“偿二代”下产险业准备金风险:数据基础与计量模型  

The Reserve Risk for Property & Casualty Insurance Sector due to C-ROSS: Data and Models

作　　者：沈立[1] 谢志刚[1] 

机构地区：[1]上海财经大学金融学院,上海200433

出　　处：《保险研究》2014年第11期80-93,共14页Insurance Studies

基　　金：国家自然科学青年基金项目(71103117);上海财经大学研究生创新基金资助项目(CXJJ-2012-379)资助

摘　　要：正在建设中的中国第二代偿付能力监管制度体系正尝试建立起一套全面反映保险公司面临风险的偿付能力资本要求标准。其中对于产险业,"偿二代"设置了准备金风险的资本要求,其核心是应对准备金提取不足的风险。本文运用一家典型中资产险公司的数据,对比了数据类型、数据周期、险种分类等数据基础以及确定性方法和随机性方法对准备金风险评估结果的影响,并测算了不同置信水平下的准备金风险资本要求。通过将测算结果与"偿二代"的资本标准进行比较,发现除船货特险和意健险外,"偿二代"下资本要求与95%置信水平下的资本要求结果比较接近,反映监管机构在制定监管标准过程中更多地考虑到了我国财险行业的实际情况。The aim of China Risk Oriented Solvency System （C-ROSS） is to construct a risk sensitive solvency re- gime for China＇ s insurance industry. C-ROSS is to set up capital requirements for reserve risk of P＆C insurers a- gainst the risk of under-reserving. In this paper, we studied the impacts of reserve risks for a typical domestic P＆C insurer based on its data fundamentals such as data types, data duration and data categorization and through the ap- plication of the deterministic method and the stochastic method. We also projected capital requirements at different confidence level. We found out that the capital requirement at 95 % confidence level was closed to C-ROSS＇ s cap- ital requirement except for cargo, ship and special insurance and accident and health insurance, which reflected the regulator＇ s consideration of China＇ s P＆C market＇ s actual situation in setting up regulatory standards.

关 键 词：准备金风险 索赔进展结果 Bootstrap随机模拟 财产保险 

分 类 号：F840.32[经济管理—保险]