本文選題：償付能力資本要求 + 最小二乘蒙特卡洛模擬�。� 參考：《華東師范大學》2014年碩士論文

【摘要】：目前各國保險監(jiān)管機構(gòu)都在對自身償付能力監(jiān)管體系進行改革,希望建立一套全面的、以風險為導(dǎo)向的監(jiān)管體系,以保證保險業(yè)的長期穩(wěn)定和可持續(xù)性發(fā)展。歐盟Solvency Ⅱ已經(jīng)經(jīng)過了數(shù)年的建設(shè),即將生效實施,而中國保監(jiān)會也于2012年正式啟動第二代償付能力監(jiān)管體系的建設(shè)。歐盟Solvency Ⅱ作為改革的先行者,其主要內(nèi)容具有很強的參考意義。Solvency Ⅱ的主要核心內(nèi)容可以概括為“三支柱,雙資本”。正因為新的償付能力資本要求(Solvency Capital Requirements,簡稱SCR)為第一支柱的重要內(nèi)容,所以本文將償付能力資本要求作為研究對象,進行了定性分析與定量分析。 在定性分析方面,本文首先比較了償付能力資本要求(SCR)和最低資本要求(MCR),然后比較了償付能力資本要求的標準法和內(nèi)部模型法。指出償付能力資本要求具有監(jiān)管資本和經(jīng)濟資本的雙重特征,因此償付能力資本要求不僅能起到監(jiān)管作用,還能夠促使保險企業(yè)在量化風險的基礎(chǔ)上建立起一整套風險管理及價值創(chuàng)造體系。 在定量分析方面,本文首先指出標準法所存在的弊端。然后分析比較了三種可作為內(nèi)部模型的隨機性方法：復(fù)制資產(chǎn)組合法、曲線擬合法、最小二乘蒙特卡洛模擬法(LSMC)。指出最小二乘蒙特卡洛模擬方法優(yōu)于另兩種模擬方法的結(jié)論。然后,在市場一致性的原則下,針對一家壽險企業(yè)(已知壽險企業(yè)的期初資產(chǎn)負債表、資產(chǎn)價值變動模型以及股東分紅機制設(shè)置),在僅考慮市場風險因素的情況下(在考慮市場風險因素時,引入隨機利率Vasice模型),采用最小二乘蒙特卡洛模擬方法,建立償付能力資本要求的評估模型。最后,采用LSMC方法對壽險企業(yè)進行了案例分析。在案例分析中,分紅機制的模型參數(shù)來自于中國保監(jiān)會的相關(guān)政策規(guī)定；隨機利率模型的參數(shù)估計則采用中國利率市場的實證SHIBOR數(shù)據(jù)。得到相應(yīng)的參數(shù)后,采用Matlab軟件自行編程,計算出償付能力資本要求以及壽險企業(yè)目前的償付能力充足性水平；再根據(jù)第二支柱中的OSRA要求,對保險企業(yè)進行了預(yù)測性的多期SCR評估。并且針對市場風險因素進行了相關(guān)的敏感性分析。案例分析的結(jié)果顯示：LSMC方法可以有效地評估單期及多期償付能力資本要求,具有實際可操作性。資產(chǎn)波動率、利率波動率以及利率水平的變化都會對償付能力資本要求和償付能力充足性水平造成一定的影響。資產(chǎn)波動率和利率波動率的增大表示壽險企業(yè)所面臨的風險增大,必須持有更多的償付能力資本；而隨著利率水平的提高,壽險企業(yè)所面臨的風險并沒有增大,償付能力資本要求在某一水平上波動,同時由于利率的貼現(xiàn)作用使得償付能力充足率提高。
[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.
【學位授予單位】：華東師范大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F845

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