风险管理与保险期末复习大纲.doc

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七道简答三道计算, 集中前三章，考试内容与以前变化不大；

考试原则：首先讲义，按照讲义答，并且有所发挥；读书；查资料
1. 风险的分类classification of risk
(1) Three bases – on the nature of the risk根据风险的性质分为三种
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七道简答三道计算, 集中前三章，考试内容与以前变化不大；
考试原则：首先讲义，按照讲义答，并且有所发挥；读书；查资料
1. 风险的分类classification of risk
(1) Three bases – on the nature of the risk根据风险的性质分为三种
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风险管理与保险期末复习大纲
七道简答三道计算, 集中前三章，考试内容与以前变化不大；
考试原则：首先讲义，按照讲义答，并且有所发挥；读书；查资料
1. 风险的分类classification of risk
(1) Three bases – on the nature of the risk根据风险的性质分为三种
- Pure and speculative risks纯粹风险和投机性风险——可能的后果分类
- Pure risk: absolute loss or no loss – no possibility of a gain.
- The underlying causes within the control of the affected party, unless they are acts of nature; Losses can be financed by purchasing insurance; losses are not offset by gains by other parties – (not zero sum)
It is divided into direct loss (financial loss resulting from the event); indirect loss (consequential loss resulting from the direct loss); extra expenses (required to continue with the operations)
- Speculative risk: either a profit or loss is possible.
- Fundamental and particular risks重大风险和特殊风险——起因和后果是社会和个别单位分类
- Fundamental risk: due to the fundamental characteristics of the environment or the activity; affect large number of the population: country, large geographical regions etc; has implications to the wider society; receives government or other forms of assistance
- Particular risk: due to the nature of the specific activity or the situation; it affects individuals who participate in an activity or are members of an organized or unorganized group, such as can theft
- Static and dynamic risks动态风险和静态风险——社会经济技术条件是否变动分类
- Static risks: That would occur independent of the changes in the environment; mainly due to human error, dishonesty, defective equipment, unsafe workplace, etc; they tend to occur with some regularity; more suitable for insurance (定义, 原因, 发生状况, 保险)
- Dynamic risk: that result from changes in the environment – technology, changes in the price levels, tastes and preferences；do not occur with any regularity
(2) Financial and non-financial risks
- based on whether the risk can be measured in terms of monetary value
- Every risk has a financial and non-financial aspect.
- Non-financial aspects are difficult to manage.
会区分三组不同的概念。三种分类要学会区别，Segu给的教材的习题答案，部分涉及区别要仔细看一下。哪些可保，哪些不可保，可能让你举例

