產(chǎn)險(xiǎn)公司承保盈利風(fēng)險(xiǎn)的計(jì)量與比較分析
發(fā)布時(shí)間：2019-04-17 13:03
【摘要】：新中國(guó)成立以來(lái),經(jīng)歷了坎坷發(fā)展歷程的中國(guó)保險(xiǎn)業(yè)取得了相當(dāng)引人注目的成就。產(chǎn)險(xiǎn)和壽險(xiǎn)行業(yè)發(fā)展迅速,保費(fèi)規(guī)模迅速增長(zhǎng),保險(xiǎn)主體不斷增加,市場(chǎng)競(jìng)爭(zhēng)也更加激烈,政策監(jiān)管體系和制度日益完善。不同于壽險(xiǎn)的業(yè)務(wù)經(jīng)營(yíng)模式,產(chǎn)險(xiǎn)業(yè)務(wù)期限較短,出險(xiǎn)時(shí)間和賠付金額的不確定,為產(chǎn)險(xiǎn)公司承保盈利帶來(lái)了挑戰(zhàn)。目前,我國(guó)產(chǎn)險(xiǎn)公司保費(fèi)規(guī)模及增速與承保業(yè)務(wù)盈利的波動(dòng),呈現(xiàn)出極不匹配的現(xiàn)象。追求規(guī)模保費(fèi),然后以"投資倒貼承保"的經(jīng)營(yíng)模式在行業(yè)內(nèi)被廣泛采用。然而在資產(chǎn)管理水平各異的條件下,不同規(guī)模的產(chǎn)險(xiǎn)公司整體盈利能力也表現(xiàn)出極不均衡,且投資收益一旦惡化,會(huì)導(dǎo)致產(chǎn)險(xiǎn)公司償付能力下降,被保險(xiǎn)人的權(quán)益無(wú)法受到保障,則保險(xiǎn)的"社會(huì)穩(wěn)定器"功能也將受到挑戰(zhàn)。因此,有必要對(duì)產(chǎn)險(xiǎn)公司的承保盈利風(fēng)險(xiǎn)進(jìn)行研究。本文首先將產(chǎn)險(xiǎn)公司的承保經(jīng)營(yíng)活動(dòng)分為車險(xiǎn)和非車險(xiǎn)業(yè)務(wù),構(gòu)建經(jīng)營(yíng)活動(dòng)的盈利模型,并采用風(fēng)險(xiǎn)調(diào)整績(jī)效測(cè)量法(RAPM)中的風(fēng)險(xiǎn)資本和風(fēng)險(xiǎn)調(diào)整資本收益(Risk Adjusted Return on Capital)指標(biāo),對(duì)產(chǎn)險(xiǎn)公司的承保盈利風(fēng)險(xiǎn)和盈利能力進(jìn)行刻畫。在分別對(duì)三家大型中資產(chǎn)險(xiǎn)公司、五家中小型中資產(chǎn)險(xiǎn)公司以及三家外資產(chǎn)險(xiǎn)公司進(jìn)行承保盈利風(fēng)險(xiǎn)度量后,進(jìn)行橫向?qū)Ρ确治�。在�?duì)車險(xiǎn)和非車險(xiǎn)賠付情況、車險(xiǎn)以及非車業(yè)務(wù)占比的模型描述中,使用Gauss Copula和學(xué)生tCopula對(duì)兩種業(yè)務(wù)的賠付率及占比進(jìn)行相依性假設(shè)和分析。其次,本文根據(jù)中國(guó)人民財(cái)產(chǎn)保險(xiǎn)股份有限公司的相關(guān)數(shù)據(jù),結(jié)合本文承保利潤(rùn)模型,采用對(duì)應(yīng)的經(jīng)營(yíng)策略,變動(dòng)保費(fèi)增速、車險(xiǎn)業(yè)務(wù)和非車險(xiǎn)業(yè)務(wù)占比、車險(xiǎn)業(yè)務(wù)賠付比例,得到這些策略下該產(chǎn)險(xiǎn)公司對(duì)應(yīng)的經(jīng)營(yíng)風(fēng)險(xiǎn)和模擬結(jié)果。實(shí)證結(jié)果發(fā)現(xiàn):(1)車險(xiǎn)賠付率、非車險(xiǎn)賠付率、車險(xiǎn)業(yè)務(wù)比例、非車險(xiǎn)業(yè)務(wù)比例之間存在著相關(guān)關(guān)系時(shí),承保收益更有可能出現(xiàn)正值;在車險(xiǎn)賠付率、非車險(xiǎn)賠付率、車險(xiǎn)業(yè)務(wù)比例、非車險(xiǎn)業(yè)務(wù)比例之間存在著尾部非線性相關(guān)關(guān)系時(shí),該承保收益會(huì)增加,同時(shí)風(fēng)險(xiǎn)會(huì)減小;(2)中資產(chǎn)險(xiǎn)中,規(guī)模越大,預(yù)期承保利潤(rùn)越高;風(fēng)險(xiǎn)資本會(huì)隨著規(guī)模的增加而增加,即大型產(chǎn)險(xiǎn)公司用于未來(lái)非預(yù)期的損失將要儲(chǔ)備的資產(chǎn)要更多于中小型產(chǎn)險(xiǎn)企業(yè);外資產(chǎn)險(xiǎn)的規(guī)模普遍小于中資產(chǎn)險(xiǎn)公司,同時(shí)承保盈利能力弱于中資產(chǎn)險(xiǎn)公司,更容易面臨著虧損。在對(duì)模擬結(jié)果進(jìn)行對(duì)比分析的基礎(chǔ)上,本文提出建議:(1)考慮車險(xiǎn)和非車險(xiǎn)等業(yè)務(wù)的相關(guān)性,對(duì)產(chǎn)險(xiǎn)公司的承保風(fēng)險(xiǎn)管理能夠做出更精細(xì)的決策;(2)在保費(fèi)規(guī)模不宜減少的前提下,車險(xiǎn)業(yè)務(wù)的改善應(yīng)該從提高業(yè)務(wù)品質(zhì)、提升續(xù)保率、降低中間業(yè)務(wù)環(huán)節(jié)費(fèi)用率等方面入手,進(jìn)而使綜合成本率回歸到合理的區(qū)間,實(shí)現(xiàn)車險(xiǎn)業(yè)務(wù)的扭虧;(3)外資產(chǎn)險(xiǎn)公司在規(guī)模有限的情況下,可以一方面靠分入業(yè)務(wù)增加保費(fèi),一方面可以減少車險(xiǎn)業(yè)務(wù)的承保,或者增加車險(xiǎn)優(yōu)質(zhì)業(yè)務(wù)的承保,進(jìn)而降低車險(xiǎn)業(yè)務(wù)帶來(lái)的虧損。
[Abstract]:China's insurance industry has made remarkable achievements since the founding of the new China. The development of the insurance and life insurance industry is rapid, the scale of the premium is growing rapidly, the main body of the insurance is increasing, the market competition is also more intense, the policy supervision system and the system are becoming more and more perfect. Different from the business operation mode of life insurance, the time limit of the insurance business is short, the insurance time and the amount of the compensation are not determined, which brings the challenge to the insurance company's underwriting profit. At present, our country's insurance company's premium scale and the growth rate and the underwriting business profit fluctuation, show a very unmatched phenomenon. The pursuit of a scale premium is then widely used in the industry in the form of a "Investment upside-down coverage" 's business model. However, under the condition that the management level of the assets is different, the overall profitability of the different-scale production insurance companies also shows a very uneven distribution, and once the investment income is deteriorated, the solvency of the insurance company can be