/Papers/MonolineMultilineJan08.pdf,2008.
[84] Kim J, Hardy M. A capital allocation based on a solvency exchange option. Insurance:Mathematics and Economics,2009,44(3):357~366.
[85] LeMaire J. An application of game theory: cost allocation [J]. ASTIN Bulletin,1984,14(1):61~81.
[86] Cummins J D. Allocation of capital in the insurance industry [J]. Risk Management andInsurance Review,2000,3(1):7~27.
[87] Jacques K, Nigro P. Risk-based capital, portfolio risk and bank capital: a simultaneousequations approach [J]. Journal of Economics and Business,1997,49(6):533~567.
[88] Jaffe D, Russell T. Catastrophe insurance, capital markets, and uninsurable risks. TheJournal of Risk and Insurance.1997,64(2):205~230.
[89] Jarrow R, Purnanandam A. A generalized coherent risk measure: The firm's perspective[J]. Finance Research Letters,2005,2(1):23~29.
[90] Jensen M C. Agency costs of free cash flow, corporate finance, and takeovers [J]. TheAmerican Economic Review,1986,76(2):323~329.
[91] Kahane Y. Insurance exposure and investment risks: a comment on the use of chance-constrained programming [J]. Operations Research,1977,25(2):330~337.
[92] Kahane Y, Nye D J. A portfolio approach to the property-liability insurance industry [J].Journal of Risk and Insurance,1975,42(4):579~598.
[93] Kessler D. Insurance market mechanisms and government interventions [J]. Journal ofBanking&Finance,2008,32(1):4~14.
[94] Kim D, Santomero A M. Risk in banking and capital regulation [J]. Journal of Finance,1988,43(5):1219~1233.
[95] Klein R W, Phillips R D, Shiu W. The capital structure of firms subject to priceregulation: evidence from the insurance industry [J]. Journal of Financial ServicesResearch,2002.21(1):79~100.
[96] Koziol C, Lawrenz J. What makes a bank risky? Insights from the optimal capitalstructure of banks [J]. Journal of Banking&Finance,2009,33(5):861~873.
[97] Kraus A, Ross S A. The determination of fair profits for the roperty-liability insurancefirm [J]. Journal of Finance,1982,37(4):1015~1028.
[98] Laeven R, Perotti E. Optimal capital structure for insurance companies. http://www.netspar.nl/files/Evenementen/20100610/pres%20roger%20laeven.pdf,2010.
[99] Leibowitz M L, Henriksson R D. Portfolio optimization within a surplus framework [J].Financial Analysts Journal,1988,44(2):43~51.
[100] Lemma S, Seward J. Financial distress, bankruptcy and reorganization [D]. in Jarrow,R.A., V. Maksimovic, and W. Ziemba. eds., Finance, Elsevier Science, New York.1995.
[101] Li S, Huang Z. Determination of the portfolio selection for a property-liability insurancecompany [J]. European Journal of Operational Research,1996,88(2):257~268.
[102] Lin C M, Phillips R, Smith S. Hedging, financing, and investment decisions: Theoryand empirical tests [J]. Journal of Banking&Finance,2008,32(8):1566~1582.
[103] Liu C S, Yang H. Optimal investment for an insurer to minimize its probability of ruin[J]. North American Actuarial Journal,2004,8(2):11~31.
[104] Denault M. Coherent allocation of risk capital [J]. Journal of Risk,2001,4(1):1~34.
[105] Manka S, Bruneau C. Optimal investment and capital management decisions for anon-life insurance company[J]. http://www.institutlouisbachelier.org/risk10/work/1045452.pdf,2009.
[106] Mao H, Ostaszewski K. Pricing insurance contracts and determining optimal capital ofinsurers [C]. In Industrial Engineering and Engineering Management (IEEM),2010IEEE International Conference on: IEEE.
[107] Marcus A J. The bank capital decision: a time series cross-section analysis [J]. Journalof Finance,1983,38(4):1217~1232.
[108] Matten C. Managing bank capital: capital allocation and performance measurement,http://www.lavoisier.fr/livre/notice.asp?id=OKLWRSAAR6XOWP,2000.
[109] Merton R C. An analytic derivation of the cost of deposit insurance and loan guarantees:An application of modern option pricing theory [J]. Journal of Banking&Finance,1977,1(1):3~11.
[110] Merton R C, Perold A F. Theory of risk capital in financial firms [J]. Journal of AppliedCorporate Finance,1993,6(3):16~32.
[111] Merton R C. Operation and regulation in financial intermediation: a functionalperspective. In: P. Englund, ed., Operation and Regulation of Financial Markets(Stockholm: The Economic Council),1993:17~68.
[112] Modigliani F, Miller M H. Corporate income taxes and the cost of capital: A correction[J]. The American Economic Review,1963.53(3):433~443.
[113] Modigliani F, Miller M H. The cost of capital, corporation finance and the theory ofinvestment [J]. The American Economic Review,1958.48(3):261~297.
[114] Myers S C. Capital structure [J]. Journal of Economic Perspectives,2001,15(2):81~102.
[115] Myers S C, Read J A. Capital Allocation for Insurance Companies, Journal of Risk andInsurance,2001,68(4):545-580.
[116] Myers S C. Panel discussions. Panel I: Barriers to and opportunities for low-cost tradingof catastrophic risk.In: Froot, K.(Ed.), The Financing of Catastrophe Risk. Univ. ofChicago Press, Chicago,1999:434~437.
