【作者】 王丽珍；

【导师】 李秀芳；

【作者基本信息】 南开大学 ， 保险学， 2012， 博士

【摘要】 随宏观经济的发展和金融环境的改善，我国产险业正在经历高速发展阶段。由于产险业负债经营的特殊性和保费规模的迅速增长，产险业出现了持续的增资热潮，产险公司需要及时补充资本金才能够满足自身的发展目标和监管机构、评级机构的要求。在这一经济形势下，产险公司必须加强资本管理，提高资本利用效率，优化资本配置状况，并积极寻求融资策略，提前做好融资规划，防止公司陷入偿付能力不足的困境。由于产险公司的资本管理是一项多目标、全方位的系统工程，所以必须从整体上对公司做全面分析，实现产险公司相互矛盾、相互独立、相互补充等一系列经营目标。本文在分析我国产险业资本管理现状的基础上，将产险公司资本管理与多目标规划模型相结合，兼顾公司经营发展的多个目标，研究了产险公司的最优资本规模问题。本文共分为七章，主要结构和内容如下。第一章：引言。本章首先介绍了本文的选题背景和研究意义，梳理了关于保险公司资本理论的国内外发展现状。在此基础上，提出了本文的整体研究框架和研究方法。最后指出了本文的创新点和不足之处。第二章：产险业资本管理理论与我国的资本管理现状。资本理论经历了漫长的发展阶段，本章在梳理保险公司资本管理理论的基础上，主要研究了我国产险业的经营现状。利用34家产险公司的面板数据，建立局部联立调整模型，采用三阶段最小二乘方法对资本与组合风险的关系进行了实证检验。结果显示，资本增加使产险公司能够承担更多风险，但风险一定程度内的变化并不会导致增资压力；保费增长是导致资本增加的主要因素，规模发展对资本要求的必然性掩盖了我国产险公司盈利能力差的现状；偿付能力充足的公司改变资本和风险的速度大于偿付能力不足的公司。该研究结果表明，虽然长期而言，通过外部融资来提高偿付能力、维持业务的继续发展只能暂时缓解发展压力，并非长久之计。但是短期来看，在当前产险业盈利能力差的现实条件下，产险公司在合理利用资本并严格控制资本成本的基础上，必须积极寻求融资渠道，及时补充资本金以满足业务和机构发展的需要，防止偿付能力风险。所以当前产险业面临的一个重要问题是如何合理确定最优的资本规模问题。第三章：产险公司资本规模的多目标属性和多目标规划理论。产险公司经营的最终目标是公司价值最大化，但是其实际发展过程中却存在多个管理目标。这些目标主要包括公司规模、经营利润、资本回报率、风险控制、监管要求等。产险公司的多目标属性使得资本管理也必然从多目标的角度展开，所以产险公司资本的最优规模也需要从多目标的角度考虑。这里主要讨论了价值增值、资本成本控制、风险控制、监管要求等目标。随后，本章介绍了多目标规划理论，系统梳理了多目标规划模型的求解方法。第四章：基于多目标规划的产险公司最优资本规模和资产配置。本章针对产险公司经营中要实现的价值增值最大化、财务困境成本最小化和投资风险最小化目标，建立了承保风险和监管约束下的多目标最优规划模型。利用产险公司的赔付率数据拟合得到Copula函数，然后生成随机损失数据，并结合公司的实际经营情况设定参数对多目标规划模型进行求解。重点研究了不同权重、理想值或者预期目标对多目标模型最优决策的影响，并且比较分析了多目标规划模型的结果与产险公司的实际经营情况。研究发现，基于多目标模型的资本和资产决策能够实现公司的多个目标，有效改善公司的经营管理现状，防止公司追求单一目标所导致的发展困境，有利于产险公司实现可持续发展。第五章：多目标多阶段下的产险公司最优资本规模研究。本章考虑了产险公司的长期融资策略，以增加公司价值和控制资本成本为目标，在监管约束和破产约束下建立了基于多目标规划的资本规模模型，得到了保险公司的最优增资额度，并在此基础上将单阶段模型推广至多阶段。结果显示，除了保费、净资产、投资收益率之外，增资数额还主要受由摩擦成本率和财务困境成本率之比所决定的损失分位数以及公司可承受的尾部损失影响。产险公司需要以多目标模型为指导，提高融资的目的性和规划性。第六章：资本规模模型的应用分析。本章首先以产险公司的多目标资本规模模型为例，验证了基于多目标规划的最优决策的合理性。然后本章在检验不同阶段产险公司主要经营指标变化的基础上，分析了各阶段产险公司进行资本管理的主要内容，重点对现阶段产险公司应用多目标规划理论确定最优资本规模的必要性进行了分析。最后，本章阐明了多目标规划模型应用的局限性和注意事项，为多目标规划模型在产险公司经营管理中进一步推广应用提供指导。第七章：结论。更多还原