2. 风险管理（第一章第二章都讲了）Risk management
(1) 包括风险管理的步骤 the steps of the risk management process
- Identify all significant risks that can reduce business value – result in a loss
- evaluate frequency and the maximum probable loss (value at risk)
- develop strategies and methods for managing the risks to increase value
- implement methods
- monitor performance
(2) 目标，特别强调事前目标和事后目标 objectives of risk management
Maximize the value of the business behavior
Objectives of RM: pre-event
- cost – cost effective plan 经济合理性：企业应该选择最经济的economical方法为潜在损失做好准备(这个准备工作包括对安全计划的成本、保险费支付等)
- reduce anxiety – peace of mind 忧患的减少：一些风险会给风险经理和执行经理带来较大的忧患，主要是为了稳定思想
- compliance 遵守comply with和履行carry out相关的法律责任
- social responsibility – organization, employees, society at large
社会职责目标 – 组织、雇员、整个社会
Objectives of RM: post- event
- survival after the loss
企业生存：在损失发生后，企业至少要在一段合理的而时间内能够恢复to return to生产和经营，只有生存下去，才有希望恢复
- continuity of operations 保持企业经营的连续性：公共机构在损后必须能够提供相关的服务等，竞争型企业在损后必须保持继续经营，否则就会落后于竞争对手
- earnings stability 企业的稳定收益：若企业能够持续运转，则企业还是能够维持收益的，实现很困难
- continued growth 企业的持续发展：企业可以通过开发新产品、开拓新市场tap new markets或者兼并其他企业来保持持续发展，因此风险经理risk managers必须考虑到损失对持续发展的影响
- social responsibility 社会职责目标：将损失对其他人或者社会的影响最小化。严重的损失会给雇主、供应商、信贷者以及整个社会造成很大负面影响，如长期关闭一个小镇上的某个工厂会给当大经济带来灾难性的而影响
(3) 风险管理的方法 Risk management methods
三大类：每大类中都有子类，明白其涵义。如果对保险举例，会不会，在ppt重要详细距离，要仔细阅读
i． loss control: loss prevention, loss reduction, risk avoidance (reduced activity, increased precaution) 风险控制(风险避免、损失预防、损失抑制（减少活动、增加预防）)
- Loss prevention: take steps to reduce the frequency of occurrence (probability), e.g. taking frequent rest breaks during long distance driving 损失预防：采取措施减少损失发生的频率（可能性），
比如：机器固定维修，长期行车期间歇息
- Loss reduction: steps taken to reduce the severity of losses (dollar value), e.g. installing safety features – airbags. 损失抑制：采取措施减少损失的幅度. 比如：安装安全装置，系统备份等
- Risk avoidance: eliminate all risky activities. (After escalating damage claims – professional leaving the market; reduce the level of risky activity, e.g. eco-tourism; increase the precautionary measures against losses, e.g. higher level of training for new drivers.) 风险避免：放弃已知存在某种风险的行动
ii. loss financing: retention, insurance, hedging, contractual risk transfers 风险融资（风险自留、保险、对冲——非保险转移，契约风险转移）
- Retention: the entity retains the obligation to finance the loss. Also called self-insurance and in the case of mid to large companies – captive insurance companies 风险自留：企业承担部分或者全部的可预见的foreseeable损失。也被叫做自我保险，一般出现在中至大型企业- captive insurance company
- Insurance: transfer the risk to the insurer for a price (premium + loadings), with or without loss sharing (fixed or proportion) 保险：用一个价格将风险转移给承保人（溢价+loadings），有或者没有风险分担（固定的或者按照比例的）
- Hedging: mainly for financial risks, including price risks; some financial derivatives are now available for pure risks as well. 对冲：主要为了金融风险，包括价格风险；一些金融衍生品现在也可以用来控制纯粹风险
- Contracts: hold harmless or indemnity agreements that absolve the business for any damage claims损害赔偿; Cannot include negligence claims. 协议：持有无害的或者损失赔偿的协议，这些协议使得企业免除损害索赔，不包括疏忽索赔
iii. Internal risk reduction: diversification, investment in information 内部风险预防（多样化、信息投资）
- Diversification: holding a range of carefully selected investments to eliminate or minimize risk. Criteria for diversification: product range, geographical, international, etc. 持有一系列精心挑选的投资来消除或者最小化风险。多样化的准则：产品多样化，地理区域的，国际的
- Investment in information: improve the quality of the information used for planning and control 投资信息：提高用来计划和控制的信息质量。
(4) Risk level and treatment
Frequency
Severity (Magnitude重要性、重要程度)
Low
Significant
Critical
Low
Retention

Transfer
Medium

High
Control

Avoid

4. Risk identification作为基金经理，需要做什么，需要有什么技能，掌握什么样的方法
Managing risk requires thinking rigorous, forward looking, responsible and balanced. 首先应该学会如何衡量和区分风险(property loss/ HR losses; internal factors/ External factors; Direct losses/ indirect losses; insurable / uninsurable)，从哪获得数据(check list, internal record, industry reports, trade journals, etc and consultants)；估计风险的成本，比如直接成本、间接成本，并且权衡成本和收益，损失的概率（主观的、历史的、实验的、理论的）和可变性，学会获得风险方程并且定义一个critical的标准从而决定损失的可能性；通过风险汇聚的方法减少损失的变动程度即减少损失的风险——大数法则、置信区间等应用，VAR方法结合损失the probability of risk distribution of the range of risks，考虑相关风险
(1) Identification of exposures that could result in loss

