中国第二代偿付能力监管体系的利率模型选择——基于SolvencyⅡ利率模型和现行方法的比较

发布时间：2017-12-27 19:20

本文关键词：中国第二代偿付能力监管体系的利率模型选择——基于SolvencyⅡ利率模型和现行方法的比较　出处：《保险研究》2014年05期 　论文类型：期刊论文

【摘要】：中国正在进行第二代偿付能力监管体系的建设。随着利率市场化的进行,新的监管体系中利率模型的选择成为关注焦点和研究重点,因为这将极大地影响寿险负债的评估结果,从而影响保险公司的财务报表与偿付能力。本文主要研究了欧盟SolvencyⅡ中Smith-Wilson利率模型在中国市场的应用。首先,本文介绍了S-W模型的计算方法,并对中国市场应用S-W模型的参数进行设置;其次,本文以1~50年的银行间固定利率国债即期收益率为数据基础,计算出S-W模型的利率结果,并对重要参数进行敏感性分析;最后,本文将S-W模型与中国现行的750天移动平均法作对比,通过计算与分析一款两全保险产品的准备金,得出750天移动平均法确实具有时滞性,而S-W法能够及时、准确反映市场利率的变化。
[Abstract]:China is carrying out the construction of the second generation solvency supervision system. With the marketization of interest rate going on, the choice of interest rate model in the new regulatory system has become the focus of attention and research priorities, because this will greatly affect the assessment results of life insurance liabilities, thereby affecting the insurance company's financial statements and solvency. This paper mainly studies the application of the Smith-Wilson interest rate model in the EU Solvency II in the Chinese market. Firstly, this paper introduces the calculation method of S-W model, and the parameters of China market application of the S-W model are set up; secondly, this paper takes 1~50 years of inter bank fixed rate bond spot rate as the basic data, calculate the interest rate of S-W model results, and the important parameters in sensitivity analysis; finally, this paper will S-W compared with the current model China 750 day moving average method, through the calculation and analysis of an endowment insurance products reserve, that the 750 day moving average method has time lag, but the S-W method can timely and accurately reflect changes in market interest rate.
【作者单位】：中央财经大学保险学院/中国精算研究院;
【基金】：教育部人文社科基地2013重大项目《中国保险业第二代偿付能力资本量化研究》(13JJD790040)资助
【分类号】：F842
【正文快照】： 一、引言2012年4月,中国保险监督管理委员会(以下简称“保监会”)提出要用3~5年的时间完成中国第二代偿付能力监管制度体系的建设。2013年5月,保监会发布了《中国第二代偿付能力监管制度体系整体框架》,进一步说明了第二代偿付能力监管的总体目标、整体框架和计量原则等。其评

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