经济资本、公允价值与财险公司风险管理

发布时间：2018-04-26 23:33

本文选题：经济资本 + 公允价值　；参考：《西南财经大学》2013年硕士论文

【摘要】：经济资本概念自从出现以来便得到了快速发展,并在商业银行领域得到了广泛应用,证明其在风险管理方面存在重要的作用。而对于保险公司而言,经济资本还是一种全新风险管理理念,尤其是财险公司,更没有太多的成功经验可供借鉴。但在经济全球化和金融混业经营的大背景下,经济资本在整个金融行业的大范围推广是必然趋势。经济资本作为一种先进的风险管理技术,实现了风险与资本的有效整合,对于提高保险公司的风险管理水平具有重要意义。同时,通过引入经过风险调整的资本收益率(RAROC)可以对财险公司经营绩效进行有效评估,进一步提高风险防范水平。与此同时,最近十几年来全球经济一体化趋势愈演愈烈,而2008年全球范围内金融危机的爆发,使人们重新认识到公允价值计量属性的重要性。国际上一些重大的会计机构纷纷出台相应的会计准则,要求各金融企业按公允价值计量资产负债价值。我国也紧跟国际步伐,对公允价值计量做了相应的要求。但财险公司经营内容与其他行业存在本质的不同,其负债具有特殊性,将公允价值计量属性引入财险公司负债评估中存在一定的困难。本文试图为财险公司负债公允价值的评估提供一个有效的方法,并指出公允价值计量是财险公司经济资本评估的重要前提,通过这种方法将经济资本和公允价值整合在一起,以期为财险公司风险管理框架的构建提供帮助。第一章“前言”简要阐明了本文选题的背景和意义,回顾了国内外在相关领域的研究现状,最后指出了本文的创新之处。第二章“经济资本——财险公司风险管理新趋势”,主要指出了经济资本对于财险公司风险管理过程的重要性。首先,根据国际精算师协会(IAA)提供的分类方法对保险企业面临的风险进行了分类,并简单介绍了财险公司风险管理的主要工具,然后提出了经济资本概念,指出经济资本在财险风险管理中的作用。第三章“公允价值——经济资本评估的重要前提”,指出只有对财险公司资产和负债同时进行公允价值评估才能使经济资本在财险公司风险管理中发挥重要作用。本章首先对公允价值计量属性的优缺点进行了简单的分析,然后对财险公司负债公允价值的评估进行探讨,并选取净现值法作为财险公司负债公允价值评估的正确方法。最后,将公允价值计量运用到经济资本评估中,为财险公司风险管理提供新的思路。第四章“经济资本视角下的财险公司风险管理”,主要讨论经济资本在财险公司风险管理实践中的具体应用。首先指出资产负债管理是财险公司风险管理的基本理念,然后将财险公司的利润来源分为两大职能中心——承保中心和投资中心,并利用管理控制系统中的转移价格概念将两者联系起来,最后分别对两大中心面临的风险进行经济资本评估和绩效管理。第五章“案例分析”,通过具体的案例来说明考虑了公允价值计量后的财险公司经济资本评估,以此验证经济资本与公允价值之间的联系,以及两者在财险公司风险管理中的作用,最后根据案例分析结果对财险公司在公允价值计量模式下的经济资本管理提出了相关的建议。
[Abstract]:Since the emergence of the concept of economic capital, the concept of economic capital has been rapidly developed and widely used in the field of commercial banks. It has proved that it has an important role in risk management. For insurance companies, economic capital is a new risk management concept, especially the financial insurance company, and there is not much successful experience to borrow. However, under the background of economic globalization and financial mixed operation, it is an inevitable trend that economic capital is popularized in the wide range of the whole financial industry. As an advanced risk management technology, economic capital has realized the effective integration of risk and capital. It is of great significance to improve the risk management level of insurance companies. The introduction of risk adjusted capital return (RAROC) can effectively assess the performance of property insurance companies, and further enhance the level of risk prevention.
At the same time, the trend of global economic integration in the last decade has become more and more intense, and the outbreak of the global financial crisis in 2008 has made people re aware of the importance of the fair value measurement attribute. Some of the major international accounting institutions have issued corresponding accounting standards for financial enterprises to measure assets at fair value. The debt value. China also follows the international pace, and makes the corresponding requirements for the fair value measurement. However, the management content of the financial insurance company is different from other industries, its liabilities are special. There are some difficulties in introducing the fair value measurement attribute to the liability assessment of the financial insurance company. The value evaluation provides an effective method, and points out that the fair value measurement is an important prerequisite for the financial capital evaluation of the financial insurance company. Through this method, the economic capital and the fair value are integrated together, in order to provide help for the construction of the risk management framework of the financial insurance company.
The first chapter, "preface" briefly expounds the background and significance of this topic, reviews the research status of the relevant fields at home and abroad, and finally points out the innovation of this article.
The second chapter, "economic capital - a new trend of risk management for financial insurance companies", mainly points out the importance of economic capital to risk management process of financial insurance companies. First, according to the classification methods provided by the international actuary Association (IAA), the risks faced by the insurance companies are classified, and the risk management owners of the financial insurance companies are briefly introduced. Tools, and then put forward the concept of economic capital, pointing out the role of economic capital in risk management of property insurance.
The third chapter, "the important premise of fair value - economic capital evaluation", points out that only the fair value assessment of assets and liabilities of the financial insurance companies can make the economic capital play an important role in the risk management of the financial insurance companies. The assessment of the fair value of the liability company is discussed, and the net present value method is selected as the correct method for the fair value evaluation of the liability company. Finally, the fair value measurement is applied to the evaluation of economic capital to provide a new way of thinking for the risk management of the financial insurance company.
The fourth chapter, "risk management of financial insurance companies from the perspective of economic capital", mainly discusses the specific application of economic capital in risk management practice of financial insurance companies. First, it points out that asset liability management is the basic idea of risk management of financial risk companies, and then divides the source of profits into two major functional centers - the underwriting center and the investment. The capital center, and uses the transfer price concept in the management control system to link the two. Finally, the economic capital evaluation and performance management of the risks faced by the two centers are respectively carried out respectively.
In the fifth chapter, "case analysis", a specific case is used to illustrate the economic capital assessment of the financial insurance company after the fair value measurement, in order to verify the relationship between the economic capital and the fair value, as well as the role of the two in the risk management of the financial insurance companies. Finally, according to the results of the case analysis, the financial companies are measured in the fair value measurement model. Economic capital management under the formula put forward relevant suggestions.

【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】：F842.3;F275

【参考文献】