Product pricing and solvency capital requirements for long-term care insurance

This paper presents a comprehensive assessment of premiums, reserves and solvency capital requirements (SCRs) for long-term care (LTC) insurance policies using Activities of Daily Living and US data. We compare stand-alone policies, whole life insurance policies with LTC benefit riders (LTC insurance combined with whole life insurance), life care annuities (LTC insurance combined with annuities) and shared LTC insurance in terms of net premium cost and SCRs. Net premiums and best-estimate reserves for base LTC insurance policies are determined using Thiele’s differential equation. Product features such as the elimination period and the maximum benefit period are compared using a simulation-based model. We show how a maximum benefit period can reduce costs and risks for LTC insurance products. SCRs for longevity risk and disability risk are based on the Solvency II standard formula. We quantify the extent to which whole life insurance policies with LTC benefit riders and life care annuities provide lower SCRs than stand-alone LTC insurance policies.     

From ruin theory to solvency in non-life insurance

We start from ruin theory considerations in the classical Cramér–Lundberg model. We modify these considerations step by step so that finally we arrive at today’s solvency assessments for non-life insurance companies. These modifications include discussions about time horizons, risk measures, financial returns, and valuation of insurance liabilities.     

构建我国老年护理保险制度研究

在中国已经进入老龄化社会的背景下,本文以探讨人口老龄化带来的最突出的问题———老人护理问题的解决为研究对象,运用数据分析、对比分析等实证方法,对世界各国解决老年护理问题所采取的方法和途径进行研究,提出我国应当借鉴国外经验,建立符合我国国情的老年护理保险制度。制度模式上以强制的社会性长期护理保险作为主要选择,同时鼓励并支持发展商业性护理保险,对于从社会保障机制和制度层面解决老年护理难题提供了新的思路。     

Capital requirements and claims recovery: A new perspective on solvency regulation

Protection of creditors is a key objective of financial regulation. Where the protection needs are high, that is, in banking and insurance, regulatory solvency requirements are an instrument to prevent that creditors incur losses on their claims. The current regulatory requirements based on value at risk (V@R) and average value at risk (AV@R) limit the probability of default of financial institutions, but they fail to control the size of recovery on creditors' claims in the case of default. We resolve this failure by developing a novel risk measure, recovery V@R. Our conceptual approach is flexible and allows the construction of general recovery risk measures for various risk management purposes. We provide detailed case studies and applications. We show that recovery risk measures can be used for performance-based management of business divisions of firms and discuss how to calibrate recovery risk measures to historical regulatory standards. Finally, we analyze how recovery risk measures react to the joint distributions of assets and liabilities on firms' balance sheets and compare the corresponding capital requirements with the current regulatory benchmarks based on V@R and AV@R.     

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。     

小概率高损失事件的忽略——对中国发展巨灾保险的意义

地震、洪水和台风等都属于小概率高损失的巨灾风险,一旦发生将给社会和人们的生活带来破坏性的后果。研究表明,巨灾事件的发生会极大地改变公众对风险或损失的预期和感知。在巨灾事件发生时以及一段时间内,由于风险信息的显著性和可获得性,公众会产生暂时的紧张和恐惧心理,随着时间的流逝,人们会慢慢从非理性中冷静下来,意识到巨灾风险发生的概率是如此之小,过度的担心是没有必要的。这对于巨灾风险制度的发展产生了重要的影响,因此,分析和研究公众对巨灾风险的感知、提出相应的巨灾保险发展的对策建议具有重要的理论和实践意义。     

公私合作构建我国的长期护理保险制度:国外的借鉴

鉴于我国日益严重的老龄化趋势以及沉重的老年护理费用,在我国推行长期护理保险制度势在必行。本文分析了国外护理保险制度中公私合作的模式、经验和教训,指出我国唯有以政府推动、政策支持、强制投保、商业化经营、社会化运作为原则,充分发挥政府的法律、财税支持与监管职能,引入保险公司的商业化经营,建立覆盖城乡的社会化护理机构,继续巩固家庭在老年护理中的作用,才能实现我国长期护理保险制度的可持续发展。     

Solvency Ⅱ与C-ROSS非寿险保险风险最低资本要求比较研究——基于中国60家财产保险公司的经验证据

本文以非寿险业务保险风险最低资本要求为考察对象,研究了欧盟Solvency Ⅱ与中国C-ROSS的差异,并利用中国保险市场60家财险公司的经验数据,对两者之间的差异进行了实证和模拟分析。研究结果表明,Solvency Ⅱ和C-ROSS对中国财险公司保险风险最低资本要求存在差异。对于拥有传统业务结构的财险公司,Solvency Ⅱ对保险风险最低资本要求更高,但是这种差距随着公司业务规模的缩小而减弱;对于以经营某些专业险种为主的财险公司,主营业务险种对两者差异具有决定性影响。本文的研究结论详细解释了Solvency Ⅱ与C-ROSS在非寿险保险风险最低资本计算上的异同,对C-ROSS下一步的修订工作提供了一定的支持与参考。     

Discount rates for long-term projects: the cost of capital and social discount rate compared

Research on the cost of capital and on the social discount rate (SDR) has developed largely along separate paths. This paper offers an overview and comparison of both concepts. The consumption-based theory of discount rates is common to both, but there are striking differences in how the cost of capital and SDR are estimated. A project's cost of capital is inferred in practice from market data, by a well-established package of techniques, and project risk makes a large difference. In contrast, the SDR is estimated by applying judgement about the welfare of future generations, in the setting of consumption-based theory. Project risk has tended to be ignored under the SDR approach.     

基于供需平衡的社会型长期护理保险缴费水平研究——以长沙市为例

在界定老年人失能状态的基础上,将多状态马尔可夫模型与ILO筹资模型相结合,构建了一个供需平衡下的社会型长期护理保险缴费模型。同时,对50岁及以上各年龄段人群的健康状态转移概率矩阵进行估计,结合人口数据估算和预测未来处于不同失能状态的人口数量;并对长沙市未来缴费人口和社会平均工资水平进行预测,估算了未来长沙市社会型长期护理保险缴费水平。     

The impact of the choice of VaR models on the level of regulatory capital according to Basel II

The Basel II framework allows the calculation of the capital requirements for market risk with Value-at-Risk models. Since no special model is prescribed in the framework, banks may use simple models with questionable assumptions concerning their underlying distributions. Our numerical analysis reveals that simple VaR models that perform noticeably worse than comparable simple models with more realistic assumptions may lead to a lower level of regulatory capital for banks. For this reason, banks have a major incentive to implement bad models. This is obviously contrary to the interests of regulatory authorities.     

Strategic returns to international diversification: An application to the equity markets of Europe,Japan and North America

We undertake a decomposition of the risk factor loadings of 15 national stock market returns from 1972 to 1990, using a variant of the Campbell-Shiller (1988) linearisation. (Campbell, John Y. and Shiller, Robert J., ‘The dividend-price ratio and expectations of future dividends and discount factors’, Review of Financial Studies, Vol. 1, 1988, pp. 195–228.) We find considerable variation among countries in the relative importance of a cash flow component and a discount rate component in determining the beta with the world equity index return and with other risk factors. Also, the substantial international heterogeneity in factor loadings suggests that a global portfolio allows ample hedging opportunities, presumably deriving from differences in underlying economic structure.