欧盟偿付能力Ⅱ下的保险公司信用风险分析——基于KMV模型  

Credit Risk Analysis of Insurance Companies under EU Solvency II——Based on KMV Model

作　　者：王颖[1] Ying Wang(Hubei University of Technology,Wuhan,Hubei,430068,China)

机构地区：[1]湖北工业大学,湖北武汉430068

出　　处：《财经与管理》2019年第6期6-9,共4页Finance and Management

摘　　要：欧盟偿付能力Ⅱ实施的重要目的就是建立一个科学的偿付能力框架来实施高效的保险公司偿付能力管理,以提升欧洲保险监管效率。在欧盟偿付能力Ⅱ体系下,对于资本需求的计算提供了一种新型的模型——即内部模型。那么在这种新型的模型下,对于信用风险的矫正的准确性是否充分,将是本文的研究目的。本文将比较研究这种新型的资本需求计算方式,通过KMV模型来预估保险公司的预期违约率,以期能得出在欧盟偿付能力Ⅱ下所使用的内部模型的有效性。The most important purpose of the implantation of EU solvency II is to set up a scientific and efficient framework of insurance company solvency management,in order to enhance the European insurance regulation efficiency.In the EU solvency II system,a new model for the calculation of the capital requirement——internal model is provided.Therefore,whether the accuracy of credit risk correction is sufficient is the main aim of this paper.This paper will compare and study this new calculation method of capital demand,and estimate the expected default rate of insurance companies by KMV model,in order to obtain the effectiveness of the internal model used in EU solvency II.

关 键 词：欧盟偿付能力Ⅱ 内部模型 KMV模型 

分 类 号：F83[经济管理—金融学]