產(chǎn)險公司承保盈利風(fēng)險的計量與比較分析
發(fā)布時間：2019-04-17 13:03
【摘要】：新中國成立以來,經(jīng)歷了坎坷發(fā)展歷程的中國保險業(yè)取得了相當(dāng)引人注目的成就。產(chǎn)險和壽險行業(yè)發(fā)展迅速,保費規(guī)模迅速增長,保險主體不斷增加,市場競爭也更加激烈,政策監(jiān)管體系和制度日益完善。不同于壽險的業(yè)務(wù)經(jīng)營模式,產(chǎn)險業(yè)務(wù)期限較短,出險時間和賠付金額的不確定,為產(chǎn)險公司承保盈利帶來了挑戰(zhàn)。目前,我國產(chǎn)險公司保費規(guī)模及增速與承保業(yè)務(wù)盈利的波動,呈現(xiàn)出極不匹配的現(xiàn)象。追求規(guī)模保費,然后以"投資倒貼承保"的經(jīng)營模式在行業(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,會導(dǎo)致產(chǎn)險公司償付能力下降,被保險人的權(quán)益無法受到保障,則保險的"社會穩(wěn)定器"功能也將受到挑戰(zhàn)。因此,有必要對產(chǎn)險公司的承保盈利風(fēng)險進(jìn)行研究。本文首先將產(chǎn)險公司的承保經(jīng)營活動分為車險和非車險業(yè)務(wù),構(gòu)建經(jīng)營活動的盈利模型,并采用風(fēng)險調(diào)整績效測量法(RAPM)中的風(fēng)險資本和風(fēng)險調(diào)整資本收益(Risk Adjusted Return on Capital)指標(biāo),對產(chǎn)險公司的承保盈利風(fēng)險和盈利能力進(jìn)行刻畫。在分別對三家大型中資產(chǎn)險公司、五家中小型中資產(chǎn)險公司以及三家外資產(chǎn)險公司進(jìn)行承保盈利風(fēng)險度量后,進(jìn)行橫向?qū)Ρ确治�。在對車險和非車險賠付情況、車險以及非車業(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)中國人民財產(chǎn)保險股份有限公司的相關(guān)數(shù)據(jù),結(jié)合本文承保利潤模型,采用對應(yīng)的經(jīng)營策略,變動保費增速、車險業(yè)務(wù)和非車險業(yè)務(wù)占比、車險業(yè)務(wù)賠付比例,得到這些策略下該產(chǎn)險公司對應(yīng)的經(jīng)營風(fēng)險和模擬結(jié)果。實證結(jié)果發(fā)現(xiàn):(1)車險賠付率、非車險賠付率、車險業(yè)務(wù)比例、非車險業(yè)務(wù)比例之間存在著相關(guān)關(guān)系時,承保收益更有可能出現(xiàn)正值;在車險賠付率、非車險賠付率、車險業(yè)務(wù)比例、非車險業(yè)務(wù)比例之間存在著尾部非線性相關(guān)關(guān)系時,該承保收益會增加,同時風(fēng)險會減小;(2)中資產(chǎn)險中,規(guī)模越大,預(yù)期承保利潤越高;風(fēng)險資本會隨著規(guī)模的增加而增加,即大型產(chǎn)險公司用于未來非預(yù)期的損失將要儲備的資產(chǎn)要更多于中小型產(chǎn)險企業(yè);外資產(chǎn)險的規(guī)模普遍小于中資產(chǎn)險公司,同時承保盈利能力弱于中資產(chǎn)險公司,更容易面臨著虧損。在對模擬結(jié)果進(jìn)行對比分析的基礎(chǔ)上,本文提出建議:(1)考慮車險和非車險等業(yè)務(wù)的相關(guān)性,對產(chǎn)險公司的承保風(fēng)險管理能夠做出更精細(xì)的決策;(2)在保費規(guī)模不宜減少的前提下,車險業(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,實現(xiàn)車險業(yè)務(wù)的扭虧;(3)外資產(chǎn)險公司在規(guī)模有限的情況下,可以一方面靠分入業(yè)務(wù)增加保費,一方面可以減少車險業(yè)務(wù)的承保,或者增加車險優(yōu)質(zhì)業(yè)務(wù)的承保,進(jìn)而降低車險業(yè)務(wù)帶來的虧損。
[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)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：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)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F842.3;F840.4
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