中国非寿险公司偿付能力最低资本要求研究  

A Study on the Minimum Solvency Capital Requirement of China's Non-life Insurers

作　　者：周县华[1] 王云波 

机构地区：[1]中央财经大学中国精算研究院,北京100081 [2]安华保险研究院,北京100037

出　　处：《保险研究》2014年第7期19-33,共15页Insurance Studies

基　　金：国家自然科学基金青年项目(71102125);教育部人文社会科学重点研究基地重大项目(13JJD790040);北京市青年英才计划资助

摘　　要：本文基于Campagne（1961）模型，利用中国非寿险行业2009～2012年公开披露信息数据，对中国“偿一代”中所规定的最低资本要求标准进行检验。研究发现：（1）中国“偿一代”中关于最低资本要求的比率落在本文的估计区间内并偏最小值近一些。这表明现行标准是偏激进的，但仍在可接受范围之内。（2）以自留保费为分母计算的赔付率并不能反映公司的实际赔付率与承保风险状况。以已赚保费为分母计算出来的最低资本需求比率要比以自留保费为分母计算出来的结果平均高3．5个百分点。（3）正态分布条件下估计出来最低资本需求比率要比Beta分布条件下的结果高，平均要高出近3个百分点。本文的研究是中国保监会公布“偿二代”改革方案以来，对“偿一代”中最低资本要求的最完整的测试和总结，这无疑对“偿二代”的建设具有很好的启发意义。This paper employed publicly available data from non-life insurers during 2009 ~ 2012 in China to test the minimum solvency capital requirement standards by China＇ s Solvency I,based on Campagne （1961）＇s model. The study had three findings. Firstly, the minimum solvency capital requirement standards in China＇ s Solvency I fell in the range we estimated, and it was closer to the minimum bound,implying that the current standard was aggressive but remained acceptable. Secondly, the loss ratio calculated using retained premiums as the denominator did not reflect the company＇ s actual loss ratio and underwriting risk. The minimum solvency capital ratio was 3.5 percentage points higher on average if earned premiums, compared to retained premiums, were used as the denominator. Finally,the minimum solvency capital ratio was almost 3 percentage points higher on average if estimated under a normal distribution rather than a Beta distribution. Since CIRC announced the C-ROSS reform in China, this study has been the most complete and in-depth test doubtedly provide constructive insights for the development and summary of China＇ s Solvency I. This paper will un- of C-ROSS.

关 键 词：偿付能力 VAR 偿付能力最低资本 偿二代 

分 类 号：F840.3[经济管理—保险]