我国财产保险企业偿付能力资本要求研究

发布时间：2018-05-07 12:02

本文选题：偿付能力资本 + 财险公司　；参考：《西南财经大学》2014年硕士论文

【摘要】：国际偿付能力监管制度改革和我国《第二代偿付能力监管制度体系整体框架》(以下简称“框架”)都明确提出偿付能力资本要求应该全面反应风险,在计算保险公司面临的各个风险模块的资本要求的基础上合理设置资本额度。众所周知,偿付能力最低资本要求作为监管体系核心内容之一,对保险公司的风险防范能力、经营行为和资本效率产生直接的影响。在此背景下,对构成财险业主要风险的承保风险进行计量,并以此为起点探讨我国财险业偿付能力资本标准,结合我国非寿险业发展现状,分析作为监管第一支柱的量化要求面临的现实约束,并提出建议。本文共有六章,各部分主要内容和结论如下：第一章,导论。介绍了选题背景、研究意义,回顾国内外已有研究并进行总结评述,就研究思路、方法及可能的创新之处和不足作了交代。第二章,偿付能力资本要求的数理基础。这一部分内容对偿付能力资本计量理论进行介绍,其中包括破产理论,用于风险汇总的平方根法则和copula函数法。对平方根法则和copula方法的介绍可以使我们对第四章承保风险计量既有合适的方法作为选择,同时又对结果有一定的预判,便于实证分析和规范分析的相互印证。第三章,偿付能力监管实践。介绍了欧盟和美国偿付能力监管制度的主要内容和改革计划,对我国现行偿付能力监管制度要点进行了回顾,详细介绍了第二代监管制度建设的原则、构成要素和技术规定。制度原则和监管理念的介绍是必须的,风险的量化只是制度建设中的一个环节,结合行业实际、寻求风险防范和资本价值的平衡才是制度最终的目的,理念和原则在于保证资本规定沿着合理可行的方向行进。第四章,我国财产保险公司承保风险实证分析。本章在赔付风险分析和费用分析的基础上得到承保风险模块的偿付能力资本要求。首先分析了综合赔付率作为财险业承保风险计算指标的合理性,然后对我国非寿险业务赔付率展开了实证分析,确定边际分布函数和风险聚合模型。然后对平方根法则和Icopula函数的拟合效果进行比较,认为copula函数能够较好拟合并捕捉我国财险业务赔付率的尾部相关性,但是大于98%的VAR1与实际数据十分接近,而低于98%的VAR会严重高估真实风险。copula函数对综合赔付率的模拟结果将成为以后章节中分析资本要求的依据之一。在通过模型确定赔付率后,结合综合费用率对我国代表性企业承保风险模块的偿付能力资本要求进行了分析,如果采用一年期风险窗口和99%的VAR作为计算标准,最低资本将达到保费收入的30%,同《保险法》对财险企业资本金和公积金之和不低于保费收入25%的规定差别不大。最后一节是对我国财险企业偿付能力资本承受能力的分析,在对保费规模排名前六位的财险企业的经营业绩、盈利能力对资本要求的承压能力进行分析后,认为偿付能力资本要求设置在20%左右比较适合我国财险企业发展现状。第五章,结论和建议。在实证环节得到承保风险模块的资本要求后,总结了本文的主要观点,对我国偿付能力监管制度建设提出建议。提出了实施差别监管的必要性,认为偿付能力资本设置为保费收入的30%将超出我国财险企业的承受能力,现行的资本要求是符合我国财险企业发展现状的,监管制度应该强化定性监管和外部约束以寻求风险防范和企业价值的平衡。在分析《保险法》和《保险公司偿付能力管理规定》对资本的最低要求时发现前者约是后者的1.5倍,建议应该理清监管资本要求与其他法律法规关于资本规定的关系,做到基于不同基础制定的标准具有一致性和可比性。本文可能的创新点有以下几个方面： (1)通过采用平方根法则和copula函数法分别对各险种赔付率进行聚合,比较两种方法用于我国财险业务风险度量的适用性及用于监管目的适用性。 (2)区分了客观赔付风险和可控费用风险,通过单独分析赔付率和费用率然后再结合的思路来反应承保风险,克服了直接采用综合成本率不能区分两类不同性质风险的局限性。 (3)在得到承保风险资本要求的基础上,通过行业盈利能力和外部融资环境分析了财险公司的资本承受能力,最终得到偿付能力资本的参考基准。 (4)在本文的建议部分,探讨了《保险法》和《保险公司偿付能力管理规定》对资本要求的最低标准的一致性问题,结合公司财务指标,给出两个标准存在的差异。
[Abstract]:The reform of the international solvency regulatory system and the overall framework of the second generation solvency regulatory system (hereinafter referred to as the "framework") clearly suggest that the solvency capital requirements should be fully responsive to the risk, and the capital amount should be set up on the basis of the capital requirements of the various risk modules facing the insurance companies. It is known that the minimum capital requirements of solvency, as one of the core contents of the regulatory system, have a direct impact on the risk prevention, operation and capital efficiency of insurance companies.
In this context, we measure the underwriting risks that constitute the main risks of the financial risk industry, and take this as the starting point to discuss the capital standards for the solvency of our country's financial insurance industry, and analyze the realistic constraints faced by the quantitative requirements of the first pillar of supervision and the current situation of the non life insurance industry in China, and give some suggestions.
There are six chapters in this paper. The main contents and conclusions of each part are as follows:
The first chapter, introduction, introduced the background of the topic, the significance of the research, reviewed the existing research at home and abroad and summarized the review, and explained the research ideas, methods and possible innovations and shortcomings.
The second chapter is the mathematical basis of the solvency capital requirements. This part introduces the solvency capital measurement theory, including the bankruptcy theory, the square root rule and the copula function method for the risk summary. The introduction of the square root rule and the copula method can enable us to have the right side for the fourth chapter underwriting risk measurement. As a choice, the law has certain preconditions for the results, which is convenient for mutual confirmation between empirical analysis and normative analysis.
The third chapter, the practice of solvency supervision, introduces the main contents and reform plans of the solvency regulation system in the EU and the United States, reviews the main points of the current solvency regulation system in China, and introduces the principles, elements and technical regulations of the second generation of supervision system in detail. The introduction of the system principles and supervision ideas is necessary. It is necessary that the quantification of risk is only a link in the construction of the system. It is the ultimate goal of the system to seek the balance of risk prevention and capital value in combination with the practice of the industry. The idea and principle are to ensure that the capital regulations are moving in a reasonable and feasible direction.
