产险公司资本、偿付能力与风险调整的异质性研究
发布时间：2019-02-18 13:41
【摘要】：利用2009-2014年45家财产险公司的面板数据,本文构建了针对我国产险业资本、偿付能力和风险调整的门限回归联立方程,研究了产险公司资本和风险调整的异质性特征。门限效应的检验结果表明,资本调整的行动临界值分别是167.42%和368.51%,承保风险调整的行动临界值分别是362.94%和189.99%。门限回归模型的估计结果表明,虽然在监管高压区监管压力对资本和承保风险调整起到了一定的约束作用,但是整体而言,资本和承保风险、投资风险的良性作用机制尚未形成;监管中压区公司资本和风险调整的作用机制要优于监管高压区和监管低压区,各财产保险公司需要实现资本和风险的合理匹配和良性互动,使自身处于"监管适度"的健康环境中。
[Abstract]:Based on the panel data of 45 property insurance companies from 2009-2014, this paper constructs the threshold regression simultaneous equation for the adjustment of capital, solvency and risk in China's property insurance industry, and studies the heterogeneity characteristics of capital and risk adjustment of property insurance companies. The test results of threshold effect show that the action critical value of capital adjustment is 167.42% and 368.51% respectively, and the action critical value of underwriting risk adjustment is 362.94% and 189.99% respectively. The results of the threshold regression model show that although regulatory pressure in the regulatory high pressure area has a certain constraint on the adjustment of capital and underwriting risk, the overall capital and underwriting risk, The benign mechanism of investment risk has not been formed; The mechanism of regulating the capital and risk adjustment of the company in the middle pressure zone is better than that in the high pressure area and the low pressure area. The property insurance companies need to realize the reasonable matching and benign interaction between the capital and the risk. Put oneself in a healthy environment of "moderate supervision".
【作者单位】： 中央财经大学保险学院;
【基金】：国家自然科学基金青年项目(71403305) 教育部人文社科研究项目(14YJC790118)
【分类号】：F840.4;F842.3
本文编号：2425895
[Abstract]:Based on the panel data of 45 property insurance companies from 2009-2014, this paper constructs the threshold regression simultaneous equation for the adjustment of capital, solvency and risk in China's property insurance industry, and studies the heterogeneity characteristics of capital and risk adjustment of property insurance companies. The test results of threshold effect show that the action critical value of capital adjustment is 167.42% and 368.51% respectively, and the action critical value of underwriting risk adjustment is 362.94% and 189.99% respectively. The results of the threshold regression model show that although regulatory pressure in the regulatory high pressure area has a certain constraint on the adjustment of capital and underwriting risk, the overall capital and underwriting risk, The benign mechanism of investment risk has not been formed; The mechanism of regulating the capital and risk adjustment of the company in the middle pressure zone is better than that in the high pressure area and the low pressure area. The property insurance companies need to realize the reasonable matching and benign interaction between the capital and the risk. Put oneself in a healthy environment of "moderate supervision".
【作者单位】： 中央财经大学保险学院;
【基金】：国家自然科学基金青年项目(71403305) 教育部人文社科研究项目(14YJC790118)
【分类号】：F840.4;F842.3
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