保险公司顺周期性及偿付能力逆周期监管研究

发布时间：2019-06-20 11:19

【摘要】：因为金融危机所暴露的问题,全球监管部门对于提倡逆周期缓释已经达成了共识,并开始逐步探讨设置相关的宏观审慎监管框架。新巴塞尔协议Ⅲ1针对银行业的信贷顺周期性,设计了资本监管的逆周期工具以防范系统性风险,提供了监管改革的重要范本。保险行业作为金融体系的重要组成部分,其经营周期也具备和经济周期一致的正向波动趋势,纳入宏观审慎监管框架有其必要性和紧迫性。本文选取了2002—2012年中国18家保险企业的年度经营数据,通过构建面板数据模型来进行实证分析,证明了保险公司的承保业务和投资业务存在显著的顺周期性。从实证结论出发,依据博弈论本文建立了偿付能力监管的委托-代理模型,阐释了监管人在信息弱势下如何依据市场波动情况相应的选择偿付能力以及监管力度的有效机制。针对目前国际占主导地位的欧盟偿付能力Ⅱ监管模式,本文运用推理分析方法,深入剖析了其资本要求、准备金计量、风险模型运用等各方面的风险敏感性,推导此框架下的顺周期效应究竟有怎样的传导机制链条。最后,结合宏观审慎政策的目标,在充分借鉴巴塞尔Ⅲ新资本协议的基础上,就保险业如何恰当运用逆周期缓释手段提出了改革建议并指出了实践上需要进一步探索的问题。本文遵循了宏观和微观相结合的研究思路,将微观个体保险公司的经营指标和宏观经济变量的波动结合起来考察相关性；从具体的计量方法人手探究情景测试下偿付能力监管指标与经济波动的正向反馈关系；体现了研究的综合性。但囿于数据取得的缺陷和研究内容的不足,本文的结论尚待进一步探讨补充。
[Abstract]:Because of the problems exposed by the financial crisis, global regulators have reached a consensus on advocating countercyclical release and have begun to gradually explore the establishment of a relevant macro-prudential regulatory framework. In view of the pro-cyclical credit cycle of the banking industry, New Basle III 1 designs the countercyclical tool of capital supervision to guard against systemic risks, and provides an important model for regulatory reform. As an important part of the financial system, the insurance industry also has a positive fluctuation trend consistent with the economic cycle, so it is necessary and urgent to bring it into the macro-prudential regulatory framework. In this paper, the annual operating data of 18 insurance enterprises in China from 2002 to 2012 are selected, and the panel data model is constructed to carry out empirical analysis, which proves that the underwriting business and investment business of insurance companies have significant pro-periodicity. Starting from the empirical conclusion, this paper establishes the principal-agent model of solvency supervision according to game theory, and explains how the supervisor chooses solvency and the effective mechanism of supervision strength according to the market fluctuation under the information weakness. In view of the current EU solvency II regulatory model, which is dominated by the international community, this paper deeply analyzes the risk sensitivity of capital requirements, reserve measurement, risk model application and so on, and deduces what kind of transmission mechanism chain there is in the pro-cyclical effect under this framework. Finally, combined with the goal of macroprudential policy, on the basis of fully drawing lessons from the new capital agreement of Basle III, this paper puts forward some reform suggestions on how to properly use countercyclical slow release means in the insurance industry, and points out the problems that need to be further explored in practice. This paper follows the research idea of combining macro and micro, combines the management index of micro individual insurance company with the fluctuation of macroeconomic variables to investigate the correlation, explores the positive feedback relationship between solvency supervision index and economic fluctuation under situational test from the specific measurement method, and embodies the comprehensiveness of the research. However, due to the defects of data acquisition and the lack of research content, the conclusions of this paper need to be further discussed and supplemented.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F842.3

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