本文選題：經(jīng)濟資本　切入點：全面風(fēng)險管理　出處：《西南財經(jīng)大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：改革開放以來,我國壽險業(yè)不斷發(fā)展,以年均30%左右的速度快速增長,成為國民經(jīng)濟中發(fā)展最快的行業(yè)之一。壽險公司作為提供風(fēng)險保障來獲取利潤的特殊經(jīng)營機構(gòu),在承擔(dān)被保險人風(fēng)險的同時還要化解自身的風(fēng)險。與財險公司相比,壽險公司產(chǎn)品存續(xù)期更長、面臨風(fēng)險更加復(fù)雜,因此如何建立和健全壽險公司的風(fēng)險防范體系便成為壽險業(yè)一項重要而迫切的任務(wù)。 隨著全球經(jīng)濟一體化步伐的加快,近十幾年來金融危機頻繁爆發(fā),國際經(jīng)濟形勢發(fā)生了重大變革,由此風(fēng)險管理領(lǐng)域的發(fā)展出現(xiàn)了兩個較為明顯的趨勢,一是全面風(fēng)險管理思想的提出和不斷完善；二是以經(jīng)濟資本為核心的風(fēng)險控制體系的逐步形成。壽險公司中的經(jīng)濟資本水平代表了公司的風(fēng)險抵御能力,從而對公司資產(chǎn)的擴張速度和規(guī)模產(chǎn)生影響,最終決定著公司的可持續(xù)發(fā)展能力。 本文試圖運用保險學(xué)、統(tǒng)計學(xué)、管理學(xué)等學(xué)科理論,將全面風(fēng)險管理和經(jīng)濟資本兩個理念引入到壽險公司風(fēng)險評估和風(fēng)險管理的研究之中,并就經(jīng)濟資本在壽險公司全面風(fēng)險管理這一較小領(lǐng)域中的應(yīng)用進(jìn)行深入研究。 本文的基本思路與結(jié)構(gòu)安排如下： 引言。本章主要就選題背景、研究意義進(jìn)行說明,在總結(jié)前人理論研究成果的基礎(chǔ)上,提出了本文的研究思路及研究方法,最后闡述了本文的創(chuàng)新和不足之處,對全文起總括的作用。 第一章,壽險公司全面風(fēng)險管理概述。首先介紹了全面風(fēng)險管理的基本概念,在與傳統(tǒng)風(fēng)險管理對比分析其優(yōu)勢的基礎(chǔ)上,介紹了全面風(fēng)險管理整合框架。然后通過結(jié)合我國壽險公司自身經(jīng)營特點和市場環(huán)境,闡述了風(fēng)險管理在壽險公司中運用的特殊性。再通過我國壽險公司發(fā)展現(xiàn)狀及其實施全面風(fēng)險管理的狀況,分析出我國壽險公司迫切地需要實行全面風(fēng)險管理來應(yīng)對公司經(jīng)營所面臨的各種問題。最后對我國壽險公司實施全面風(fēng)險管理的重要性進(jìn)行闡述。 第二章,壽險公司經(jīng)濟資本的衡量、配置及其實證研究。首先對經(jīng)濟資本的定義進(jìn)行闡述,并與幾個易混淆的概念進(jìn)行比較,以深入理解經(jīng)濟資本的內(nèi)涵；其次,對如何計量壽險公司中各類風(fēng)險的經(jīng)濟資本進(jìn)行闡述,并從我國數(shù)家壽險公司中選取了市場占有率前五的公司,以它們的財務(wù)數(shù)據(jù)為例,分析了衡量經(jīng)濟資本的具體方法。 第三章,以經(jīng)濟資本為核心的壽險公司全面風(fēng)險管理及其框架構(gòu)建。首先,對以經(jīng)濟資本為核心的全面風(fēng)險管理發(fā)展進(jìn)行概述；其次,通過對以ING公司為代表的國際壽險公司運用經(jīng)濟資本的成效和我國壽險經(jīng)濟資本運用現(xiàn)狀的研究,闡明了我國壽險公司構(gòu)建以經(jīng)濟資本為核心的全面風(fēng)險管理的必要性；最后,通過借鑒國外經(jīng)驗和結(jié)合我國實際情況,初步構(gòu)建了以經(jīng)濟資本為核心的全面風(fēng)險管理框架。 第四章,經(jīng)濟資本在我國壽險公司全面風(fēng)險管理中的應(yīng)用問題和相關(guān)建議。首先,闡述了我國壽險公司在建立體系時應(yīng)注意明確目的、適應(yīng)實際情況和提高模型有效性等問題；其次對于我國壽險公司實施經(jīng)濟資本管理提出相關(guān)建議。 本文可能的創(chuàng)新之處：第一,由于傳統(tǒng)RAROC方法的核心指標(biāo)VaR不滿足風(fēng)險一致性的要求,本文選用改進(jìn)后的TailVaR替代VaR,以更好的衡量壽險公司所需的經(jīng)濟資本量。但由于TailVaR方法的計算較為繁瑣,實際運用時難度較大,所以本文的計算基于正態(tài)分布的假設(shè),在運用過程中有所簡化。第二,本文初步構(gòu)建了以經(jīng)濟資本為核心的全面風(fēng)險管理框架,將經(jīng)濟資本運用于風(fēng)險管理中,并使之與公司組織框架相結(jié)合,較傳統(tǒng)的風(fēng)險管理方法更為先進(jìn),對我國壽險公司今后的發(fā)展有一定的借鑒意義。
[Abstract]:Since the reform and opening up, the continuous development of China's life insurance industry, the rapid growth with an average annual rate of about 30%, becoming one of the fastest growing industries in the national economy. The life insurance company as a special operating agency to provide risk protection to profit, the insured bear the risk at the same time to resolve their own risk. Compared with the insurance company. The longer the duration of the product life insurance company, risk is more complex, so how to establish and improve the insurance company's risk prevention system has become the life insurance industry is an important and urgent task.
