本文選題：償付能力資本 + 財(cái)險(xiǎn)公司�。� 參考：《西南財(cái)經(jīng)大學(xué)》2014年碩士論文

【摘要】：國(guó)際償付能力監(jiān)管制度改革和我國(guó)《第二代償付能力監(jiān)管制度體系整體框架》(以下簡(jiǎn)稱(chēng)“框架”)都明確提出償付能力資本要求應(yīng)該全面反應(yīng)風(fēng)險(xiǎn),在計(jì)算保險(xiǎn)公司面臨的各個(gè)風(fēng)險(xiǎn)模塊的資本要求的基礎(chǔ)上合理設(shè)置資本額度。眾所周知,償付能力最低資本要求作為監(jiān)管體系核心內(nèi)容之一,對(duì)保險(xiǎn)公司的風(fēng)險(xiǎn)防范能力、經(jīng)營(yíng)行為和資本效率產(chǎn)生直接的影響。 在此背景下,對(duì)構(gòu)成財(cái)險(xiǎn)業(yè)主要風(fēng)險(xiǎn)的承保風(fēng)險(xiǎn)進(jìn)行計(jì)量,并以此為起點(diǎn)探討我國(guó)財(cái)險(xiǎn)業(yè)償付能力資本標(biāo)準(zhǔn),結(jié)合我國(guó)非壽險(xiǎn)業(yè)發(fā)展現(xiàn)狀,分析作為監(jiān)管第一支柱的量化要求面臨的現(xiàn)實(shí)約束,并提出建議。 本文共有六章,各部分主要內(nèi)容和結(jié)論如下： 第一章,導(dǎo)論。介紹了選題背景、研究意義,回顧國(guó)內(nèi)外已有研究并進(jìn)行總結(jié)評(píng)述,就研究思路、方法及可能的創(chuàng)新之處和不足作了交代。 第二章,償付能力資本要求的數(shù)理基礎(chǔ)。這一部分內(nèi)容對(duì)償付能力資本計(jì)量理論進(jìn)行介紹,其中包括破產(chǎn)理論,用于風(fēng)險(xiǎn)匯總的平方根法則和copula函數(shù)法。對(duì)平方根法則和copula方法的介紹可以使我們對(duì)第四章承保風(fēng)險(xiǎn)計(jì)量既有合適的方法作為選擇,同時(shí)又對(duì)結(jié)果有一定的預(yù)判,便于實(shí)證分析和規(guī)范分析的相互印證。 第三章,償付能力監(jiān)管實(shí)踐。介紹了歐盟和美國(guó)償付能力監(jiān)管制度的主要內(nèi)容和改革計(jì)劃,對(duì)我國(guó)現(xiàn)行償付能力監(jiān)管制度要點(diǎn)進(jìn)行了回顧,詳細(xì)介紹了第二代監(jiān)管制度建設(shè)的原則、構(gòu)成要素和技術(shù)規(guī)定。制度原則和監(jiān)管理念的介紹是必須的,風(fēng)險(xiǎn)的量化只是制度建設(shè)中的一個(gè)環(huán)節(jié),結(jié)合行業(yè)實(shí)際、尋求風(fēng)險(xiǎn)防范和資本價(jià)值的平衡才是制度最終的目的,理念和原則在于保證資本規(guī)定沿著合理可行的方向行進(jìn)。 第四章,我國(guó)財(cái)產(chǎn)保險(xiǎn)公司承保風(fēng)險(xiǎn)實(shí)證分析。本章在賠付風(fēng)險(xiǎn)分析和費(fèi)用分析的基礎(chǔ)上得到承保風(fēng)險(xiǎn)模塊的償付能力資本要求。首先分析了綜合賠付率作為財(cái)險(xiǎn)業(yè)承保風(fēng)險(xiǎn)計(jì)算指標(biāo)的合理性,然后對(duì)我國(guó)非壽險(xiǎn)業(yè)務(wù)賠付率展開(kāi)了實(shí)證分析,確定邊際分布函數(shù)和風(fēng)險(xiǎn)聚合模型。然后對(duì)平方根法則和Icopula函數(shù)的擬合效果進(jìn)行比較,認(rèn)為copula函數(shù)能夠較好擬合并捕捉我國(guó)財(cái)險(xiǎn)業(yè)務(wù)賠付率的尾部相關(guān)性,但是大于98%的VAR1與實(shí)際數(shù)據(jù)十分接近,而低于98%的VAR會(huì)嚴(yán)重高估真實(shí)風(fēng)險(xiǎn)。copula函數(shù)對(duì)綜合賠付率的模擬結(jié)果將成為以后章節(jié)中分析資本要求的依據(jù)之一。 在通過(guò)模型確定賠付率后,結(jié)合綜合費(fèi)用率對(duì)我國(guó)代表性企業(yè)承保風(fēng)險(xiǎn)模塊的償付能力資本要求進(jìn)行了分析,如果采用一年期風(fēng)險(xiǎn)窗口和99%的VAR作為計(jì)算標(biāo)準(zhǔn),最低資本將達(dá)到保費(fèi)收入的30%,同《保險(xiǎn)法》對(duì)財(cái)險(xiǎn)企業(yè)資本金和公積金之和不低于保費(fèi)收入25%的規(guī)定差別不大。 