经济资本视角的寿险公司全面风险管理

发布时间：2018-03-13 21:26

本文选题：经济资本　切入点：全面风险管理　出处：《西南财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：改革开放以来,我国寿险业不断发展,以年均30%左右的速度快速增长,成为国民经济中发展最快的行业之一。寿险公司作为提供风险保障来获取利润的特殊经营机构,在承担被保险人风险的同时还要化解自身的风险。与财险公司相比,寿险公司产品存续期更长、面临风险更加复杂,因此如何建立和健全寿险公司的风险防范体系便成为寿险业一项重要而迫切的任务。随着全球经济一体化步伐的加快,近十几年来金融危机频繁爆发,国际经济形势发生了重大变革,由此风险管理领域的发展出现了两个较为明显的趋势,一是全面风险管理思想的提出和不断完善；二是以经济资本为核心的风险控制体系的逐步形成。寿险公司中的经济资本水平代表了公司的风险抵御能力,从而对公司资产的扩张速度和规模产生影响,最终决定着公司的可持续发展能力。本文试图运用保险学、统计学、管理学等学科理论,将全面风险管理和经济资本两个理念引入到寿险公司风险评估和风险管理的研究之中,并就经济资本在寿险公司全面风险管理这一较小领域中的应用进行深入研究。本文的基本思路与结构安排如下：引言。本章主要就选题背景、研究意义进行说明,在总结前人理论研究成果的基础上,提出了本文的研究思路及研究方法,最后阐述了本文的创新和不足之处,对全文起总括的作用。第一章,寿险公司全面风险管理概述。首先介绍了全面风险管理的基本概念,在与传统风险管理对比分析其优势的基础上,介绍了全面风险管理整合框架。然后通过结合我国寿险公司自身经营特点和市场环境,阐述了风险管理在寿险公司中运用的特殊性。再通过我国寿险公司发展现状及其实施全面风险管理的状况,分析出我国寿险公司迫切地需要实行全面风险管理来应对公司经营所面临的各种问题。最后对我国寿险公司实施全面风险管理的重要性进行阐述。第二章,寿险公司经济资本的衡量、配置及其实证研究。首先对经济资本的定义进行阐述,并与几个易混淆的概念进行比较,以深入理解经济资本的内涵；其次,对如何计量寿险公司中各类风险的经济资本进行阐述,并从我国数家寿险公司中选取了市场占有率前五的公司,以它们的财务数据为例,分析了衡量经济资本的具体方法。第三章,以经济资本为核心的寿险公司全面风险管理及其框架构建。首先,对以经济资本为核心的全面风险管理发展进行概述；其次,通过对以ING公司为代表的国际寿险公司运用经济资本的成效和我国寿险经济资本运用现状的研究,阐明了我国寿险公司构建以经济资本为核心的全面风险管理的必要性；最后,通过借鉴国外经验和结合我国实际情况,初步构建了以经济资本为核心的全面风险管理框架。第四章,经济资本在我国寿险公司全面风险管理中的应用问题和相关建议。首先,阐述了我国寿险公司在建立体系时应注意明确目的、适应实际情况和提高模型有效性等问题；其次对于我国寿险公司实施经济资本管理提出相关建议。本文可能的创新之处：第一,由于传统RAROC方法的核心指标VaR不满足风险一致性的要求,本文选用改进后的TailVaR替代VaR,以更好的衡量寿险公司所需的经济资本量。但由于TailVaR方法的计算较为繁琐,实际运用时难度较大,所以本文的计算基于正态分布的假设,在运用过程中有所简化。第二,本文初步构建了以经济资本为核心的全面风险管理框架,将经济资本运用于风险管理中,并使之与公司组织框架相结合,较传统的风险管理方法更为先进,对我国寿险公司今后的发展有一定的借鉴意义。
[Abstract]:Since the reform and opening up, the continuous development of China's life insurance industry, the rapid growth with an average annual rate of about 30%, becoming one of the fastest growing industries in the national economy. The life insurance company as a special operating agency to provide risk protection to profit, the insured bear the risk at the same time to resolve their own risk. Compared with the insurance company. The longer the duration of the product life insurance company, risk is more complex, so how to establish and improve the insurance company's risk prevention system has become the life insurance industry is an important and urgent task.
With the accelerated pace of global economic integration, in recent years the frequent outbreak of the financial crisis, major changes have taken place in the international economic situation, the development of the field of risk management has two obvious trends, one is put forward the theory of comprehensive risk management and continuous improvement; two is gradually formed a risk control system with economic capital as the core the life insurance company. In the economic capital level represents the company's ability to resist risks, which have an impact on the company's assets expansion speed and scale, ultimately determines the sustainable development ability of the company.
This paper tries to use the theory of insurance, statistics, management science and other disciplines, the comprehensive risk management and economic capital two concept to study the life insurance company risk assessment and risk management, and conducts an in-depth research on the application of economic capital in this small field of comprehensive risk management of life insurance companies.
The basic ideas and structural arrangements of this paper are as follows:
Foreword, this chapter mainly explains the background and significance of the research. Based on the summary of previous theoretical research results, this paper puts forward the research ideas and research methods. Finally, it expounds the innovation and shortcomings of this article, and it will play a comprehensive role in the full text.
The first chapter, an overview of the overall risk management of life insurance companies. It first introduces the basic concepts of comprehensive risk management, based on the traditional risk management and comparative analysis of the advantages, presents a comprehensive risk management framework. Then by combining China's life insurance company's own operating characteristics and market environment, expounds the particularity of risk management in insurance company in the use of. The development status of China's life insurance companies and the implementation of a comprehensive risk management status, analysis of China's life insurance companies urgently need a variety of problems and implementation of a comprehensive risk management to deal with the company facing. At the end of the life insurance company of our country implement the importance of comprehensive risk management in this paper.
The second chapter, the measure of economic capital life insurance companies, research and demonstration. The first is to define the configuration of economic capital is elaborated, compare the concept and easily confused with several, so as to deeply understand the connotation of the economic capital; secondly, the types of risk to life insurance companies in the measurement of economic capital is expounded, and the selection of market share the top five companies from the number of life insurance companies in our country, with their financial data as an example, analyzes the concrete ways to measure economic capital.
The third chapter, the construction of the economic capital as the core of the life insurance company and its overall risk management framework. Firstly, an overview of the comprehensive risk management as the core of the development of the economic capital; secondly, through the use of economic capital and economic capital effect situation of life insurance is used in our study to ING company as the representative of the international life insurance company, clarify the necessity of establishing a comprehensive risk management based on economic capital as the core of life insurance companies in China; finally, by referring to foreign experience and combining the actual situation of our country, constructs a comprehensive risk management framework of the economic capital as the core.
The fourth chapter, the economic capital in the application of comprehensive risk management of China's life insurance companies and related suggestions. Firstly, elaborated on China's life insurance companies should pay attention to a clear purpose in establishing the system, adapt to the actual situation and improve the effectiveness of the model and other issues; secondly for China's life insurance companies implementing economic capital management and puts forward relevant suggestions.
The possible innovation of this paper: first, the core index of VaR traditional RAROC method does not meet the risk consistency requirements, this paper used the improved TailVaR instead of VaR, the amount of economic capital to better measure the life insurance company needs. But because of the method of calculating TailVaR is more complicated, the application is difficult, so this the calculation is based on the assumption of normal distribution has been simplified in the application process. Second, this paper constructs a comprehensive risk management framework based on economic capital as the core, the economic capital is used in risk management, and organization framework combining risk management compared with the traditional method is more advanced, there are certain the significance of the life insurance company of our country future development.

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F272.3;F842.3

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