基于RV-GARCH-DCC模型的套期保值研究

发布时间：2019-05-07 00:10

【摘要】：近年来,我国保险行业发展日益成熟,保费收入规模快速增长,市场需求的大幅度增加也推动保险产品多样化与创新能力的提升。在保险市场日益扩张的情况下,监管机构和市场对保险机构抗风险能力也提出了更高的要求,偿付能力资本要求作为保险公司抵御风险的核心内容,已经成为了保监会的关注重点。 2014年是我国第二代偿付能力体系建设关键的一年,我国将在这一年进行新偿付能力体系的试运行。同时,欧盟偿付能力Ⅱ项目从2001年开始至今也进行了十多个年头,预计2016年将正式生效。欧盟保险行业的监管体系处于世界领先水平,偿付能力Ⅱ的推出对我国保险监管提供了很好的借鉴意义。本文首先进行寿险公司风险边际的计量研究。通过最佳估计法、分位数法、情景模拟法分别对模拟保单数据进行估计,结果表明：基于偿付能力Ⅱ的最佳估计法在未来将成为技术准备金估计的主要方法,其具有与国际财务报告准则一致的计量方式,并且对市场风险的变动比较敏感,包括资本成本率、市场利率等等,便于保险公司及时做出调整,抵御风险。但是也存在资本成本率难以准确估计的不足,这需要我国进一步完善金融市场信用评级体系的建立,以保证资本成本率具有客观性与准确性。其次,进行非寿险最低偿付资本实证研究,实证研究表明：我国目前非寿险最低偿付能力资本要求已经无法满足市场需求,计量标准偏低,本文结合我国2008年至2012年非寿险市场的数据,对我国现行监管框架下的参数进行重新估计。基于以上对偿付能力Ⅱ核心内容的探讨、寿险公司风险边际计量研究、非寿险公司最低偿付能力资本的实证研究以及我国保险业发展的当前现状,本文对我国偿付能力监管体系的建设提出几点有效建议：对保险机构风险进行全面评估、促进精算技术水平的提高、完善保险会计准则、加强对保险机构定性监管、推动保险公司信息披露以及关注大型保险集团偿付能力体系建设。
[Abstract]:In recent years, the development of insurance industry in our country is maturing day by day, the scale of premium income increases rapidly, and the great increase of market demand also promotes the diversification of insurance products and the promotion of innovation ability. In the case of increasing expansion of the insurance market, regulators and the market also put forward higher requirements for insurance institutions' ability to resist risks. Solvency capital requirements are the core content of insurance companies against risks. It has become the focus of the CIRC. 2014 is the key year for the construction of the second generation solvency system in China, in which China will conduct a trial operation of the new solvency system. At the same time, the EU solvency II project has been in operation for more than a decade since 2001, and is expected to enter into force in 2016. The supervision system of EU insurance industry is in the leading level in the world. The introduction of solvency II provides a good reference for China's insurance supervision. This article first carries on the life insurance company risk margin measurement research. The best estimation method, quantile method and scenario simulation method are used to estimate the simulated policy data respectively. The results show that the best estimation method based on solvency II will become the main method for estimating the technical reserve in the future. It has the same measurement method as the international financial reporting standards, and is sensitive to the changes of market risk, including capital cost ratio, market interest rate and so on. It is convenient for insurance companies to make timely adjustments and resist risks. However, the capital cost ratio is difficult to accurately estimate, which needs to further improve the establishment of the financial market credit rating system, in order to ensure the objectivity and accuracy of the capital cost ratio. Secondly, an empirical study on the minimum solvency capital of non-life insurance is carried out. The empirical study shows that the minimum solvency capital requirement of non-life insurance is no longer able to meet the market demand, and the standard of measurement is low. Based on the data of China's non-life insurance market from 2008 to 2012, this paper re-estimates the parameters under the current regulatory framework in China. Based on the above discussion on the core content of solvency II, the risk margin measurement research of life insurance companies, the empirical study of the minimum solvency capital of non-life insurance companies, and the current situation of insurance industry development in China, This paper puts forward some effective suggestions on the construction of the solvency supervision system in China: to evaluate the risks of insurance institutions in an all-round way, to promote the improvement of actuarial technical level, to perfect the insurance accounting standards, and to strengthen the qualitative supervision of insurance institutions. Promote information disclosure of insurance companies and pay attention to the construction of solvency system of large insurance groups.
【学位授予单位】：厦门大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F842;F224

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