【作者】 尚颖；

【导师】 张连增；

【作者基本信息】 南开大学 ， 保险学， 2012， 博士

【摘要】 寿险公司偿付能力是指寿险公司承担所有到期债务和未来责任的支付能力，偿付能力的高低，直接关系着寿险公司的稳定运营和市场竞争力。然而，寿险公司偿付能力不足问题却屡见不鲜，从世界范围来看，美国、日本、英国、澳大利亚等发达国家均出现过寿险公司偿付能力不足的现象。20世纪90年代末，我国寿险公司偿付能力不足问题就已显现，其中中国人寿、平安人寿、太平洋人寿三大寿险公司遗留的利差损问题成为了寿险业偿付能力不足的主要原因。近年来，寿险公司的偿付能力危机依然频现，平安人寿、泰康人寿、新华人寿、华泰人寿、中意人寿等寿险公司均先后出现过偿付能力充足率下降的局面。总体来看，整个寿险行业的偿付能力状况仍有待于进一步改善。在寿险公司自身存在偿付能力不足和下降问题的同时，保险监管部门对寿险业偿付能力的相关监管工作也存在着一定的缺陷，如偿付能力监管预警机制欠缺、监管评估体系尚不成熟、监管执行体系不完善、监管约束机制不健全、监管信息披露制度不完备等。综合寿险公司与保险监管部门两方面问题的考虑，加强寿险公司偿付能力监管体制，特别是寿险公司偿付能力预警机制的建设至关重要。预警机制的建立，既可以为寿险公司偿付能力水平的提升指明方向，也可以为寿险公司偿付能力监管体系的完善奠定坚实的基础。因此，本文的核心内容是构建一套具有动态性的寿险公司偿付能力预警机制：一方面，可以为寿险公司所用，使其能够及时的审视自身存在的偿付能力问题，了解影响其偿付能力变化的主要因素，以制定相应的改善措施，做到提前预警；另一方面，也可以为保险监管部门所用，不仅有利于了解整体寿险业偿付能力变动的原因，制定宏观性的监管政策，也有利于重点加强对偿付能力不足公司的监管，制定微观性的监管政策，并在此基础上配合其他相关体制建设，进一步完善我国寿险公司偿付能力监管体系，提升寿险公司的偿付能力水平。本文以寿险公司偿付能力动态预警机制的构建为主线，主要包括四部分内容：理论基础、现状及问题、模型构建、结论与建议。研究寿险公司偿付能力动态预警及监管体系，首先应从理论基础入手，本文第二章介绍了需求理论、竞争理论、资产配置理论、风险理论、预警理论、破产理论、市场失灵理论、监管博弈理论、动态一般均衡理论和动态企业理论等相关理论，为全文的分析奠定基础。其次，是现状及问题部分，即本文的第三章和第四章。这部分也是寿险公司偿付能力动态预警机制建立的背景。研究寿险公司偿付能力动态预警机制，原因之一在于寿险公司偿付能力时常会面临下降的威胁，进而影响寿险公司的正常运营，而建立动态预警机制，恰恰可以对寿险公司可能出现的这种偿付能力危机起到预警作用。因此，应该首先明确我国寿险业偿付能力为什么会出现下降的局面，以及各家寿险公司是如何解决这一问题的。从历年寿险公司的发展来看，利差损、过快的业务增长、不足的资金注入、不良的产品结构、不合理的投资结构等都会成为制约寿险公司偿付能力提升的障碍，而针对这些问题，各家公司采取了三种最典型的解决措施，即完善融资体系、调整业务结构和拓宽投资渠道。研究寿险公司偿付能力动态预警机制，原因之二在于寿险公司偿付能力监管体系的不完善，预警机制作为偿付能力监管体系的重要组成部分，能够引导保险监管部门作出有效的监管决策。基于此，本文对我国寿险公司偿付能力监管的发展历程、现状及存在的问题进行了分析，并借鉴国外偿付能力监管的先进经验，如保险监管信息系统、财务分析和偿付能力跟踪系统、偿付能力额度监管、风险资本要求监管等静态偿付能力监管方式和现金流量测试、动态偿付能力测试、动态财务分析等动态偿付能力监管方式。再者，是模型构建部分，包括本文第五章和第六章的相关内容。研究寿险公司偿付能力动态预警机制，最关键的环节是寻找影响寿险公司偿付能力水平的主要因素，本文从内外两个角度出发，对可能影响寿险公司偿付能力水平的各种因素进行了详细的分析。在此基础上，结合国外偿付能力预警机制采用的相关指标，最终选取了一些具有代表性、可衡量的影响因素引入偿付能力预警模型。该模型采用了Logit有序响应模型分析方法，分两个阶段进行建模。结果发现，不同阶段寿险公司偿付能力显著性影响因素不同，即预警指标体系的构成不同。因此，寿险公司偿付能力预警机制是一个动态变化的过程，尤其从长期来看，这种动态性特征更为明显。但这种动态变化也遵循一定的规律，其中也会存在一些较为稳定的因素，因此，就短期来看，寿险公司偿付能力预警指标依然可能包括两个阶段中所共有的显著性影响因素：资产认可率指标、流动比率指标、总资产增长率指标、自留保费增长率指标以及公司发展系数指标。最后，是结论与建议部分，即本文的第七章。总结了全文的研究成果，并提出了四点完善寿险公司偿付能力动态预警及监管体系的相关建议。一是建立静态与动态相结合的监管预警体系，包括优化寿险公司偿付能力预警指标、改进寿险公司偿付能力评估方法、规范寿险公司动态偿付能力测试；二是加强会计制度、信息披露制度、寿险精算师制度、现场检查制度、信用评级制度等偿付能力监管的相关制度建设；三是完善寿险公司偿付能力风险管理机制，尤其是全方位的资产负债管理；四是提高寿险公司偿付能力监管能力，包括创新监管理念、改进监管方式、健全监管配套措施等。更多还原

【Abstract】 The solvency of life insurance companies refers to the payable abilities of allthe maturity debts and future obligations that life insurance companies shouldundertake. The solvency level is directly related to the stable operations and marketcompetitiveness of life insurance companies. However, the insolvency problems oflife insurance companies are not uncommon. From a global perspective, there havebeen the phenomena of insolvency in life insurance companies, such as USA, Japan,Britain, Australia and other developed countries. In China, the insolvency problemshave already emerged in the late1990s, and the remnants loss of interest spreadbecomes the main reason for the insolvency of life insurance industry, especially inChina Life Insurance, PingAn Life Insurance and Pacific Life Insurance. Recently,the solvency crisis of life insurance companies is still frequent, and the solvencyadequacy ratio has declined, such as PingAn Life Insurance, TaiKang Life Insurance,XinHua Life Insurance, HuaTai Life Insurance, ZhongYi Life Insurance, etc. Overall,the solvency of the entire life insurance industry should be further improved. Whilefacing with the situations of