發(fā)布時(shí)間：2019-05-07 00:10

【摘要】：近年來,我國保險(xiǎn)行業(yè)發(fā)展日益成熟,保費(fèi)收入規(guī)�？焖僭鲩L,市場(chǎng)需求的大幅度增加也推動(dòng)保險(xiǎn)產(chǎn)品多樣化與創(chuàng)新能力的提升。在保險(xiǎn)市場(chǎng)日益擴(kuò)張的情況下,監(jiān)管機(jī)構(gòu)和市場(chǎng)對(duì)保險(xiǎn)機(jī)構(gòu)抗風(fēng)險(xiǎn)能力也提出了更高的要求,償付能力資本要求作為保險(xiǎn)公司抵御風(fēng)險(xiǎn)的核心內(nèi)容,已經(jīng)成為了保監(jiān)會(huì)的關(guān)注重點(diǎn)。 2014年是我國第二代償付能力體系建設(shè)關(guān)鍵的一年,我國將在這一年進(jìn)行新償付能力體系的試運(yùn)行。同時(shí),歐盟償付能力Ⅱ項(xiàng)目從2001年開始至今也進(jìn)行了十多個(gè)年頭,預(yù)計(jì)2016年將正式生效。歐盟保險(xiǎn)行業(yè)的監(jiān)管體系處于世界領(lǐng)先水平,償付能力Ⅱ的推出對(duì)我國保險(xiǎn)監(jiān)管提供了很好的借鑒意義。 本文首先進(jìn)行壽險(xiǎn)公司風(fēng)險(xiǎn)邊際的計(jì)量研究。通過最佳估計(jì)法、分位數(shù)法、情景模擬法分別對(duì)模擬保單數(shù)據(jù)進(jìn)行估計(jì),結(jié)果表明：基于償付能力Ⅱ的最佳估計(jì)法在未來將成為技術(shù)準(zhǔn)備金估計(jì)的主要方法,其具有與國際財(cái)務(wù)報(bào)告準(zhǔn)則一致的計(jì)量方式,并且對(duì)市場(chǎng)風(fēng)險(xiǎn)的變動(dòng)比較敏感,包括資本成本率、市場(chǎng)利率等等,便于保險(xiǎn)公司及時(shí)做出調(diào)整,抵御風(fēng)險(xiǎn)。但是也存在資本成本率難以準(zhǔn)確估計(jì)的不足,這需要我國進(jìn)一步完善金融市場(chǎng)信用評(píng)級(jí)體系的建立,以保證資本成本率具有客觀性與準(zhǔn)確性。其次,進(jìn)行非壽險(xiǎn)最低償付資本實(shí)證研究,實(shí)證研究表明：我國目前非壽險(xiǎn)最低償付能力資本要求已經(jīng)無法滿足市場(chǎng)需求,計(jì)量標(biāo)準(zhǔn)偏低,本文結(jié)合我國2008年至2012年非壽險(xiǎn)市場(chǎng)的數(shù)據(jù),對(duì)我國現(xiàn)行監(jiān)管框架下的參數(shù)進(jìn)行重新估計(jì)。 基于以上對(duì)償付能力Ⅱ核心內(nèi)容的探討、壽險(xiǎn)公司風(fēng)險(xiǎn)邊際計(jì)量研究、非壽險(xiǎn)公司最低償付能力資本的實(shí)證研究以及我國保險(xiǎn)業(yè)發(fā)展的當(dāng)前現(xiàn)狀,本文對(duì)我國償付能力監(jiān)管體系的建設(shè)提出幾點(diǎn)有效建議：對(duì)保險(xiǎn)機(jī)構(gòu)風(fēng)險(xiǎn)進(jìn)行全面評(píng)估、促進(jìn)精算技術(shù)水平的提高、完善保險(xiǎn)會(huì)計(jì)準(zhǔn)則、加強(qiáng)對(duì)保險(xiǎn)機(jī)構(gòu)定性監(jiān)管、推動(dòng)保險(xiǎn)公司信息披露以及關(guān)注大型保險(xiǎn)集團(tuán)償付能力體系建設(shè)。
[Abstract]:In recent years, the development of insurance industry in our country is maturing day by day, the scale of premium income increases rapidly, and the great increase of market demand also promotes the diversification of insurance products and the promotion of innovation ability. In the case of increasing expansion of the insurance market, regulators and the market also put forward higher requirements for insurance institutions' ability to resist risks. Solvency capital requirements are the core content of insurance companies against risks. It has become the focus of the CIRC. 2014 is the key year for the construction of the second generation solvency system in China, in which China will conduct a trial operation of the new solvency system. At the same time, the EU solvency II project has been in operation for more than a decade since 2001, and is expected to enter into force in 2016. The supervision system of EU insurance industry is in the leading level in the world. The introduction of solvency II provides a good reference for China's insurance supervision. This article first carries on the life insurance company risk margin measurement research. The best estimation method, quantile method and scenario simulation method are used to estimate the simulated policy data respectively. The results show that the best estimation method based on solvency II will become the main method for estimating the technical reserve in the future. It has the same measurement method as the international financial reporting standards, and is sensitive to the changes of market risk, including capital cost ratio, market interest rate and so on. It is convenient for insurance companies to make timely adjustments and resist risks. However, the capital cost ratio is difficult to accurately estimate, which needs to further improve the establishment of the financial market credit rating system, in order to ensure the objectivity and accuracy of the capital cost ratio. Secondly, an empirical study on the minimum solvency capital of non-life insurance is carried out. The empirical study shows that the minimum solvency capital requirement of non-life insurance is no longer able to meet the market demand, and the standard of measurement is low. Based on the data of China's non-life insurance market from 2008 to 2012, this paper re-estimates the parameters under the current regulatory framework in China. Based on the above discussion on the core content of solvency II, the risk margin measurement research of life insurance companies, the empirical study of the minimum solvency capital of non-life insurance companies, and the current situation of insurance industry development in China, This paper puts forward some effective suggestions on the construction of the solvency supervision system in China: to evaluate the risks of insurance institutions in an all-round way, to promote the improvement of actuarial technical level, to perfect the insurance accounting standards, and to strengthen the qualitative supervision of insurance institutions. Promote information disclosure of insurance companies and pay attention to the construction of solvency system of large insurance groups.
【學(xué)位授予單位】：廈門大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F842;F224

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