最后一節(jié)是對(duì)我國(guó)財(cái)險(xiǎn)企業(yè)償付能力資本承受能力的分析,在對(duì)保費(fèi)規(guī)模排名前六位的財(cái)險(xiǎn)企業(yè)的經(jīng)營(yíng)業(yè)績(jī)、盈利能力對(duì)資本要求的承壓能力進(jìn)行分析后,認(rèn)為償付能力資本要求設(shè)置在20%左右比較適合我國(guó)財(cái)險(xiǎn)企業(yè)發(fā)展現(xiàn)狀。 第五章,結(jié)論和建議。在實(shí)證環(huán)節(jié)得到承保風(fēng)險(xiǎn)模塊的資本要求后,總結(jié)了本文的主要觀點(diǎn),對(duì)我國(guó)償付能力監(jiān)管制度建設(shè)提出建議。提出了實(shí)施差別監(jiān)管的必要性,認(rèn)為償付能力資本設(shè)置為保費(fèi)收入的30%將超出我國(guó)財(cái)險(xiǎn)企業(yè)的承受能力,現(xiàn)行的資本要求是符合我國(guó)財(cái)險(xiǎn)企業(yè)發(fā)展現(xiàn)狀的,監(jiān)管制度應(yīng)該強(qiáng)化定性監(jiān)管和外部約束以尋求風(fēng)險(xiǎn)防范和企業(yè)價(jià)值的平衡。在分析《保險(xiǎn)法》和《保險(xiǎn)公司償付能力管理規(guī)定》對(duì)資本的最低要求時(shí)發(fā)現(xiàn)前者約是后者的1.5倍,建議應(yīng)該理清監(jiān)管資本要求與其他法律法規(guī)關(guān)于資本規(guī)定的關(guān)系,做到基于不同基礎(chǔ)制定的標(biāo)準(zhǔn)具有一致性和可比性。 本文可能的創(chuàng)新點(diǎn)有以下幾個(gè)方面： (1)通過(guò)采用平方根法則和copula函數(shù)法分別對(duì)各險(xiǎn)種賠付率進(jìn)行聚合,比較兩種方法用于我國(guó)財(cái)險(xiǎn)業(yè)務(wù)風(fēng)險(xiǎn)度量的適用性及用于監(jiān)管目的適用性。 (2)區(qū)分了客觀賠付風(fēng)險(xiǎn)和可控費(fèi)用風(fēng)險(xiǎn),通過(guò)單獨(dú)分析賠付率和費(fèi)用率然后再結(jié)合的思路來(lái)反應(yīng)承保風(fēng)險(xiǎn),克服了直接采用綜合成本率不能區(qū)分兩類(lèi)不同性質(zhì)風(fēng)險(xiǎn)的局限性。 (3)在得到承保風(fēng)險(xiǎn)資本要求的基礎(chǔ)上,通過(guò)行業(yè)盈利能力和外部融資環(huán)境分析了財(cái)險(xiǎn)公司的資本承受能力,最終得到償付能力資本的參考基準(zhǔn)。 (4)在本文的建議部分,探討了《保險(xiǎn)法》和《保險(xiǎn)公司償付能力管理規(guī)定》對(duì)資本要求的最低標(biāo)準(zhǔn)的一致性問(wèn)題,結(jié)合公司財(cái)務(wù)指標(biāo),給出兩個(gè)標(biāo)準(zhǔn)存在的差異。
[Abstract]:The reform of the international solvency regulatory system and the overall framework of the second generation solvency regulatory system (hereinafter referred to as the "framework") clearly suggest that the solvency capital requirements should be fully responsive to the risk, and the capital amount should be set up on the basis of the capital requirements of the various risk modules facing the insurance companies. It is known that the minimum capital requirements of solvency, as one of the core contents of the regulatory system, have a direct impact on the risk prevention, operation and capital efficiency of insurance companies.