reduced, and the rights and interests of the insured cannot be guaranteed, The "social stabilizer" of the insurance will also be challenged. Therefore, it is necessary to study the underwriting profit risk of the insurance company. In this paper, the insurance business of the insurance company is divided into the vehicle insurance and the non-vehicle insurance business, the profit model of the operation activity is constructed, and the risk capital and risk adjustment capital income (Risk Adjustment Return on Capital) index in the risk adjustment performance measurement method (RAPM) is adopted. The underwriting profit risk and profitability of the insurance company are described. After the risk measurement of underwriting profit of three large-scale middle-asset insurance companies, five small-and medium-sized medium-and medium-sized medium-and medium-sized medium-and medium-sized medium-and medium-sized medium-and small-medium-sized medium-and small-medium-sized medium-and small-medium- In the model description of the ratio of vehicle and non-vehicle insurance, vehicle insurance and non-vehicle-to-vehicle service, the two types of business are assumed and analyzed by using the Gauss Copula and the student tCopula. Secondly, according to the relevant data of the Chinese People's Property Insurance Co., Ltd., this paper uses the corresponding management strategy, the change premium growth rate, the vehicle insurance business and the non-vehicle insurance business proportion, and the vehicle insurance business compensation proportion in combination with the relevant data of the Chinese People's Property Insurance Co., Ltd. The corresponding operational risk and simulation results of the insurance company under these strategies are obtained. The empirical results show that: (1) the coverage proceeds more likely to be positive when there is a correlation between the vehicle-risk-loss rate, the non-vehicle-risk-loss rate, the ratio of the vehicle-insurance business and the proportion of the non-vehicle-insurance business, and the ratio of the vehicle-risk-loss rate, the non-vehicle-risk-paying rate and the vehicle-risk service ratio, when there is a trailing non-linear correlation between the non-vehicle-risk business ratios, the underwriting yield will increase while the risk is reduced; (2) the larger the amount of the asset in the middle asset, the higher the expected coverage profit; and the risk capital will increase with the increase in size, That is, the large-scale production insurance company is used for future non-expected losses to reserve more assets than small and medium-sized business-producing enterprises; the scale of foreign-funded insurance is generally smaller than that of medium-and medium-asset-risk companies, while the underwriting profit ability is weaker than medium-asset-risk companies, and it is more likely to face losses. Based on the comparison and analysis of the simulation results, this paper puts forward the suggestion that: (1) considering the correlation of the business such as the vehicle insurance and the non-vehicle insurance, the insurance risk management of the insurance company can make more elaborate decision; (2) on the premise that the premium scale is not to be reduced, The improvement of the car insurance business should start from the aspects of improving the service quality, improving the renewal rate, reducing the cost rate of the intermediate business link, and further, the comprehensive cost rate can be returned to a reasonable interval to realize the torque loss of the vehicle insurance business; and (3) the foreign capital production insurance company is limited in size, On the one hand, the insurance premium can be increased on the one hand, the coverage of the car insurance business can be reduced on the one hand, or the coverage of the car insurance premium service can be increased, and the loss caused by the car insurance business can be reduced.
