【作者】 陈迪红；

【导师】 张强；

【作者基本信息】 湖南大学 ， 金融学， 2013， 博士

【摘要】 保险企业是经营风险的企业，与其他金融企业相比，具有更多的不确定性。随着行业的快速发展，保险公司的经营环境发生深刻变化，公司经营过程中面临更多新的风险。资本是公司防范风险的能力体现，充足的资本是抵御风险的保障。有效的资本管理能够帮助保险公司累积资本，实现持续经营。经济资本从公司内部出发，反映保险公司自身风险，作为新兴的管理工具已在国外保险领域得到广泛运用。经济资本管理包括经济资本计量、配置、优化等多个过程。通过经济资本计量可有效识别和量化公司的偿付风险，确定经济资本需要覆盖的风险范围。另外，高效的经济资本配置能够把有限的资源运用到最能创造利润的业务中去，避免资源的浪费。同时，通过比较不同业务线的资本配置效率，可对业务线进行调整，获得最佳的业务线组合，实现风险既定情况下收益最大化。总体而言，经济资本管理能够指导公司的风险管理、战略管理和价值管理，为经营决策提供依据，有效防范偿付风险，增加公司价值。从经济资本角度研究偿付风险具有重大理论与现实意义。本文首先从偿付风险和经济资本的概念出发，界定偿付风险，将经济资本与账面资本、监管资本作对比以明确经济资本内涵。对偿付风险、经济资本计量、配置的研究状况进行了梳理，阐述了风险计量、相关性测度以及资本配置理论。进而对国内财险市场的偿付风险进行分析，通过灰关联分析探讨偿付风险影响因素以分析偿付风险的本质，将偿付风险分解为承保风险、市场风险、信用风险及操作风险。在此基础上，针对上述四种风险特性，分别构建不同计量模型。采用t-Copula模型刻画承保风险八条业务线间的相关关系；Copula-GARCH-EVT模型测度市场风险；数据外推法衡量信用风险；拓扑法描述操作风险。通过实证分析，获得各个风险的损失分布。进一步，利用藤Copula捕捉四种风险间的相关性，通过Wang变换对整合损失分布进行调整，构建出财产保险公司所应持有的经济资本总量的计量模型。其中，采用藤Copula对四种风险造成的损失进行整合，弥补了现有多元Copula无法根据实际数据灵活选择恰当函数的不足。此外，本文采用Wang变换取代VaR风险测度，满足了风险测度一致性要求，同时有效克服传统方法的尾部风险估计不足问题。在理论模型的基础上，针对我国某家财产保险公司的数据给出经济资本测算实例，并将所得与Solvency Ⅱ标准系数法的计算结果进行比较。结果表明，在衡量公司的实际偿付风险时，本文的方法较Solvency Ⅱ的标准系数法需持有较少的经济资本，证明藤Copula可更有效刻画风险间的相关关系，在保险公司所需实际经济资本测算中具有较明显优势。针对承保风险和市场风险，根据最小偏差测度，以每一条业务线与实际风险间偏差之和最小为目标，构建不同的配置模型进行经济资本配置。结果表明承保风险中车险配置资本最大，市场风险中金融债配置的资本最大。在业务线的调整上，以RAROC最大化为目标，不考虑现实条件的约束，构建模型优化这两种风险的业务线。结果表明，承保风险中将经济资本全部配置到车险上是最优选择；而市场风险则应加大国债和企业债的投资比例，降低金融债、证券投资基金和股票的投资比例。最后，根据资本配置过程中遇到的问题，本文分别从监管、行业协会和公司三个层面提出改进建议：监管当局构建偿付能力经济资本监管体系、行业协会充分发挥作用、公司建立公司经济资本配置系统。其中，监管体系的构建包括多样化经济资本测度模型、加强计量方法及数据的审核两方面。行业协会可通过畅通信息交流渠道、加强人才队伍建设与加快保险行业信息系统建设来发挥作用。公司经济资本配置系统的建设包括树立经济资本管理理念、改进偿付风险经济资本测度方法、构建科学的资本配置模型、选择合理绩效评价指标、建立资本配置反馈机制五个方面。更多还原