【Abstract】 With the improvement of economic and financial environment, China’sinsurance industry is facing a stage of rapid growth. Owing to the specialcharacteristic of insurance and the large scale of premium, insurance industryappears a surge of capital increase, in order that the companies can have enoughcapital to satisfy their own development aims, the requirment of regulators andrating organizations. Under this condition, all the insurance companies muststrengthen the capital management, improve the utilization efficiency of capital,better off the capital allocation. The importmance is that, companies need to seek thefinancing channels, plan for financing in advance to prenvent themselves fromfalling into insolvency. Because capital management is a complicated systemsengineering, so insurance companies must analyse on the whole to realize theobjectives which are mutual independent, incompatible, complementary. Based onthe analysis of the current capital management conditions, this paper combines thecapital management theory with the multi-objective planning models to improve theability of capital management.This paper includes seven chapters. The structure and content are as follows.Chapter one is introduction. It introduces the background and meaning of thewhole paper, and summarizes the insurance capital theory of present situation. Basedon this, we give a whole research framework and research approach of the paper.Finally, we point out the innovation points and deficiency.Chapter two is about the capital management theory and the state of China’sinsurance industry. Capital theory experiences a long-run development. On the basisof generalizing the theory foundation, we mainly study the present situation ofinsurance in China. Using the panel data of34property&casualty insurancecompanies, this paper conducts the three-stage least squares procedure to estmate asimultaneous equations model in order to determine the relationship between therisk and capital and their influence factors. The result shows that the increase of capital makes companies have the ability to undertake much more risk, but thechange of risk in a limited extent may not cause capital raising pressure. Theincrease of premium is the main factor leading to capital requirement. We also findthat companies with solvency change thire capital and risk faster than companieswith insolvency. The results imply that, although it is not an efficient method toraise capital to ensure the solvency and development in the long run, insurancecompanies must seek financing channel and raise capital as soon as possible tomaintain normal development and gain time for the companies to change theirobjective from scale to benefit. So the companies all face an important problems thathow to determine the optimal capital.Chapter three is concerning insurance companies’property of multi-objectiveand the theory of multi-objective planning theory. The ultimate objective ofinsurance company is maximizing the value of themselves, but among theirdevelopment, there exists many sub-objectives, including company size, operatingprofit, the return of capital, risk control, supervising restraint and so on. Thisproperty of multi-objective causes the company should be managed from differentangles. Then this charter discusses the theory of multi-objective planning, andpresents the method of solving multi-objective models.Chapter four is asset allocation and optimal capital size of insurance companybased on multi-objective planning. Aimed at the value added maximum, financialdistress costs minimum, and investment risk minimum objectives, the charterconstruct a multi-objective programming model limited by underwriting risk andsupervision restraint. We first use the operation data to get the Copula functions,then we generate random loss data to setup parameter in case to solve the model.The research focuses mainly on the influence of the different weights, ideal points,and expected goals. The results show that this model can realize a lot of objectives,and also can improve the present situation of operation and management. At thesame time, it is favourable towards the sustainable development of insurancecompanies.Chapter five is optimal capital size with multi-objectives and multi-stagesmodel. This chapter sets up value added and capital cost as the main objectives, and builds up a multi-objectives model with a constaint of supervision and bankrupt. Weget the optimal capital and based on this, we extent the model to multi-stages. Theresults implys that, apart from premium, net asset, ruturn on investment, the optimalcapital also influence by the loss quantile determined by the rate of friction cost andfinancial distress cost. This model can effectively guide the companies to improvethe purposiveness and planning of raising capital.Chapter six is applied analysis of capital optimal size model. This chapterfirstly axamines the rationality of the model, and then analyze the change ofdifferent operation indexes to give capital management stratrgy aimed to differentstages. The last part is the limitations and the matter need attention of the models.The last chapter is conclusions.更多还原