保险负债评估的基本公式及其在IFRS17中的应用

从现有的会计准则向IFRS17转换时,过渡日保险合同负债计量中,公允价值法具有重要的地位.本文首先讨论了公允价值法中两种评估方法AAM(actuarial appraisal method)和OPM(option pricing method)之间的等价关系,利用数学归纳法给出这个等价公式的数学证明;然后推导出保险负债评估的基本公式;引申出了基于MDEV的公允价值评估方法.本文中的基本公式能够直观揭示寿险公司价值评估和准备金之间的直接关系,把剩余边际、内含价值和实际资本都统一在同一框架下,欧洲所流行的MCEV可以视为MDEV的一个特殊情景.在实证分析中,将MDEV模型用于负债的公允价值评估.本研究将对IFRS17准则下基于公允价值的保险负债评估提供落地的解决方案.     

非寿险保险合同负债计量的演进与比较——基于中国上市产险公司准则转换数据

保险合同负债的计量是保险会计的一大世界性难题.日前在国际保险会计领域正进行一次重大变革,公允价值计量将全面引入保险合同负债计量.通过对美国公认会计准则、美国监管会计准则、国际会计准则以及欧洲偿付能力二号等有关保险合同负债计量方法的比较,能够反映出相关会计理念的演进过程.同时,从中国上市保险公司披露的真实数据出发,可以分...     

保险负债的风险价值边际:评估方法及应用

国际会计准则委员会(IASB)正在实施一个关于保险合同的会计项目,其目的在于使保险公司的资产负债表以公允价值来计量。保险负债的公允价值以市场脱手价格为计量基础,可由最优估计价值和风险市场价值边际两部分构成。本文以公允价值的计量理论为基础,提出资本成本法这种风险价值边际的核算方法,并以财产险保单为例探讨该方法的应用。     

新会计准则：公允价值是亮点

公允价值法，是历史成本法、重置成本法、可变现现值法和现值法等会计准则体系中最重要的资产评估方式之一。在公允价值计量下，资产和负债按照在公平交易中，熟悉情况的交易双方自愿进行资产交换或者债务清偿的金额计量。[编者按]     

企业负债价值评估方法探析

本文认为,企业负债账面值与负债公允价值是两个不同的价值概念,简单套用审计核实后企业实际负债为评估值,在很多时候可能存在高估或错估负债价值的情况.并对资产评估中负债的概念、负债评估的类型、负债价值评估的理论基础、负债会计计量和价值评估的主要差异以及负债价值的评估方法提出了作者的观点.     

新会计准则下金融资产的会计分类——来自四家A股上市保险公司的实践

<正>2023年1月1日,《企业会计准则第22号——金融工具确认和计量》和《企业会计准则第25号——保险合同》同时在上市保险公司中实施,预计将于2026年推广至所有保险公司。两项新会计准则引入了全新的金融资产分类：更大比例的资产以公允价值评估;保险合同负债跟随当期利率同步变动;资产负债不匹配的后果直接在财务报表中体现。这些变化大幅增加了保险公司净利润和净资产的波动性。保险公司在财务报表中应该如何对资产进行会计分类,才能减少新准则对财务结果的影响？     

公允价值会计对保险公司财务报告的影响

主要探讨公允价值会计对财务报告体系和结构的影响。公允价值会计对财务报告的各要素都产生重大影响,从而影响保险公司财务报告本身。其中关键的因素是保险负债的评估,虽然保险责任准备金没有直接的市场价格,但是,只要构成保险责任准备金的各种要素反映了市场价格,就可以认为保险责任准备金具备了公允价值。在假设层面上,行业假设是假设市场...     

