监管压力对寿险公司风险承担的门限效应研究

本文以寿险公司为样本,采用我国2005年12月31日之前成立的33家寿险公司2006~2013年的年度数据,将寿险公司的风险分为承保风险和投资风险,运用联立的动态面板门限回归模型进行实证检验,研究监管压力与寿险公司风险承担行为之间的关系,以及监管压力对不同偿付能力的寿险公司风险承担行为的影响程度,以此来研究偿付能力监管的效力。实证结果显示,监管压力对寿险公司的风险承担行为存在门限效应,监管压力对不同偿付能力的寿险公司的影响程度不同。监管压力对偿付能力充足率低的寿险公司风险承担行为的影响不够显著,即不会使偿付能力不足的寿险公司显著降低自身的风险。这意味着偿付能力监管效力较低,不足以对偿付能力不足的寿险公司施加预期的影响。最后提出了一些政策建议,以期为我国保险业第二代偿付能力监管制度体系的建设提供一定参考。     

英美非寿险偿付能力监管体系的比较及启示

保险公司的偿付能力监管是监管的基础.其中,对资产充足性的监管是重中之重.对非寿险公司而言,资本金、公积金、公益金、未分配利润是所有者在公司的权益资产,是保险公司获得及保持适当偿付能力的关键.传统上对非寿险偿付能力的监管以英国和美国为代表,两国在非寿险偿付能力监管制度上各有特点.本文分别从指导思想、预警机制、干涉机制等方面对英美两国非寿险偿付能力监管体系进行详细分析并加以比较.     

化解利差损提高寿险公司偿付能力

偿付能力是考核寿险公司经营状况的主要指标,也是世界各国对寿险公司监管的重点.偿付能力不足是寿险公司面临的众多风险中最可怕的风险,将损害寿险公司的经营能力,破坏寿险公司的企业形象,严重的将导致寿险公司破产、倒闭.中国保险监督管理委员会近期宣布,我国的保险监管将由目前的市场行为监管和偿付能力监管并重,逐步向国际上通行的以偿付能力为核心的监管过渡.     

非寿险最低偿付能力资本研究

偿付能力监管作为保险业监管的三大支柱之一,越来越受到监管部门的重视。中国保险业的监管系统结合了欧盟和美国的监管方法,制定了我国保险公司的偿付能力监管措施。但是由于我国保险业不断发展壮大,旧有偿付能力监管体系相关参数的调整具有时滞,不能准确及时反映我国保险公司偿付能力情况。通过回顾非寿险公司最低偿付能力资本设置原理,基于我国18家营业时间长于5年的财产保险公司的经营数据,本文重新估计了非寿险偿付能力监管体系中的相关参数,并进行了一定调整,使之更适应当前市场环境。     

中美寿险公司偿付能力管理比较

偿付能力监管是实现保险公平、促进保险业健康成长的重要保证,各国保险监管当局都将确保保险公司的偿付能力列为首要任务。本文拟就寿险公司的偿付能力管理对保险监管最为完善的主要保险发达国家——美国与我国的有关法规进行比较,深入体会《保险法》和《暂行规定》,以加深对保险企业最低偿付能力的认识。     

我国非寿险公司偿付能力监管指标的因子分析

偿付能力的监管一直是政府对保险业监管的核心问题。监管的主要目标是为了能够做到早期预警,本文将使用因子分析的方法对该问题进行研究。本文根据美国IRIS监管体系、保监会《规定》和国内的相关研究文献,拟定了一套指标体系。再依据我国《2006年保险年鉴》中的数据,采用因子分析法,对我国非寿险公司进行实证分析,找出了影响我国非寿险公司偿付能力的几个主要因素,如公司的实力和规模、盈利能力以及资金的安全性等,并据此对我国非寿险公司的发展提出几点建议。     

新兴市场环境下我国寿险公司真实偿付能力的实证研究

本文研究了新兴市场环境下影响寿险公司偿付能力的潜在因素,并在此基础上抽取了三家中型寿险公司1998-2004年的数据,就寿险潜在需求、偿付压力期、产品结构、资本金等影响因素与偿付能力分别作了回归分析,试图给出整体因素对偿付能力的影响效果,并在已有结论的基础上对偿付能力的监管提出一些建议.     

