产险公司承保盈利风险的计量与比较分析
发布时间：2019-04-17 13:03
【摘要】：新中国成立以来,经历了坎坷发展历程的中国保险业取得了相当引人注目的成就。产险和寿险行业发展迅速,保费规模迅速增长,保险主体不断增加,市场竞争也更加激烈,政策监管体系和制度日益完善。不同于寿险的业务经营模式,产险业务期限较短,出险时间和赔付金额的不确定,为产险公司承保盈利带来了挑战。目前,我国产险公司保费规模及增速与承保业务盈利的波动,呈现出极不匹配的现象。追求规模保费,然后以"投资倒贴承保"的经营模式在行业内被广泛采用。然而在资产管理水平各异的条件下,不同规模的产险公司整体盈利能力也表现出极不均衡,且投资收益一旦恶化,会导致产险公司偿付能力下降,被保险人的权益无法受到保障,则保险的"社会稳定器"功能也将受到挑战。因此,有必要对产险公司的承保盈利风险进行研究。本文首先将产险公司的承保经营活动分为车险和非车险业务,构建经营活动的盈利模型,并采用风险调整绩效测量法(RAPM)中的风险资本和风险调整资本收益(Risk Adjusted Return on Capital)指标,对产险公司的承保盈利风险和盈利能力进行刻画。在分别对三家大型中资产险公司、五家中小型中资产险公司以及三家外资产险公司进行承保盈利风险度量后,进行横向对比分析。在对车险和非车险赔付情况、车险以及非车业务占比的模型描述中,使用Gauss Copula和学生tCopula对两种业务的赔付率及占比进行相依性假设和分析。其次,本文根据中国人民财产保险股份有限公司的相关数据,结合本文承保利润模型,采用对应的经营策略,变动保费增速、车险业务和非车险业务占比、车险业务赔付比例,得到这些策略下该产险公司对应的经营风险和模拟结果。实证结果发现:(1)车险赔付率、非车险赔付率、车险业务比例、非车险业务比例之间存在着相关关系时,承保收益更有可能出现正值;在车险赔付率、非车险赔付率、车险业务比例、非车险业务比例之间存在着尾部非线性相关关系时,该承保收益会增加,同时风险会减小;(2)中资产险中,规模越大,预期承保利润越高;风险资本会随着规模的增加而增加,即大型产险公司用于未来非预期的损失将要储备的资产要更多于中小型产险企业;外资产险的规模普遍小于中资产险公司,同时承保盈利能力弱于中资产险公司,更容易面临着亏损。在对模拟结果进行对比分析的基础上,本文提出建议:(1)考虑车险和非车险等业务的相关性,对产险公司的承保风险管理能够做出更精细的决策;(2)在保费规模不宜减少的前提下,车险业务的改善应该从提高业务品质、提升续保率、降低中间业务环节费用率等方面入手,进而使综合成本率回归到合理的区间,实现车险业务的扭亏;(3)外资产险公司在规模有限的情况下,可以一方面靠分入业务增加保费,一方面可以减少车险业务的承保,或者增加车险优质业务的承保,进而降低车险业务带来的亏损。
[Abstract]:China's insurance industry has made remarkable achievements since the founding of the new China. The development of the insurance and life insurance industry is rapid, the scale of the premium is growing rapidly, the main body of the insurance is increasing, the market competition is also more intense, the policy supervision system and the system are becoming more and more perfect. Different from the business operation mode of life insurance, the time limit of the insurance business is short, the insurance time and the amount of the compensation are not determined, which brings the challenge to the insurance company's underwriting profit. At present, our country's insurance company's premium scale and the growth rate and the underwriting business profit fluctuation, show a very unmatched phenomenon. The pursuit of a scale premium is then widely used in the industry in the form of a "Investment upside-down coverage" 's business model. However, under the condition that the management level of the assets is different, the overall profitability of the different-scale production insurance companies also shows a very uneven distribution, and once the investment income is deteriorated, the solvency of the insurance company can be reduced, and the rights and interests of the insured cannot be guaranteed, The "social stabilizer" of the insurance will also be challenged. Therefore, it is necessary to study the underwriting profit risk of the insurance company. In this paper, the insurance business of the insurance company is divided into the vehicle insurance and the non-vehicle insurance business, the profit model of the operation activity is constructed, and the risk capital and risk adjustment capital income (Risk Adjustment Return on Capital) index in the risk adjustment performance measurement method (RAPM) is adopted. The underwriting profit risk and profitability of the insurance company are described. After the risk measurement of underwriting profit of three large-scale middle-asset insurance companies, five small-and medium-sized medium-and medium-sized medium-and medium-sized medium-and medium-sized medium-and medium-sized medium-and small-medium-sized medium-and small-medium-sized medium-and small-medium- In the model description of the ratio of vehicle and non-vehicle insurance, vehicle insurance and non-vehicle-to-vehicle service, the two types of business are assumed and analyzed by using the Gauss Copula and the student tCopula. Secondly, according to the relevant data of the Chinese People's Property Insurance Co., Ltd., this paper uses the corresponding management strategy, the change premium growth rate, the vehicle insurance business and the non-vehicle insurance business proportion, and the vehicle insurance business compensation proportion in combination with the relevant data of the Chinese People's Property Insurance Co., Ltd. The corresponding operational risk and simulation results of the insurance company under these strategies are obtained. The empirical results show that: (1) the coverage proceeds more likely to be positive when there is a correlation between the vehicle-risk-loss rate, the non-vehicle-risk-loss rate, the ratio of the vehicle-insurance business and the proportion of the non-vehicle-insurance business, and the ratio of the vehicle-risk-loss rate, the non-vehicle-risk-paying rate and the vehicle-risk service ratio, when there is a trailing non-linear correlation between the non-vehicle-risk business ratios, the underwriting yield will increase while the risk is reduced; (2) the larger the amount of the asset in the middle asset, the higher the expected coverage profit; and the risk capital will increase with the increase in size, That is, the large-scale production insurance company is used for future non-expected losses to reserve more assets than small and medium-sized business-producing enterprises; the scale of foreign-funded insurance is generally smaller than that of medium-and medium-asset-risk companies, while the underwriting profit ability is weaker than medium-asset-risk companies, and it is more likely to face losses. Based on the comparison and analysis of the simulation results, this paper puts forward the suggestion that: (1) considering the correlation of the business such as the vehicle insurance and the non-vehicle insurance, the insurance risk management of the insurance company can make more elaborate decision; (2) on the premise that the premium scale is not to be reduced, The improvement of the car insurance business should start from the aspects of improving the service quality, improving the renewal rate, reducing the cost rate of the intermediate business link, and further, the comprehensive cost rate can be returned to a reasonable interval to realize the torque loss of the vehicle insurance business; and (3) the foreign capital production insurance company is limited in size, On the one hand, the insurance premium can be increased on the one hand, the coverage of the car insurance business can be reduced on the one hand, or the coverage of the car insurance premium service can be increased, and the loss caused by the car insurance business can be reduced.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F842.3;F840.4