5. HLV和Need approach的比较，一定要切中要害，根据ppt去做
HLV: 基本原理
(1) This estimate is based on the income the person would have received if the loss had not occurred. （基本原理）This is obtained by: 基本步骤
a. Forecast the annual income until retirement (It)
b. Deduct the person’s own consumption (OCt)
c. Discount the annual values (r)
(2) The HLV is approximate, and is based on the following assumptions: constant income and constant rate of tax; constant personal consumption; continuation of own consumption beyond retirement; whereas the income stops; other issues
(3) The HLV approach requires projection of future earnings, which is much more difficult than projecting future living expenses. 方法难易
(4) The HLV approach is conceptually more appealing from a risk management perspective because it focuses on potential loss rather than the family’s preferences concerning levels of consumption.
Need approach:
(1) This approach estimates the present value of the income level required by the dependents to maintain their lifestyles. （基本原理）
(2) It identifies normal expenditures of the dependents and how these expenditures are affected by the employee’s death. It can consider potential resources and income available to meet their needs. 基本步骤
(3) The main approach to calculate this is to add up the total financial needs and then deduct the accumulated assets
(4) The needs approach is preferred by financial planners and administrators of social security programs because of its simplicity and its direct portrayal of family economic welfare.

6. 刑事和民事稍微的区别展开（定法、诉讼形式、举证形式）
(1) Criminal
• Many legislation have criminal provisions: Corporations law, TPA, legislation under APRA
• State or one of its delegates against one or more legal persons, on behalf of the society (US “People Vs …”)
• Remedy: a penalty which typically is a fine or a jail sentence
• The standard of proof: “…beyond a reasonable doubt...” 排出合理的怀疑的意思是只有在原告plaintiff提供的证据能够完全证明陪审团jury提出的被告的无罪guiltless的疑问都解释了才能判处被告无罪（陪审团偏向被告），降低了无罪人被判处有罪的风险，增加了有罪的人被判处无罪的风险，其中本法系更偏向于降低无罪人被判处有罪的风险，尽量减少冤案
• Costs: borne by the state, but the defendant bears the defence costs. In cases of financial hardship, the state will provide defence lawyer at its own expense.
• Relevance to risk management: costing and investment in information
(2) Civil:
• One party (legal) against another for alleged wrongs, including legal persons against the state or one of its delegates
• Remedies: indemnity for the loss赔偿损失, punitive damages惩罚性损失（少于刑事部分，很少用这种惩罚性的损失）, restitution(归还财产—盗窃) of property or, injunctions(禁令) on activities（活动限制） or further legal proceedings（进一步法律诉讼—触犯刑事）, etc刑事是罚金和监禁，民事中不存在监禁
• The standard of proof is the “preponderance of evidence证据优势” (the number of evidence) or “balance of probabilities” (the strength of evidence) [not as heavy as in a criminal case] 民事的举证原则弱于刑事的，刑事的叫做“排除合理怀疑”，民事叫做“证据优势”——因为被告和原告双方证明自己有罪或者无罪，证据优势——证明有罪的证据的证明力大于证明无罪的证据的证明力，则会被判处有罪，反之亦然，这是民事举证原则
• Costs are borne by the parties, but the court can award costs to the winning party

7 .期望效用 在tutorial中有两道计算，会发给大家，回去看一下
A company has to transport 1million live sheep. The company, however, faces a 50% chance of loosing all the sheep on any one trip, due to stress. The transport costs are borne by the consignee 委托人承担运输成本.
The company is considering two strategies: Take the entire cargo in one trip or Take two trips with half the cargo in each trip
ii． List the possible outcomes of each strategy and the probabilities of these outcomes.
Possible outcomes (losses)
Total cost
Cost to each transportation
Probability
No accidents
0
0
0.5*0.5
One has an accident
0.5
0.25
0.5*0.5*2
Both have accidents
1
0.5
0.5*0.5