The fourth chapter is an empirical analysis of the insurance risk of the property insurance company in China. This chapter obtains the solvency capital requirements of the underwriting risk module on the basis of the compensation risk analysis and the cost analysis. First, it analyzes the rationality of the comprehensive compensation rate as the calculation index of the insurance risk of the financial insurance industry, but then the compensation rate of the non life insurance business in China is carried out. The marginal distribution function and the risk aggregation model are determined, and then the fitting effect of the square root rule and the Icopula function is compared. It is considered that the copula function can better combine the tail correlation to capture the loss rate of our country's financial insurance business, but the VAR1 greater than 98% is very close to the actual data, and the VAR below 98% will be seriously overestimated. The simulation results of the real risk.Copula function on the comprehensive compensation rate will become one of the basis for analyzing capital requirements in the later chapters.
After determining the reimbursement rate by the model, this paper analyzes the solvency capital requirements of the underwriting risk module of our representative enterprise combined with the comprehensive cost rate. If the one-year risk window and 99% VAR are used as the calculation standard, the minimum capital will reach 30% of the premium income, and the "insurance law >" to the capital and accumulation fund of the financial risk enterprise. There is little difference between the provisions of the premium income of 25%, which is not below the premium income.
The last section is an analysis of the solvency capital affordability of China's financial insurance companies. After analyzing the operating performance of the top six insurance companies and the ability of profitability to the capital requirements, it is considered that the solvency capital requirement is set at about 20% ratio, which is more suitable for the current situation of the development of China's financial risk enterprises.
The fifth chapter, conclusions and suggestions. After obtaining the capital requirements of the underwriting risk module in the empirical link, this paper summarizes the main views of this article, and puts forward some suggestions on the construction of the solvency regulation system in China. The necessity of implementing differential supervision is put forward, and that the solvency capital is set to 30% of the premium income will exceed the capacity of the financial risk enterprises of our country. The current capital requirements are in line with the current situation of the development of China's financial risk enterprises. The regulatory system should strengthen qualitative supervision and external constraints to seek a balance between risk prevention and enterprise value. In the analysis of the insurance law and the minimum requirements for the solvency management of insurance companies, the former is about 1.5 times that of the latter. Clarify the relationship between regulatory capital requirements and other laws and regulations regarding capital provisions, so that the standards based on different bases are consistent and comparable.
The possible innovations in this paper are as follows:
(1) by using the square root rule and the copula function method, the compensation rate of each kind of insurance is aggregated, and the applicability of the two methods to the risk measurement of China's financial insurance business is compared and the applicability of the two methods is used for the purpose of supervision.
(2) it distinguishes between the objective and controllable cost risks, and reacts the risk of underwriting by analyzing the compensation rate and the cost rate and then combining the cost rate separately, and overcomes the limitation that the two types of different risks can not be distinguished by the direct use of the comprehensive cost rate.
(3) on the basis of the requirement of underwriting risk capital, the capital bearing capacity of the company is analyzed through the industry profitability and external financing environment, and finally the reference of the solvency capital is obtained.
(4) in the suggestion part of this article, we discuss the consistency of the insurance law and the insurance company's solvency management regulations on the minimum standard of capital requirements, and give the differences between the two standards in combination with the financial indicators of the company.

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F842.3

【参考文献】