欧盟偿付能力资本要求SCR研究

发布时间：2018-05-24 07:00

本文选题：偿付能力资本要求 + 最小二乘蒙特卡洛模拟　；参考：《华东师范大学》2014年硕士论文

【摘要】：目前各国保险监管机构都在对自身偿付能力监管体系进行改革,希望建立一套全面的、以风险为导向的监管体系,以保证保险业的长期稳定和可持续性发展。欧盟Solvency Ⅱ已经经过了数年的建设,即将生效实施,而中国保监会也于2012年正式启动第二代偿付能力监管体系的建设。欧盟Solvency Ⅱ作为改革的先行者,其主要内容具有很强的参考意义。Solvency Ⅱ的主要核心内容可以概括为“三支柱,双资本”。正因为新的偿付能力资本要求(Solvency Capital Requirements,简称SCR)为第一支柱的重要内容,所以本文将偿付能力资本要求作为研究对象,进行了定性分析与定量分析。在定性分析方面,本文首先比较了偿付能力资本要求(SCR)和最低资本要求(MCR),然后比较了偿付能力资本要求的标准法和内部模型法。指出偿付能力资本要求具有监管资本和经济资本的双重特征,因此偿付能力资本要求不仅能起到监管作用,还能够促使保险企业在量化风险的基础上建立起一整套风险管理及价值创造体系。在定量分析方面,本文首先指出标准法所存在的弊端。然后分析比较了三种可作为内部模型的随机性方法：复制资产组合法、曲线拟合法、最小二乘蒙特卡洛模拟法(LSMC)。指出最小二乘蒙特卡洛模拟方法优于另两种模拟方法的结论。然后,在市场一致性的原则下,针对一家寿险企业(已知寿险企业的期初资产负债表、资产价值变动模型以及股东分红机制设置),在仅考虑市场风险因素的情况下(在考虑市场风险因素时,引入随机利率Vasice模型),采用最小二乘蒙特卡洛模拟方法,建立偿付能力资本要求的评估模型。最后,采用LSMC方法对寿险企业进行了案例分析。在案例分析中,分红机制的模型参数来自于中国保监会的相关政策规定；随机利率模型的参数估计则采用中国利率市场的实证SHIBOR数据。得到相应的参数后,采用Matlab软件自行编程,计算出偿付能力资本要求以及寿险企业目前的偿付能力充足性水平；再根据第二支柱中的OSRA要求,对保险企业进行了预测性的多期SCR评估。并且针对市场风险因素进行了相关的敏感性分析。案例分析的结果显示：LSMC方法可以有效地评估单期及多期偿付能力资本要求,具有实际可操作性。资产波动率、利率波动率以及利率水平的变化都会对偿付能力资本要求和偿付能力充足性水平造成一定的影响。资产波动率和利率波动率的增大表示寿险企业所面临的风险增大,必须持有更多的偿付能力资本；而随着利率水平的提高,寿险企业所面临的风险并没有增大,偿付能力资本要求在某一水平上波动,同时由于利率的贴现作用使得偿付能力充足率提高。
[Abstract]:At present, all the insurance regulators are reforming their own solvency regulatory system, hoping to establish a comprehensive, risk oriented regulatory system to ensure the long-term stability and sustainability of the insurance industry. The EU Solvency II has been built for several years and will be put into effect, and the China Insurance Regulatory Commission is also in 2012. The construction of the second generation solvency regulatory system is officially launched. EU Solvency II is the pioneer of the reform. Its main content has a strong reference significance, the main core content of.Solvency II can be summed up as "the three pillar, double capital". It is because of the new solvency capital requirement (Solvency Capital Requirements, abbreviated as SCR). The main content of the first pillar is the solvency capital requirement as the research object. Qualitative analysis and quantitative analysis are carried out.
In the qualitative analysis, this paper first compares the solvency capital requirement (SCR) and the minimum capital requirement (MCR), and then compares the standard law and internal model method of the solvency capital requirements. It points out that the solvency capital requires dual characteristics of regulatory capital and economic capital, so the solvency capital requirements can not only be regulated. It also enables insurance companies to establish a set of risk management and value creation systems based on quantitative risk.
In the aspect of quantitative analysis, this paper first points out the disadvantages of the standard method, and then analyzes and compares three kinds of random methods which can be used as internal models: the copy asset combination method, the curve fitting method, the least square Monte Carlo simulation method (LSMC). The conclusion is pointed out that the least square Monte Carlo simulation method is superior to the other two simulation methods. Then, under the principle of market consistency, in view of a life insurance enterprise (known life insurance company's initial balance sheet, asset value change model and shareholder bonus mechanism), the least square Monte Carlo model is introduced with the least square Monte Carlo model in the case of market risk factors (when the market risk factors are considered, the random interest rate Vasice model is introduced). In the end, the LSMC method is used to analyze the life insurance enterprises. In the case analysis, the model parameters of the dividend mechanism are derived from the relevant policy provisions of the China Insurance Regulatory Commission, and the parameter estimation of the random interest rate model is used to obtain the empirical SHIBOR data of the Chinese interest rate market. After the corresponding parameters, the Matlab software is used to program to calculate the solvency capital requirements and the current solvency adequacy level of the life insurance companies. Then, according to the OSRA requirements in the second pillar, the predictive multi period SCR assessment is carried out for the insurance enterprises. And the related sensitivity analysis is carried out against the market risk factors. The results of the case analysis show that the LSMC method can effectively evaluate the single and multi term solvency capital requirements, and it has practical maneuverability. The volatility of assets, the volatility of interest rate and the level of interest rate will have a certain effect on the solvency capital requirements and the solvency adequacy level. The increase indicates that the risk of life insurance companies is increasing, and more solvency capital must be held. With the increase of interest rate, the risk of life insurance companies is not increasing, the solvency capital is required to fluctuate at a certain level, and the solvency adequacy ratio is raised because of the discount effect of interest rate.
【学位授予单位】：华东师范大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F845

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