经济资本配置下财产保险业务结构优化分析

发布时间：2019-02-13 10:39

【摘要】：自1980年恢复国内保险业务以来，经过30多年的发展，财产保险已经成为国民经济不可缺少的组成部分，为企业和个人提供全面的财产保障。但是由于理论发展水平和实务创新不足以及政策法规的倾斜，我国财产保险在不断发展壮大的同时也出现了业务结构方面的问题。保险公司是经营风险的特殊企业，除了关注经营过程中业务的收益水平，也高度重视业务风险的控制和管理。经济资本是近年来发展较快的一个风险管理工具，不仅在风险计量上具有独特的优势，也是金融业特别是保险业风险控制和价值创造的有效工具。本文以经济资本配置作为理论工具，对我国财产保险公司的业务结构优化进行讨论。首先对我国财产保险市场的宏观发展状况进行回顾和分析，针对业务结构存在的问题从经济资本的角度切入。经济资本配置理论主要是配置规则和配置方法以及应用的讨论，文章梳理了主要的配置方法并最终选择了最小偏差法进行经济资本的配置。基于经济资本配置理论探讨在业务结构优化上的应用是本文的核心，文章从风险和价值两个方面入手，以经济资本配置产生的风险分散效应和风险资本调整收益作为决策工具。最后，结合某大型财产保险公司2007年1月至2012年7月的经营数据进行实证分析，选取8条业务线的损失数据作为变量计量、配置经济资本，通过比较业务线与整个组合的风险分散指数、RAROC和基于RAROC构建的收益-经济资本模型进行优化分析。实证结果表明：从风险分散角度看，降低机动车辆保险的规模可以达到降低组合整体风险的效果；从收益角度看，降低企业财产保险和保证保险的规模能够提高组合单位经济资本的收益率水平；基于组合RAROC构建的收益-经济资本模型，，可以确定使组合风险调整资产收益最大的有效前沿从而找到实现全局最优的目标解向量，并在有业务规模限制和无限制两种情况下进行了讨论。
[Abstract]:Since the resumption of domestic insurance business in 1980, after more than 30 years of development, property insurance has become an indispensable part of the national economy, providing comprehensive property security for enterprises and individuals. However, due to the lack of theoretical development level and practical innovation, as well as the tilt of policies and regulations, China's property insurance has also appeared problems in business structure while it has been developing and expanding. The insurance company is a special enterprise which manages the risk. It not only pays attention to the profit level of the business, but also attaches great importance to the control and management of the business risk. Economic capital is a risk management tool developed rapidly in recent years. It not only has a unique advantage in risk measurement, but also is an effective tool for risk control and value creation in the financial industry, especially in the insurance industry. This paper discusses the optimization of the business structure of property insurance companies in China with the economic capital allocation as a theoretical tool. Firstly, the macro development of property insurance market in China is reviewed and analyzed, and the problems existing in the business structure are analyzed from the angle of economic capital. The theory of economic capital allocation is mainly a discussion of allocation rules, methods and applications. This paper combs the main allocation methods and finally selects the least deviation method to allocate economic capital. The application of the economic capital allocation theory in the optimization of business structure is the core of this paper. This paper starts with the risk and value, and takes the risk dispersion effect and the risk capital adjustment income of the economic capital allocation as the decision-making tools. Finally, based on the management data of a large property insurance company from January 2007 to July 2012, the loss data of 8 business lines are selected as variables to allocate economic capital. By comparing the risk dispersion index between the business line and the whole portfolio, RAROC and the revenue-economic capital model based on RAROC are optimized and analyzed. The empirical results show that: from the perspective of risk dispersion, reducing the scale of motor vehicle insurance can achieve the effect of reducing the overall risk of portfolio; From the income point of view, reducing the scale of enterprise property insurance and guarantee insurance can improve the rate of return of economic capital of portfolio unit. Based on the revenue-economic capital model based on combined RAROC, the efficient frontier of portfolio risk adjusting asset income can be determined to find the target solution vector to achieve the global optimum. In the case of business size limit and no restriction, the paper discusses.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F842.65

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