【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F842.3;F840.4
[Abstract]:China's insurance industry has made remarkable achievements since the founding of the new China. The development of the insurance and life insurance industry is rapid, the scale of the premium is growing rapidly, the main body of the insurance is increasing, the market competition is also more intense, the policy supervision system and the system are becoming more and more perfect. Different from the business operation mode of life insurance, the time limit of the insurance business is short, the insurance time and the amount of the compensation are not determined, which brings the challenge to the insurance company's underwriting profit. At present, our country's insurance company's premium scale and the growth rate and the underwriting business profit fluctuation, show a very unmatched phenomenon. The pursuit of a scale premium is then widely used in the industry in the form of a "Investment upside-down coverage" 's business model. However, under the condition that the management level of the assets is different, the overall profitability of the different-scale production insurance companies also shows a very uneven distribution, and once the investment income is deteriorated, the solvency of the insurance company can be reduced, and the rights and interests of the insured cannot be guaranteed, The "social stabilizer" of the insurance will also be challenged. Therefore, it is necessary to study the underwriting profit risk of the insurance company. In this paper, the insurance business of the insurance company is divided into the vehicle insurance and the non-vehicle insurance business, the profit model of the operation activity is constructed, and the risk capital and risk adjustment capital income (Risk Adjustment Return on Capital) index in the risk adjustment performance measurement method (RAPM) is adopted. The underwriting profit risk and profitability of the insurance company are described. After the risk measurement of underwriting profit of three large-scale middle-asset insurance companies, five small-and medium-sized medium-and medium-sized medium-and medium-sized medium-and medium-sized medium-and medium-sized medium-and small-medium-sized medium-and small-medium-sized medium-and small-medium- In the model description of the ratio of vehicle and non-vehicle insurance, vehicle insurance and non-vehicle-to-vehicle service, the two types of business are assumed and analyzed by using the Gauss Copula and the student tCopula. Secondly, according to the relevant data of the Chinese People's Property Insurance Co., Ltd., this paper uses the corresponding management strategy, the change premium growth rate, the vehicle insurance business and the non-vehicle insurance business proportion, and the vehicle insurance business compensation proportion in combination with the relevant data of the Chinese People's Property Insurance Co., Ltd. The corresponding operational risk and simulation results of the insurance company under these strategies are obtained. The empirical results show that: (1) the coverage proceeds more likely to be positive when there is a correlation between the vehicle-risk-loss rate, the non-vehicle-risk-loss rate, the ratio of the vehicle-insurance business and the proportion of the non-vehicle-insurance business, and the ratio of the vehicle-risk-loss rate, the non-vehicle-risk-paying rate and the vehicle-risk service ratio, when there is a trailing non-linear correlation between the non-vehicle-risk business ratios, the underwriting yield will increase while the risk is reduced; (2) the larger the amount of the asset in the middle asset, the higher the expected coverage profit; and the risk capital will increase with the increase in size, That is, the large-scale production insurance company is used for future non-expected losses to reserve more assets than small and medium-sized business-producing enterprises; the scale of foreign-funded insurance is generally smaller than that of medium-and medium-asset-risk companies, while the underwriting profit ability is weaker than medium-asset-risk companies, and it is more likely to face losses. Based on the comparison and analysis of the simulation results, this paper puts forward the suggestion that: (1) considering the correlation of the business such as the vehicle insurance and the non-vehicle insurance, the insurance risk management of the insurance company can make more elaborate decision; (2) on the premise that the premium scale is not to be reduced, The improvement of the car insurance business should start from the aspects of improving the service quality, improving the renewal rate, reducing the cost rate of the intermediate business link, and further, the comprehensive cost rate can be returned to a reasonable interval to realize the torque loss of the vehicle insurance business; and (3) the foreign capital production insurance company is limited in size, On the one hand, the insurance premium can be increased on the one hand, the coverage of the car insurance business can be reduced on the one hand, or the coverage of the car insurance premium service can be increased, and the loss caused by the car insurance business can be reduced.
【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F842.3;F840.4
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