非寿险精算在零售价差风险管理中的运用

价差风险对零售市场的稳定运行和企业的稳健经营影响很大。零售商必须构建价差风险管理体系才能对风险进行系统、有效的管理。在从概率论角度准确定义价差风险的基础上,运用非寿险精算原理,进一步定义了零售平均价格的精算值。精算值把零售平均价格分为精算值和风险溢价。根据零售企业风险偏好,价差风险溢价又可分为价差风险管理所需要的风险资本和价差风险报酬。价差风险资本的份额大小由安全附加系数测量。以风险资本与价差风险水平的对应关系为核心,以电力市场衍生合同和企业自身的价差风险准备金为风险控制手段,建立价差风险管理体系的初步框架。模拟结果显示,安全附加系数的增加明显使价差风险降低,降低的速度是先快后慢;电力终端需求量与批发市场电价的相关性越大,安全附加系数对价差风险管理效率越高。

Application of Non-life Insurance Actuarial Theory in the Management of Price Difference Risk Between the Retail and Wholesale Prices

The price difference risks exert a great influence on the reliability of the retail market and the stability of the enterprise management. The retail companies must build a price difference risk management system to cope with the risks efficiently and systematically. Based on the accurate definition of price difference risk in the sense of probability the concept of the actuarial value of the retail average price is further defined by the non-life actuarial theory, and the retail average price is separated into two parts: the actuarial value and the risk premium. According to the risk preference of the retail companies, the risk premium is split into the risk capital for the price difference risk management and the risk rewards from retaining the risks. The amount of the risk capital is measured by the security loading coefficient. Taking the relationship between the risk capital and the risk level as the core, and the derivative contracts of electricity market and the price difference risk reserves as the risk control measures, the preliminary frame of the price difference risk management system is constructed. Simulation results show that the risk levels decrease when the security loading coefficients increase, whose decreasing velocity is fast at first then slow, and the relationships between the terminal electric demand and the wholesale prices strengthen the efficiency of the security loading coefficients.