从当前金融危机看我国公允价值会计

公允价值会计是指以市场价值或未来现金流量的现值作为资产和负债的主要计量属性的会计模式。公允价值会计为财务状况的准确反映和收益的准确确定提供了可靠的基础。但是在本次金融危机中公允价值会计饱受指责,我国公允价值会计取向令人关注。     

非金融负债计量属性和方法的选择

以财务会计目标为起点，笔者分析了羡国财务会计准则中公允价值、现值技术在非金融负债计量使用中的必然性，并指出：期望现金流量技术，以公允价值计量为唯一目标的现值技术，较之其他估计方法，无论在相关性还是可靠性上，均具有优越性。     

信用风险对公司财务报表金融负债公允价值变动损益列报的影响

公司主体信用风险发生变动时,采用公允价值计量的负债的公允价值变动损益会带来"反直觉"的效应,容易造成财务报表信息使用者误解。本文在梳理国内外信用风险对金融负债公允价值变动损益影响的实证和实验研究的基础上,列示汇总了金融负债公允价值变动损益列报形式的变革及其争议,发现在现阶段金融负债公允价值变动损益列入"其他综合收益"科目较优。     

Die Ermittlung von Risikozuschlägen bei der Zeitwertbewertung von Verpflichtungen aus Schadenversicherungsgeschäften

The IASB proposes fair value accounting of insurance liabilities in the new IFRS on insurance contracts. These liabilities are not systematically traded in markets. Therefore the estimation of a fair value is only possible by simulating a market transaction. This simulation can be carried out by using financial models like the Capital Asset Pricing Model and the Economic Capital Model. In order to determine the fair value it has to be tested if those models can realistically calculate the insurance risk of the liabilities. This includes analysing the nature and extent of risk measurement as well as the assumptions the models are based on. The particular problem of the Capital Asset Pricing Model consists in measuring the risk by betas. An insurance beta can only be determined by relating it to other directly measurable betas. Those relationships can only be developed by putting forward special assumptions which increases the likelihood of a subjective valuation. The Economic Capital Model on the opposite is able to measure the insurance risk. The analysis of the models is carried out under simplified assumptions. Therefore it remains to be proven that the Economic Capital Model can also handle a more specific view of the insurance risk.     

Issues in the Drive to Measure Liabilities at Fair Value

This paper compares the discussion on liability measurement in Accounting The0y Monograph 10 with the liability measurement requirements in recent international proposals on accounting for financial instruments. Rather than conducting a detailed review of the Monograph, the paper examines three major issues which wawant amplifjing, extending or criticising: What is “fair value”? Why fair value liabilities? Should fair value include an entity's own credit risk? The focus is on financial liabilities such as “plain vanilla” debt; other financial liabilities, such as insurance obligations, pensions, wawanties and environmental damage restoration involve additional considerations and are therefore not considered.     

Zur Entscheidungsnützlichkeit eines IFRS-Abschlusses von Versicherern – Analyse der angedachten Regelungen zum endgültigen IFRS 4

In its Discussion Paper from May 2007 for the final IFRS 4 (“Insurance Contracts”), the IASB planned the “Current Exit Value” (CEV) to evaluate insurance liabilities. The aim of this article is to examine the impacts of the planned Current-Exit-Value-Approach on the decision usefulness of insurers' financial statements. In order to evaluate accounting rules, the criterion decision usefulness is divided into two sub-criteria – relevance and reliability. We found out that the Current-Exit-Value-Approach for insurance contracts in conjunction with fair value accounting of relating assets actually generates relevant information for users of insurers' financial statements. But we have serious concerns about a cost-adequate implementation of CEV approach. Furthermore, the reliability of accounting information based on a synthetic fair value is strongly questionable. Only extensive disclosure requirements can bring transparency to users and therefore assure reliable accounting information. Besides, there are other topics that should be reviewed before releasing a final standard (e.?g. customer relationship, credit characteristics of insurance liabilities, unit of account).     

Valuation portfolio in non-life insurance

The purpose of this paper is the construction of the Valuation Portfolio (VaPo) for a non-life insurance company. The VaPo represents the obligations of the insurer for the whole period of his insurance contracts. These obligations are not simply measured by a one-dimensional figure (as standard for reserves in practice), but are expressed as a portfolio of financial instruments. Hence, the actuarial reserves become multidimensional. The financial instruments in the VaPo are a properly chosen basis to represent the future cashflows resulting from the insurance contracts.