insolvency and decline, the insurance regulatorydepartments also exist certain defects to supervise the solvency, including lack ofsolvency early warning mechanism, immature of regulatory evaluation system,imperfection of regulatory execution system and regulatory constraints mechanism,incomplete of regulatory information disclosure system.Taking account of two aspects about the life insurance companies and theinsurance regulatory departments, strengthening the solvency regulatory system,especially the early warning mechanism is essential. The establishment of earlywarning mechanism can not only point to the direction of improving the level ofsolvency, but also lay a solid foundation for perfecting the solvency regulatorysystem. Therefore, the core content of this paper is to build a dynamic solvency earlywarning mechanism of life insurance companies. On one hand, it can be used by lifeinsurance companies to examine their own solvency problems timely, and understand the main factors that affect their solvency changes in order to developappropriate improvement measures and achieve early warning; On the other hand, itcan also be used by insurance regulatory departments, not only to understand thereasons for solvency change of the overall life insurance industry, and formulate themacro-regulatory policies, but also to strengthen the regulatory to the insolvencycompanies, and formulate the micro-regulatory policies. On this base, it also needsto further improve solvency regulatory system of life insurance companies with otherrelated institution-building to enhance the solvency level of life insurance companiesin China.As a main line to build the solvency dynamic early warning mechanism of lifeinsurance companies is, this paper is divided into four parts: theoretical basis, currentsituation and problems, model building, conclusions and recommendations.Researching on the solvency dynamic early warning and regulatory system oflife insurance companies, the first to be considered is the theoretical foundation. Thesecond chapter, which lays the foundation for the analysis of the full text presentsdemand theory, competition theory, asset allocation theory, risk theory, early warningtheory, bankruptcy theory, market failure theory, regulatory of game theory, dynamicgeneral equilibrium theory and dynamic enterprise theory.Secondly, the third and fourth chapters present the current situation andproblems, and this part is the background that the solvency early warningmechanism of life insurance companies establishes. One of the reasons to researchon the solvency early warning mechanism of life insurance companies is that thesolvency of life insurance companies often face the threat of falling, and affect thenormal operation of the life insurance companies, and early warning mechanism cangive an early warning to the solvency crisis of life insurance companies. Therefore, itshould first clear that why the solvency of life insurance industry has declined, aswell as how to solve this problem in China. From the development of the lifeinsurance companies over these years, loss of interest spread, too fast businessgrowth, shortage of funds injections, adverse product structure, and irrationalinvestment structure have been the restricting elements to improve the solvency oflife insurance companies. However, to solve these problems, each company tends