Possible outcomes (losses)
Total cost
Cost to each transportation
Probability
No accidents
0
0
0.5
One has an accident
1
1
0.5
iii． One the average, how many sheep will remain alive at the end of the trip, under either strategy.
The expected loss = 1*0.5
The expected loss = 0*0.25+0.5*0.5*2*0.5+1*0.25=0.5 如果只是从期望产出角度将，那么是一样的
iv． Are there greater benefits from taking more trips? Will this be affected if the company has to bear the cost of transport? 还要计算标准偏差——相加开跟号

如果运输公司来承担，即运输公司的决策，原来成本与其无关收益，因此选择风险小的，而有运输成本还要关注实际收益，运输两次比运输一次的成本要高，因此取决于题目怎么问，假设成本一样，则没有区别，如果成本有区别则又会怎样，如果不一样，就不考虑风险的问题，只比较两者的收益
一定要带计算器, 期望效用和保险价格的问题，也可以带纸质字典
8. Ms. Hansen is planning an around-the-world trip on which she plans to spend $15,000. The utility from this trip is a function of how much she actually spends on it (y), given by: U(y) = ln (y)
l If there is a 25% probability that she will loose $2000 of her cash on the trip, what is the trip’s expected utility?
实际花钱有几种可能：第一种可能，丢失2000，只能花费13000；另一种可能是花费15000
期望效用等于效用的期望=概率乘以第一个效用和概率乘以第二个效用
计算的时候，用的是ln
ln（15000-2000）*25%+ln（15000）*75%_买保险和没有买之前的期望效用比较
l Suppose that Ms. Hansen can buy insurance against loosing $2000 at a fair premium of $500. Show that her expected utility is higher if she purchases insurance, compared to loosing $2000 without the insurance.
依然分情形分析：25%可能性丢失2000美金，但在此之前买了保险，保险价格是500美金，ln（15000-500保险费用-2000丢失部分+2000保险赔付）*25%+ln（15000-500）*75%=ln(15000-500)
让你展示一下这个数大于刚才计算的数字，一比较就知道了
l What is maximum amount she would be willing to pay to insure her $2000?
第三个算一个最大支付：买不买保险的期望是一样的；不能比购买保险之前的效用小，所以应该使得没买保险的期望效用与购买保险之后的期望效用至少相同，而不能低于前者否则不会选择购买。假设愿意支付x的保费，支付后的期望效用 ln(15000-x-2000+2000)*0.25+0.75*ln(15000-x)，使得两者相等，解得答案即可——Ln（15000-x）=Ln（15000-2000）*25%+ln（15000）*75%=E U(y)

9. Unearned premium reserve还没有赚到的保费准备金
(1) 词的意思：很多保费当期不能被确定为保险公司的收入。今年会计做账的时候，不能把500美金都作为收入，收益与成本相对应的原则，要确定收益要跟所发生的预期的赔付有关系，所以本身是两年的，一半在第一年发生，一半在第二年发生，做账的部分成为资本，其余部分放在该帐下
- A reserve equal to an amount of net premium written but not yet earned. Or
- Fund that contains the portion of the premium that has been paid in advance for insurance that has not yet been provided.
假设收到的钱分两年期限，第一年确定的收入只能为一半，另外一部分计入未来可能发生损失，如果第一年做了100，另外400被记在unearned premium reserve下; 还有一种可能是一年撤销合同，那就直接从unearned premium reserve拿出，如果已经做入收入，就要计税了，如果当时的500都计入income，如果这时候取消合同，你你要退还人家多少钱，那么税有怎么办，因此这部分不确定为收入，不计税。回去要查资料。if a business pays an annual premium of $1000 on January 1, the money is not earned by the insurer until the insurance coverage has been provided. On July 1, $500 would have been earned and $500 would remain as unearned premium, belonging to the policyholder. If either party cancels the contract, the insurer must have the unearned premium ready to refund. For this reason, insurance regulators require that insurers maintain an unearned premium reserve so that, in the event an insurer must be liquidated, there is enough money to pay claims and refund the unearned premium. Because computations for individual policies would be cumbersome, regulators have devised formulas