从欧美财险公司破产看我国非寿险偿付能力监管

我国非寿险公司目前普遍存在的低估准备金、快速扩张、恶性竞争等问题,恰是欧美非寿险公司20世纪90年代破产的主要原因,从而对监管问题提出巨大挑战.目前,我国非寿险偿付能力监管模式存在结构上的缺陷,使其在很大程度上无法识别预警上述问题,并且结构上的缺陷不能通过修正计算比率、临界点加以弥补.因此,我国非寿险监管有必要借鉴美国风险基础资本RBC监管模式,探求以风险为导向的偿付能力监管的模式.     

我国非寿险业偿付能力监管实证分析

本文通过测算我国部分非寿险公司的偿付能力额度和监管指标状况,发现非寿险业整体偿付能力堪忧,认为偿付能力监管指标体系存在诸多不足,并据此对监管指标做了相应调整,提出了完善建议。     

我国非寿险业偿付能力监管实证分析

本文通过测算我国部分非寿险公司的偿付能力额度和监管指标状况,发现非寿险业整体偿付能力堪忧,认为偿付能力监管指标体系存在诸多不足,并据此对监管指标做了相应调整,提出了完善建议。     

An elusive panacea? The impact of the regulatory valuation regime on insurers' investment behaviour

This paper develops a framework to examine how the interactions between the valuation regime and solvency requirements influence investment behaviour of long-term investors with stable liabilities, such as life insurers. The results contribute to the debate over market-based valuation regimes, and shed light on new hybrid regimes explored in policy circles. We show that solvency requirements based on fair value regime can induce procyclical asset sales, but those based on historical cost valuation encourage insurers to engage in risk-shifting to the detriment of policyholders. A hybrid valuation regime, intended to address these unfavourable outcomes, does not strictly dominate the other two regimes on its own. However, market-based regimes can be made effective, if regulators calibrate their responses to solvency breaches using supervisory information about insurers' asset quality.     

Are non-risk based capital requirements for insurance companies binding?

We investigate whether insurers base their solvency margins on risk factors even when operating under a supervisory regime where minimum solvency requirements do not fully take such risk factors into account. To do this, we use a dataset of about 350 Dutch insurers from all major lines of business during the pre-Solvency II period 1995–2005. We find that the levels of insurers’ actual solvency margins are related to their risk characteristics and not to regulatory solvency requirements. Consequently, the vast majority of insurers hold much more capital than required, i.e. non-risk based capital requirements generally are not binding. Requirements are found to affect solvency adjustment behaviour, though. More specifically, below-target capital ratios are raised most rapidly by those insurers whose targets are relatively close to the regulatory minimum. One implication from our results is that, because insurers already follow a risk-based approach, the transition to the new European regulatory framework, Solvency II, is likely to be smooth.     

Competition,efficiency and soundness in European life insurance markets

This paper provides cross-country evidence on the association between soundness and competition in the life insurance industry, where competition is measured by the Boone indicator. We analyse 10 European Union (EU) life insurance markets over the post-deregulation period 1999–2011. The results indicate that competition increases the soundness of the EU life insurance markets. Since the Boone indicator measures competition based on the reallocation of profits from inefficient insurers to efficient ones, our results suggest that efficiency is the mechanism through which competition contributes to insurer solvency. The soundness-enhancing effect of competition is greater for weak insurers than for healthy ones.     

保险公司偿付能力风险信息对称性与市场供求

保险公司偿付能力充足性是保险监管的内容之一,但是这一信息却往往不被投保人所获知,造成保险供给(保险公司)和保险需求(投保人)两方信息的不对称.本文以保险公司存在偿付能力风险为基本假定,以累积性预期理论和风险调整资本收益率构建保险需求和供给模型,分析在信息对称条件下和信息不对称条件下保险需求的变化及其对保险供给和保险公司...     

保险公司次级债风险及监管研究

保险公司通过发行次级债,一方面可有效提升其偿付能力充足率,增强投资能力.另一方面,作为一条收益率较高的投资渠道,保险公司通过购买其他公司发行的次级债,可以提高投资收益率.本文通过数学建模,考虑次级债的风险情况,并基于研究结果指出目前保险公司次级债监管存在的不足,并给出了相关监管建议.     