【Abstract】 Running a business dealt with risk, insurance companies face more uncertaintycompared than other financial firms. With the rapid development of the industry, thecompanies‘business environment has undergone profound changes, which bringsmore new risks to the insurance companies. Capital is the signal of the company‘sability against risks. Abundant capital ensures that the company has sufficient capitalto absorb the adverse situations. Effective capital management can help the insurancecompany with the accumulation of capital, sustainable sound operation anddevelopment. From within the company, the economic capital reflects its own risk andhas been widely used in foreign insurance industry as a new management tool. Theprocess of economic capital management includes economic capital measurement,allocation, optimization etc. Economic capital calculation can effectively identify andquantify the solvency risk, in turn determining the risky range that should to becovered by the economic capital. In addition, efficient economic capital allocationallows limited capital to the most profitable business, which avoids the waste ofresources. Meanwhile, by comparing the capital allocation efficiency among differentlines of business, the insurer can adjust the proportions of lines in orde r to get the bestcombination and maximize the return under a given risk. In general, the managementbased on economic capital is capable to guide the company’s risk management,strategic management and value management, which provides a basis for operatingdecisions, prevents the solvency risk effectively and as a result, increases the value ofthe company. Thus, the research of solvency risk based on economic capital is ofgreat significance in theory and practice.This dissertation starts from the definition of solvency risk and economic capital,which defines the solvency risk and compares economic capital with book capital andregulatory capital to make the connotation of economic capital clear. After settingforth the researches of solvency risk, economic capital measurement and allocation,this dissertation explains the theory of risk measurement, co-dependence and capitalallocation. Then it analyzes the solvency risk of the domestic property-liabilityinsurance market. After examining the influencing factors of solvency risk based onthe gray correlation analysis in order to find the essence of the solvency risk, thesolvency risk is decomposed into underwriting risk, market risk, credit risk and operation risk.On the basis of the above research, four different models are set consideringdifferent characteristics of the four risks. T-Copula is used to capture the correlationsamong the eight business lines of underwriting risk. Copula-GARCH-EVT model,data extrapolation technology and a topology model are used to describe the exposureof market risk, credit risk and operation risk respectively. Finally, an empiricalanalysis is introduced to get the loss distributions of each risk.Further, it constructs a model to calculate the total economic capital that theproperty-liability insurance company should hold in which vine copula is introducedto depict the co-dependence among the four risks and Wang transform is alsointroduced to adjust the integration loss distribution. Vine copula is used to integratethe losses caused by the four risks because that the existing multivariate copulas cannot choose appropriate function forms adapted to actual data flexibly. Besides, thisdissertation uses Wang transform instead of VaR as risk measure, which not onlymeets the characteristics of the consistency measures of risk, but also effectivelyovercomes the shortage of underestimating tail risk of the traditional methods. Basedon the model above, taking a representive property-liability insurance company as anexample, it calculates the total economic capital needed, which is compared with thatgained by Solvency II standard coefficient method. Emperical results show that whenmeasuring a company’s actual solvency risk, the method used in this dissertationallows the company holding less economic capital, proving that vine copula candepict co-dependence among different risks more effectively than Solvency IIstandard coefficient method, and that it has obvious advantages in calculatingeconomic capital an insurance company actually needs.As for underwriting risk and market risk, according to the smallest deviationmeasurement, minimuming deviation between each line of business and actual risk,this dissertation sets different allocation models to allocate economic capital. Theresults show that the capital allocated on auto insurance should be the biggest in theunderwriting risk and the financial bonds should be the biggest in the market risk. Asfor business line adjustment, aimed at maximize risk adjusted return on capital,ignoring real limitations, it sets up optimization model for underwriting and marketrisk. As empirical results shows, for underwriting risk, allocating all capital to theauto insurance is the best choice, while for market risk, treasury bonds and corporatebonds investment proportion should be increased, at the same time other‘s investmentproportion should be decreased. Finally, against the problems encountered in the capital allocation process, thisdissertation puts forward improvement suggestions from three aspects: the regulation,the association and the corporate. Regulatory authority should create economic capitalregulation system of solvency. The association should fully display its functional role.The corporate should construct economic capital allocation system. The constructionof regulatory system contains two aspects: deversifying economic capitalmeasurement methods and reinforcing the audit of methods and data. The associationshould play its functional role by keeping communication available, enhancing thecultivation of the specialized personnel and speeding up the construction ofinformation system. The economic capital allocation system of corporate contains fiveaspects, including cultivating economic capital management admosphere, improvingthe solvency risk economic capital measurement methods, choosing scientific capitalallocation models, selecting proper performance evaluation indexes and establishingcapital allocation feedback mechanisms.更多还原