[117] Myers S C, Cohn R. Insurance rate of return regulation and the capital asset pricingmodel. Advisory Filing of the Massachusetts Automobile and Accident PreventionBureau for1982Rates,1981.
[118] Myers S C, Cohn R. A discounted cash flow approach to property-liability insurancerate regulations. In: Cummins, J.D., Harrington, S.E.(Eds.), Fair Rate of Return inProperty-Liability Insurance. Kluwer–Nijhoff, Boston,1987:55~78.
[119] Myers S C, Read J A. Surplus Allocation for Insurance Companies. Working paper,Massachusetts Institute of Technology, Cambridge, MA,1999.
[120] Panning W H. Managing the invisible: measuring risk, managing capital, maximizingvalue. In SOA/CAS2006ERM Symposium Call for Papers.2006.
[121] Perold A. Capital allocation in financial firms [J]. Journal of Applied Corporate Finance,2005,17(3):110~118.
[122] Peura S, Keppo J. Optimal bank capital with costly recapitalization [J]. Journal ofBusiness,2006,79(4):2163~2202.
[123] Phillips R D, Cummins J D, Allen F. Financial pricing of insurance in the multiple-lineinsurance company [J]. Journal of Risk and Insurance,1998,65(4):597~636.
[124] Quirin G D, Waters W R. Market efficiency and the cost of capital: the strange case offire and casualty insurance companies [J]. Journal of Finance,1975,30(2):427~445.
[125] Rajan R G, Zingales L. What do we know about capital structure: some evidence frominternational data [J]. Journal of Finance,1995,50(5):1421~1460.
[126] Rime B. Capital requirements and bank behavior: empirical evidence for Switzerland [J].Journal of Banking&Finance,2001,25(4):789~805.
[127] Ruhm D L, Mango D E. A method of implementing myers-read capital allocation insimulation [C]. In: The Casualty Actuarial Society Forum, Fall2003Edition.
[128] Sherris M, Studies A. Equilibrium insurance pricing, market value of liabilities andoptimal capitalization [C]. Proceedings of the13th AFIR International Colloquium,Maastricht, Netherlands.2003.
[129] Shim J. Capital-based regulation, portfolio risk and capital determination: empiricalevidence from the US property–liability insurers [J]. Journal of Banking&Finance,2010,34(10):2450~2461.
[130] Shim J, Lee E J, Lee S H. A Versatile Copula and Its Application to Risk Measures [J].International Journal of Business and Economics,2010,9(3):213-231.
[131] Shrieves R E, Dahl D. The relationship between risk and capital in commercial banks[J]. Journal of Banking&Finance,1992,16(2):439~457.
[132] Smith C. Alternative methods for raising capital: rights versus underwritten offerings [J].Journal of Financial Economics,1997,5(3):273~307.
[133] Smith A, Moran I, Walczak D. Why can financial firms charge for diversifiable risk?
[C]. Thomas Bowles Symposium, GSU,2003.
[134] Sommer D W. The impact of firm risk on property-liability insurance prices [J]. Journalof Risk and Insurance,1996,63(3):501~514.
[135] Stancu-Minasian I. M. Stochastic Programming with Multiple Objective Functions [M].Doedrecht: D. Reidel Publishing Companiey,1984.
[136] Taylor G. Fair premium rating methods and the relations between them [J]. Journal ofRisk and Insurance,1994,61(4):592~615.
[137] Taylor G. An equilibrium model of insurance pricing and capitalization [J]. The Journalof Risk and Insurance,1995,62(3):409~446.
[138] Titman S, Wessels R. The determinants of capital structure choice [J]. Journal ofFinance,1988,43(1):1~19.
[139] Titman S. The effeet of capital strueture on a firm’s liquidation decision [J]. Journal ofFinancial Economics,1984,13(1):137-151.
[140] Turner A L. Insurance in an Equilibrium Asset-Pricing Model [M]. In: J. D. Cumminsand S. E. Harrington, Fair Rate of Return in Property-Liability Insurance (Dordrecht:Kluwer Nijhoff Publishing),1981.
[141] Venter G G. Capital allocation survey with commentary [J]. North American ActuarialJournal,2004,8(2):96~107.
[142] Winter R. The dynamics of competitive insurance markets [J]. Journal of Financialintermediation,3(4):379~415.
[143] Kahane Y. Capital adequacy and the regulation of financial intermediaries [J]. Journal ofBanking and Finance,1977,(1):207~218.
[144] Yow, S. and M. Sherris, Enterprise Risk Management, Insurer Value Maximisation, andMarket Frictions [J]. Astin Bulletin,2008.38(1):293~339.
[145] Zanjani, G. Pricing and capital allocation in catastrophe insurance [J]. Journal ofFinancial Economics,2002,65(2):283~305.
[146] Zhang Y. Economic impact of capital level in an insurance company[C]. Enterprise RiskManagement Symposium,2006.
[147] Zhang Y. Why should an insurance firm charge for frictional costs? http://74.125.127.132/scholar?q=cache:q6y0lIfJyuYJ:scholar.google.com/&hl=zh-CN&as_sdt=0,2006.
© 2004-2018 中国地质图书馆版权所有 京ICP备05064691号 京公网安备11010802017129号 地址：北京市海淀区学院路29号 邮编：100083 电话：办公室：(+86 10)66554848；文献借阅、咨询服务、科技查新：66554700 |