With the accelerated pace of global economic integration, in recent years the frequent outbreak of the financial crisis, major changes have taken place in the international economic situation, the development of the field of risk management has two obvious trends, one is put forward the theory of comprehensive risk management and continuous improvement; two is gradually formed a risk control system with economic capital as the core the life insurance company. In the economic capital level represents the company's ability to resist risks, which have an impact on the company's assets expansion speed and scale, ultimately determines the sustainable development ability of the company.
This paper tries to use the theory of insurance, statistics, management science and other disciplines, the comprehensive risk management and economic capital two concept to study the life insurance company risk assessment and risk management, and conducts an in-depth research on the application of economic capital in this small field of comprehensive risk management of life insurance companies.
The basic ideas and structural arrangements of this paper are as follows:
Foreword, this chapter mainly explains the background and significance of the research. Based on the summary of previous theoretical research results, this paper puts forward the research ideas and research methods. Finally, it expounds the innovation and shortcomings of this article, and it will play a comprehensive role in the full text.
The first chapter, an overview of the overall risk management of life insurance companies. It first introduces the basic concepts of comprehensive risk management, based on the traditional risk management and comparative analysis of the advantages, presents a comprehensive risk management framework. Then by combining China's life insurance company's own operating characteristics and market environment, expounds the particularity of risk management in insurance company in the use of. The development status of China's life insurance companies and the implementation of a comprehensive risk management status, analysis of China's life insurance companies urgently need a variety of problems and implementation of a comprehensive risk management to deal with the company facing. At the end of the life insurance company of our country implement the importance of comprehensive risk management in this paper.
The second chapter, the measure of economic capital life insurance companies, research and demonstration. The first is to define the configuration of economic capital is elaborated, compare the concept and easily confused with several, so as to deeply understand the connotation of the economic capital; secondly, the types of risk to life insurance companies in the measurement of economic capital is expounded, and the selection of market share the top five companies from the number of life insurance companies in our country, with their financial data as an example, analyzes the concrete ways to measure economic capital.
The third chapter, the construction of the economic capital as the core of the life insurance company and its overall risk management framework. Firstly, an overview of the comprehensive risk management as the core of the development of the economic capital; secondly, through the use of economic capital and economic capital effect situation of life insurance is used in our study to ING company as the representative of the international life insurance company, clarify the necessity of establishing a comprehensive risk management based on economic capital as the core of life insurance companies in China; finally, by referring to foreign experience and combining the actual situation of our country, constructs a comprehensive risk management framework of the economic capital as the core.
The fourth chapter, the economic capital in the application of comprehensive risk management of China's life insurance companies and related suggestions. Firstly, elaborated on China's life insurance companies should pay attention to a clear purpose in establishing the system, adapt to the actual situation and improve the effectiveness of the model and other issues; secondly for China's life insurance companies implementing economic capital management and puts forward relevant suggestions.
The possible innovation of this paper: first, the core index of VaR traditional RAROC method does not meet the risk consistency requirements, this paper used the improved TailVaR instead of VaR, the amount of economic capital to better measure the life insurance company needs. But because of the method of calculating TailVaR is more complicated, the application is difficult, so this the calculation is based on the assumption of normal distribution has been simplified in the application process. Second, this paper constructs a comprehensive risk management framework based on economic capital as the core, the economic capital is used in risk management, and organization framework combining risk management compared with the traditional method is more advanced, there are certain the significance of the life insurance company of our country future development.

【學(xué)位授予單位】：西南財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F272.3;F842.3

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