to take three typical measures: improving the financing system, restructuring businessand broadening investment channels.The other reason to research on the solvency early warning mechanism of lifeinsurance companies is that it can help to perfect the solvency regulatory system. Asan important part of the solvency regulatory system, early warning mechanism canguide the insurance regulatory departments to make effective regulatory decisions.Based on this, this paper analyzes the development process, the current situation andexisted problems of solvency regulatory of life insurance companies in China, anddraws some advanted lessons from foreign solvency regulatory system, whichinclude static solvency regulatory approaches, such as insurance regulatoryinformation system, financial analysis and solvency tracking system, statutorysolvency margin, risk based capital, etc, and dynamic solvency regulatoryapproaches, such as cash flow testing, dynamic solvency testing, dynamic financialanalysis, etc.Furthermore, the fifth and sixth chapters present model building. Researchingon the solvency early warning mechanism of life insurance companies, the mostcritical part is to find the main factors which affect the solvency levels of lifeinsurance companies. Starting from both internal and external aspects, the paper hasanalyzed a variety of factors that may affect the solvency level of life insurancecompanies. Based on this, combined with the relevant foreign solvency earlywarning mechanism, it ultimately selects some representative, measurable factors inthe solvency early warning model. It uses the ordered response model with twophases. The result shows that the influence factors of the solvency are different indifferent phases, which means that the indicators composition of the early warningsystem is different. Therefore, the solvency early warning system of life insurancecompanies is a dynamic process, and the feature of dynamic is more obvious,especially in long term. But the dynamic process is also following certain rules, andthere are some relatively stable factors. In short term, the indicators composition ofthe early warning system will still include the factors which significantly affect thesolvency in two phases: the assets recognition rate indicator, liquidity ratio indicator,total assets growth rate indicator, retained premium growth rate indicator and company development coefficient indicator.Finally, the seventh chapter presents the conclusions and recommendations. Itsummarizes the research results of the full text and raises four recommendations toperfect the solvency early warning and regulatory system of life insurancecompanies. Firstly, to establish the static and dynamic system of early warning andregulatory, which includes optimizing the solvency early warning indicators,improving the solvency assessment methods, and regulating dynamic solvencytesting; Secondly, to strengthen the construction of the solvency regulatory, such asaccounting system, information disclosure system, life insurance actuary system,on-site inspection system, and credit rating system. Thirdly, to improve themechanism of the solvency risk management, especially improve the asset andliability management. Fourthly, to enhance the abilities of solvency regulatory, suchas regulatory concepts, regulatory approaches, regulatory support measures, and soon.更多还原