發(fā)布時間：2019-05-07 00:10

【摘要】：近年來,我國保險行業(yè)發(fā)展日益成熟,保費收入規(guī)�？焖僭鲩L,市場需求的大幅度增加也推動保險產(chǎn)品多樣化與創(chuàng)新能力的提升。在保險市場日益擴(kuò)張的情況下,監(jiān)管機(jī)構(gòu)和市場對保險機(jī)構(gòu)抗風(fēng)險能力也提出了更高的要求,償付能力資本要求作為保險公司抵御風(fēng)險的核心內(nèi)容,已經(jīng)成為了保監(jiān)會的關(guān)注重點。 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行。同時,歐盟償付能力Ⅱ項目從2001年開始至今也進(jìn)行了十多個年頭,預(yù)計2016年將正式生效。歐盟保險行業(yè)的監(jiān)管體系處于世界領(lǐng)先水平,償付能力Ⅱ的推出對我國保險監(jiān)管提供了很好的借鑒意義。 本文首先進(jìn)行壽險公司風(fēng)險邊際的計量研究。通過最佳估計法、分位數(shù)法、情景模擬法分別對模擬保單數(shù)據(jù)進(jìn)行估計,結(jié)果表明：基于償付能力Ⅱ的最佳估計法在未來將成為技術(shù)準(zhǔn)備金估計的主要方法,其具有與國際財務(wù)報告準(zhǔn)則一致的計量方式,并且對市場風(fēng)險的變動比較敏感,包括資本成本率、市場利率等等,便于保險公司及時做出調(diào)整,抵御風(fēng)險。但是也存在資本成本率難以準(zhǔn)確估計的不足,這需要我國進(jìn)一步完善金融市場信用評級體系的建立,以保證資本成本率具有客觀性與準(zhǔn)確性。其次,進(jìn)行非壽險最低償付資本實證研究,實證研究表明：我國目前非壽險最低償付能力資本要求已經(jīng)無法滿足市場需求,計量標(biāo)準(zhǔn)偏低,本文結(jié)合我國2008年至2012年非壽險市場的數(shù)據(jù),對我國現(xiàn)行監(jiān)管框架下的參數(shù)進(jìn)行重新估計。 基于以上對償付能力Ⅱ核心內(nèi)容的探討、壽險公司風(fēng)險邊際計量研究、非壽險公司最低償付能力資本的實證研究以及我國保險業(yè)發(fā)展的當(dāng)前現(xiàn)狀,本文對我國償付能力監(jiān)管體系的建設(shè)提出幾點有效建議：對保險機(jī)構(gòu)風(fēng)險進(jìn)行全面評估、促進(jìn)精算技術(shù)水平的提高、完善保險會計準(zhǔn)則、加強對保險機(jī)構(gòu)定性監(jiān)管、推動保險公司信息披露以及關(guān)注大型保險集團(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)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F842;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 萬峰;論利差損的產(chǎn)生及化解[J];保險研究;2001年06期

2 金剛;張秋秋;;歐盟國家保險監(jiān)管模式比較[J];保險研究;2007年01期

3 謝志剛;王上文;;我國非壽險最低償付能力資本要求的計算比較[J];保險研究;2007年08期

4 于潤;葉朝暉;韋毓;;論三支柱框架下我國償付能力監(jiān)管[J];保險研究;2008年02期

5 陳志國;;歐盟保險償付能力Ⅱ改革的最新進(jìn)展[J];保險研究;2008年09期

6 冷煜;;保險監(jiān)管國際比較及發(fā)展趨勢研究[J];保險研究;2009年03期

7 朱南軍;何小偉;;歐盟保險償付能力監(jiān)管標(biāo)準(zhǔn)Ⅱ:框架、理念和影響[J];南方金融;2008年06期

8 謝志剛;;我國第二代償付能力監(jiān)管制度體系建設(shè)中的幾個關(guān)鍵問題[J];保險研究;2012年08期

9 邢彬;黃俊星;;國際保險業(yè)償付能力監(jiān)管制度比較及發(fā)展趨勢研究[J];保險研究;2011年07期

10 張連增;曲珩;;ORSA的理論研究與實踐要求[J];保險研究;2013年05期

，

本文編號：2470606