In this context, we measure the underwriting risks that constitute the main risks of the financial risk industry, and take this as the starting point to discuss the capital standards for the solvency of our country's financial insurance industry, and analyze the realistic constraints faced by the quantitative requirements of the first pillar of supervision and the current situation of the non life insurance industry in China, and give some suggestions.
There are six chapters in this paper. The main contents and conclusions of each part are as follows:
The first chapter, introduction, introduced the background of the topic, the significance of the research, reviewed the existing research at home and abroad and summarized the review, and explained the research ideas, methods and possible innovations and shortcomings.
The second chapter is the mathematical basis of the solvency capital requirements. This part introduces the solvency capital measurement theory, including the bankruptcy theory, the square root rule and the copula function method for the risk summary. The introduction of the square root rule and the copula method can enable us to have the right side for the fourth chapter underwriting risk measurement. As a choice, the law has certain preconditions for the results, which is convenient for mutual confirmation between empirical analysis and normative analysis.
The third chapter, the practice of solvency supervision, introduces the main contents and reform plans of the solvency regulation system in the EU and the United States, reviews the main points of the current solvency regulation system in China, and introduces the principles, elements and technical regulations of the second generation of supervision system in detail. The introduction of the system principles and supervision ideas is necessary. It is necessary that the quantification of risk is only a link in the construction of the system. It is the ultimate goal of the system to seek the balance of risk prevention and capital value in combination with the practice of the industry. The idea and principle are to ensure that the capital regulations are moving in a reasonable and feasible direction.
The fourth chapter is an empirical analysis of the insurance risk of the property insurance company in China. This chapter obtains the solvency capital requirements of the underwriting risk module on the basis of the compensation risk analysis and the cost analysis. First, it analyzes the rationality of the comprehensive compensation rate as the calculation index of the insurance risk of the financial insurance industry, but then the compensation rate of the non life insurance business in China is carried out. The marginal distribution function and the risk aggregation model are determined, and then the fitting effect of the square root rule and the Icopula function is compared. It is considered that the copula function can better combine the tail correlation to capture the loss rate of our country's financial insurance business, but the VAR1 greater than 98% is very close to the actual data, and the VAR below 98% will be seriously overestimated. The simulation results of the real risk.Copula function on the comprehensive compensation rate will become one of the basis for analyzing capital requirements in the later chapters.
After determining the reimbursement rate by the model, this paper analyzes the solvency capital requirements of the underwriting risk module of our representative enterprise combined with the comprehensive cost rate. If the one-year risk window and 99% VAR are used as the calculation standard, the minimum capital will reach 30% of the premium income, and the "insurance law >" to the capital and accumulation fund of the financial risk enterprise. There is little difference between the provisions of the premium income of 25%, which is not below the premium income.
The last section is an analysis of the solvency capital affordability of China's financial insurance companies. After analyzing the operating performance of the top six insurance companies and the ability of profitability to the capital requirements, it is considered that the solvency capital requirement is set at about 20% ratio, which is more suitable for the current situation of the development of China's financial risk enterprises.
The fifth chapter, conclusions and suggestions. After obtaining the capital requirements of the underwriting risk module in the empirical link, this paper summarizes the main views of this article, and puts forward some suggestions on the construction of the solvency regulation system in China. The necessity of implementing differential supervision is put forward, and that the solvency capital is set to 30% of the premium income will exceed the capacity of the financial risk enterprises of our country. The current capital requirements are in line with the current situation of the development of China's financial risk enterprises. The regulatory system should strengthen qualitative supervision and external constraints to seek a balance between risk prevention and enterprise value. In the analysis of the insurance law and the minimum requirements for the solvency management of insurance companies, the former is about 1.5 times that of the latter. Clarify the relationship between regulatory capital requirements and other laws and regulations regarding capital provisions, so that the standards based on different bases are consistent and comparable.
The possible innovations in this paper are as follows:
(1) by using the square root rule and the copula function method, the compensation rate of each kind of insurance is aggregated, and the applicability of the two methods to the risk measurement of China's financial insurance business is compared and the applicability of the two methods is used for the purpose of supervision.
(2) it distinguishes between the objective and controllable cost risks, and reacts the risk of underwriting by analyzing the compensation rate and the cost rate and then combining the cost rate separately, and overcomes the limitation that the two types of different risks can not be distinguished by the direct use of the comprehensive cost rate.
(3) on the basis of the requirement of underwriting risk capital, the capital bearing capacity of the company is analyzed through the industry profitability and external financing environment, and finally the reference of the solvency capital is obtained.
(4) in the suggestion part of this article, we discuss the consistency of the insurance law and the insurance company's solvency management regulations on the minimum standard of capital requirements, and give the differences between the two standards in combination with the financial indicators of the company.

【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F842.3

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