The Capital Structure of Firms Subject to Price Regulation: Evidence from the Insurance Industry

Automobile and workers' compensation insurance are relatively homogeneous products sold under varying regulatory systems among the states. This paper investigates how price regulation affects the capital structure decisions of profit-maximizing insurers who sell insurance in both competitive and/or regulated markets. Specifically, we test the hypothesis that insurers subject to price regulation will choose to hold less capital. In addition, we hypothesize insurers subject to more stringent regulatory pricing constraints will choose even higher degrees of leverage because the benefits of holding additional amounts of capital are suppressed. We conduct empirical tests using cross-sectional data on insurers and find evidence consistent with both hypotheses. These findings have important implications for insurance price and solvency regulation. Stricter price regulation increases the default risk (i.e., reduces the financial quality) of insurance contracts purchased by individuals and firms.     

保险公司破产的国际经验与借鉴

本文结合国外保险公司破产的具体案例,综合分析了保险公司破产的原因,这些原因既有保险公司内部的原因,也有外部的竞争和经济环境因素,而这些破产的历史教训是预防保险公司破产、及时甄别出有破产风险保险公司的宝贵经验。本文还介绍了英国、美国和日本的保险监管措施,以及RBC、IR IS、FAST、动态财务分析四种偿付能力监管系统。最后总结了国外保险公司破产对我国的启示。     

Regulation of Insurance Markets

There have been major changes in the way European insurance markets are regulated, and there is still considerable debate about what the form and scope of regulation should be. This article examines the arguments for solvency regulation when consumers are fully informed of the insurer's insolvency risk. It is shown firms always provide enough capital to ensure solvency, unless there are restrictions on the composition of their asset portfolios. The conclusion holds even when competition means that only normal profits can be earned. This suggests that the role of regulation in insurance markets should be confined to providing consumers with information about the default risk of insurers.     

The impact of risk-based regulation on European insurers’ investment strategy

This paper examines the impact of Solvency II on the attainability of target returns, the attainability of portfolio efficiency and the asset allocation of European insurers. I start with a brief introduction to the Solvency II Directive, focusing on the rules for calculating solvency capital requirements (SCR) according to the Solvency II standard formula. The subsequent numerical analysis includes several portfolio optimizations focusing on six relevant asset classes for the 1993–2017 time period. I derive optimal portfolios with respect to the Solvency II capital requirements, with respect to conventional risk measures, and I combine both optimization problems. My results show that the capital requirements according to Solvency II are not adequately calibrated. Nevertheless, due to a solid equity base, the majority of European insurers are still able to attain high target returns and mean-variance-efficiency. However, undercapitalized insurers are not able to hold risk-optimal allocations of equities, real estate and hedge funds any longer. In an environment of very low interest rates, these insurers may also face difficulties obtaining their target returns. To the best of my knowledge, this is the first paper to explicitly incorporate the solvency capital requirement as a numerical constraint into the insurers’ portfolio optimization problem. As a result, my approach first provides insights about the attainable target return and the asset weights as a direct function of insurers’ equity.     

Aktienanlage für Lebensversicherer unter Solvency II

Life insurance companies are among the largest institutional investors. As part of their investment policy they are subject to special legal requirements. In particular the calculation of the solvency capital that has to be deposited for the market risk has changed under Solvency II. A widely spread thesis on this topic is that investments in equity have become unprofitable for life insurers due to solvency capital requirements – compared to previous periods of high equity ratios of temporally over 25%. Therefore insurers might have dropped their average stock quotas to below 5%.The intention of the present study is to analyze whether the capital requirements for the equity investments under Solvency II are a hurdle to achieve a reasonable profitability or – opposite to that – whether the equity investments are a suitable investment to provide an acceptable return on assets. For this purpose the solvency capital requirements of the equity investment under Solvency I considering the BaFin stress test are compared with the new solvency capital requirements under Solvency II including the symmetric adjustment factor (SA). Furthermore the diversification effects are taken into account; they are analyzed on the basis of the SFCR reports of the life insurance companies first published in 2017. As a result the risk capital requirements for equity investments under Solvency II have been reduced to more than 50% compared to prior solvency requirements and depending on the observed scenarios. Whilst Solvency I required an underlying risk capital of 31% at the end of 2017, Solvency II requires only 13.56% following the standard model and after aggregating the risk-mitigating effects in the group scenario. This effect results in a surplus of 7.2%, considering industry-standard capital costs for the underlying solvency capital and an average stock market return of 8% per annum. Consequently the equity investment is suitable to increase the profitability of the investments of German life insurance companies especially in the environment of low interest rates in the capital market for fixed income titles.