[Abstract]:China's insurance industry has made remarkable achievements since the founding of the new China. The development of the insurance and life insurance industry is rapid, the scale of the premium is growing rapidly, the main body of the insurance is increasing, the market competition is also more intense, the policy supervision system and the system are becoming more and more perfect. Different from the business operation mode of life insurance, the time limit of the insurance business is short, the insurance time and the amount of the compensation are not determined, which brings the challenge to the insurance company's underwriting profit. At present, our country's insurance company's premium scale and the growth rate and the underwriting business profit fluctuation, show a very unmatched phenomenon. The pursuit of a scale premium is then widely used in the industry in the form of a "Investment upside-down coverage" 's business model. However, under the condition that the management level of the assets is different, the overall profitability of the different-scale production insurance companies also shows a very uneven distribution, and once the investment income is deteriorated, the solvency of the insurance company can be reduced, and the rights and interests of the insured cannot be guaranteed, The "social stabilizer" of the insurance will also be challenged. Therefore, it is necessary to study the underwriting profit risk of the insurance company. In this paper, the insurance business of the insurance company is divided into the vehicle insurance and the non-vehicle insurance business, the profit model of the operation activity is constructed, and the risk capital and risk adjustment capital income (Risk Adjustment Return on Capital) index in the risk adjustment performance measurement method (RAPM) is adopted. The underwriting profit risk and profitability of the insurance company are described. After the risk measurement of underwriting profit of three large-scale middle-asset insurance companies, five small-and medium-sized medium-and medium-sized medium-and medium-sized medium-and medium-sized medium-and medium-sized medium-and small-medium-sized medium-and small-medium-sized medium-and small-medium- In the model description of the ratio of vehicle and non-vehicle insurance, vehicle insurance and non-vehicle-to-vehicle service, the two types of business are assumed and analyzed by using the Gauss Copula and the student tCopula. Secondly, according to the relevant data of the Chinese People's Property Insurance Co., Ltd., this paper uses the corresponding management strategy, the change premium growth rate, the vehicle insurance business and the non-vehicle insurance business proportion, and the vehicle insurance business compensation proportion in combination with the relevant data of the Chinese People's Property Insurance Co., Ltd. The corresponding operational risk and simulation results of the insurance company under these strategies are obtained. The empirical results show that: (1) the coverage proceeds more likely to be positive when there is a correlation between the vehicle-risk-loss rate, the non-vehicle-risk-loss rate, the ratio of the vehicle-insurance business and the proportion of the non-vehicle-insurance business, and the ratio of the vehicle-risk-loss rate, the non-vehicle-risk-paying rate and the vehicle-risk service ratio, when there is a trailing non-linear correlation between the non-vehicle-risk business ratios, the underwriting yield will increase while the risk is reduced; (2) the larger the amount of the asset in the middle asset, the higher the expected coverage profit; and the risk capital will increase with the increase in size, That is, the large-scale production insurance company is used for future non-expected losses to reserve more assets than small and medium-sized business-producing enterprises; the scale of foreign-funded insurance is generally smaller than that of medium-and medium-asset-risk companies, while the underwriting profit ability is weaker than medium-asset-risk companies, and it is more likely to face losses. Based on the comparison and analysis of the simulation results, this paper puts forward the suggestion that: (1) considering the correlation of the business such as the vehicle insurance and the non-vehicle insurance, the insurance risk management of the insurance company can make more elaborate decision; (2) on the premise that the premium scale is not to be reduced, The improvement of the car insurance business should start from the aspects of improving the service quality, improving the renewal rate, reducing the cost rate of the intermediate business link, and further, the comprehensive cost rate can be returned to a reasonable interval to realize the torque loss of the vehicle insurance business; and (3) the foreign capital production insurance company is limited in size, On the one hand, the insurance premium can be increased on the one hand, the coverage of the car insurance business can be reduced on the one hand, or the coverage of the car insurance premium service can be increased, and the loss caused by the car insurance business can be reduced.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F842.3;F840.4
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