In this setup, financial and technical risks are clearly separated. The financial fluctuations derive from the basis elements, the technical fluctuations are covered by an increased number of basis elements (VaPo protected against technical risks). We show how this protection can be calculated in the case of a non-life insurance company.     

On accounting standards and fair valuation of life insurance and pension liabilities

The actuarial profession is increasingly teaming up with financial economists for a fruitful cooperation on the proper valuation of life insurance and pension (L&P) liabilities. This has been a natural consequence of a recent sharply increased focus on market values in financial reports of L&P companies from regulators, standard setters, the financial press, stakeholders, and others with an interest in the L&P business.

This article provides a financial economist's point of view on recent developments in relation to the fair valuation of L&P liabilities. The role of accounting standards and the background for the international harmonization in this field are first discussed. We then review and explain the concept of fair value and provide a general view on appropriate techniques for estimating fair values of L&P liabilities in accordance with the definition of the concept. The paper also contains a section which briefly reviews recent and quite innovative regulatory initiatives in relation to market value reporting in the Danish market for life and pension insurance.     

关于保险合同负债计量的几个问题

同一家保险公司按照不同国家和地区的会计准则,损益结果差异较大,对于欲统一全球会计准则的国际会计准则理事会(IASB)而言,这是无法容忍的。随着IASB关于保险合同第二阶段会计准则的推进以及中国资本市场的快速发展,我国现行的保险合同会计实务已经无法满足会计信息使用者的决策需求,对保险合同负债计量方法的一场革命已经迫在眉睫。本文先分析我国保险合同负债计量的现状,在此基础上全面分析和研究保险合同负债计量的理论基础、发展趋势,进而提出政策建议。     

A note on value relevance of mark-to-market values of energy contracts under EITF Issue No. 98-10

This paper examines whether marked-to-market values of energy trading assets and liabilities of companies that enter into energy contracts are related to market value of equity. The Emerging Issues Task Force of the Financial Accounting Standards Board ruled in November 2002 to ban the use of mark-to-market accounting for energy contracts out of concern that fair values can be easily inflated. We find that the excess of fair value over original value of energy trading assets and energy trading liabilities is not relevant for valuation. It may be inferred that fair values which are subject to management estimates and not verifiable are poor signals of worth and performance (Watts, R., 2003. Conservatism in accounting Part I: Explanations and implications. Accounting Horizons 17, 207–221).     

Market Value Margin für die Fair Value-Bilanzierung versicherungstechnischer Verpflichtungen : Ableitung auf Basis des CAPM

The International Accounting Standards Board (IASB) started a project on Insurance Accounting to apply the principles of fair value to insurance businesses. The so called ?asset and liability approach“ would focus on the balance sheet, with both assets and liabilities being reported at fair values, while income and expenses are defined in terms of changes in the values of those assets and liabilities. Indeed, there are no deep and liquid markets for insurance liabilities. Thus, the fair value has to be calculated as a theoretical value, using assumptions concerning future events, risk provisions and discount rates. Both in theory and in practice a generally accepted modelling of fair value is missing. Particularly with regard to the deviation of a Market Value Margin (MVM), which reflects the premium that a marketplace participant would demand for bearing the uncertainty inherent in the cash flows, there is a need for adequate modelling. Transforming the CAPM for determining risk loads in insurance will mean measuring the correlation between insurance companies’ returns from underwriting and market returns on its shareholders’ equity. The criticism on an underwriting beta focuses on (a) the basic assumptions of the CAPM, (b) the absence of active markets for insurance liabilities and (c) the unreliability of estimating underwriting betas.     

Management Perceptions of Fair-Value Accounting for all Financial Instruments

Accounting for all financial instruments at fair value is a controversial issue currently under review by standard-setters. Banking industry associations have typically opposed the use of fair-value accounting for financial instruments. This study examines perceptions of managers at financial institutions regarding support for recording all financial instruments at fair value. Managers at financial institutions do not uniformly oppose the use of fair-value accounting for all instruments. Considerable variation is found, ranging from strong support to strong opposition. Support for fair-value accounting is negatively associated with concern about excess volatility in reported earnings. There is less concern that the fair value of assets and liabilities cannot be reliably measured.