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.     

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...     

保险公司负债公允价值的评估

保险公司的资产与负债按照财务报告或风险管理的要求要用公允价值来表示其价值。保险公司负债主要由各种类型的保险合同组成。尽管金融产品的交易非常活跃,市场价格可以相对容易地获得,但像保险合同这样缺乏交易市场,并且风险是非系统化的金融产品的公允价值的计算却十分困难。通过分层次的方法可以有效地评估金融工具的公允价值,其中评估保险公司负债的公允价值最常用的方法是现值法。现值法中包含了直接法与间接法两种本质上等价的方法。本文对这两种方法分别作了分析,并提出了在评估保险公司负债的公允价值时需要考虑的一些现实问题。     

关于负债公允价值计量信用风险问题的探究

由于全球金融市场折射出信用质量的普遍恶化,计量负债时信用风险的角色问题近年来引起了越来越多的关注。初始确认后如果以公允价值计量金融负债,问题就变得尤其敏感.本文回顾了20世纪90年代以来FASB和IASB对这一问题的探讨,并研究了反映偿债个体信用问题的负债公允价值的计量方法。     

寿险公司利用风险边际进行利润操纵的可能性研究

自2006年我国会计准则开始采用公允价值计量模式起,关于保险合同准备金使用公允价值计量也被提上日程。虽然中国保监会对于保险公司可以使用的风险边际计算方法有所限定,即分位数法、资本成本法和情景分析法,但具体规范较为模糊,留给保险公司利润操纵的空间。本文通过定性角度分别阐释和分析了各种计算方法下,保险公司通过调整一些参数设置得出不同的风险边际值,从而影响最终利润;另外还通过定量角度,分析了在分位数法下,采用对数正态分布和威布尔分布拟合赔付率,得到风险边际的差异;最后对我国风险边际计量要求存在的缺陷和不足提出相关建议。     

保险负债计量模式探究

保险经营是以风险的存在为前提的.保险公司在责任期内的经营很大程度上讲是一种负债经营,该种负债具有不同于其他行业的特殊性.本文从保险负债的特殊性入手,结合IASB发布的《征求意见稿》的规定,首先介绍了IASB在保险合同负债计量问题上的研究进展.接着阐述了我国2009年印发的《保险合同相关会计处理规定》对保险负债计量模式的影响,再者,分析了我国现行保险负债计量模式涉及的主要因素以及存在的问题,最后为我国保险负债计量模式的规范与完善提出了一些建议.     

Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting

A general class of fair valuations which are both market-consistent (mark-to-market for any hedgeable part of a claim) and actuarial (mark-to-model for any claim that is independent of financial market evolutions) was introduced in Dhaene et al. [Insurance: Mathematics & Economics, 76, 14–27 (2017)] in a single period framework. In particular, the authors considered mean-variance hedge-based (MVHB) valuations where fair valuations of insurance liabilities are expressed in terms of mean-variance hedges and actuarial valuations. In this paper, we generalize this MVHB approach to a multi-period dynamic investment setting. We show that the classes of fair valuations and MVHB valuations are equivalent in this generalized setting. We derive tractable formulas for the fair valuation of equity-linked contracts and show how the actuarial part of their MVHB valuation decomposes into a diversifiable and a non-diversifiable component.     

董事责任保险的法律考察

董事责任保险是为公司董事或高级管理人员职业责任提供的一种补偿性保险。对我国上市公司而言,董事责任保险既是对董事及高管人员利益的保障,也可帮助股东监督经营者的行为,对完善上市公司治理结构亦具有积极意义。然而,根据我国目前的董事民事责任制度、证券民事赔偿制度以及诉讼费用制度,董事责任保险并无大多发展空间。为充分发挥董事责任保险的价值,我国在引入董事责任保险制度时,有必要同步完善证券民事诉讼机制,合理设计董事责任承保范围,规定董事适度支付保险费用,并采取期内索赔式保险。     

侵权立法对责任保险市场的影响机制

责任保险赖以存在及发展的基础在于完善的法律体系,尤其是侵权责任法.一国侵权责任法的不断完善,不仅有利于公民和法人承担责任,同时也会增加公众的维权和自我保护意识,从而刺激责任保险市场的需求与供给.本文采用CHH模型,通过侵权责任扩张与责任保险危机问题,分析了侵权立法对责任保险市场的影响机制,并基于美国责任保险市场发展模式...     

On relief value (deprival value) versus fair value measurement for contract liabilities: a comment and a response

Horton, Macve and Serafeim (2011) (HMS) argue for the use of relief value for the measurement of certain types of liabilities, and that the replacement liability (an entry price) is normally the appropriate measure of relief. I had previously argued elsewhere for an exit price (normally, the performance value, PV). In this paper, I first try to clarify the terminology used, and then I show why PV rather than RL is usually appropriate for the industries in HMS' example and for some others. My scope is more modest than that of HMS because I do not address revenue/profit issues, which I think should be dealt with separately.     

财产保险的保险价值界定探析——解读新《保险法》第55条

保险价值在财产保险中占有核心地位,是确定赔付比例和赔偿限额的标准。在实务和媒体报道中,财产保险索赔争议案例多与对保险价值的不同理解有关。本文将通过案例分析保险法和保险条款对保险价值界定中存在的问题,并对保险价值相关立法和司法解释的进一步完善提出合理建议。     

寿险公司负债价值计量研究

有效的资产负债管理以寿险公司资产和负债价值的正确计量为基础。寿险负债的长期性和多种嵌入期权的特性使寿险公司资产负债管理更具复杂性。寿险负债价值计量的精算方法注重于它的死亡率风险测定的技术秘诀和期限的长期性,但该方法使期权的效应无从体现,也使在利率和被保险人行为的静态假设不成立的前提下,负债价值被低估的情况发生。因此,必须辅之于财务方法来测量期权在寿险合约中的价值。本文对寿险合约中期权价值的测量及其对ALM的作用也做了探讨。     

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.     

Motives for and Effects of Asset Revaluation: An Examination of South Korean Data

Examining a sample of South Korean firms, of which 201 revalued assets and 899 did not during the period 2008–2009, we find that the average debt cost, equity cost, and weighted average cost of capital (WACC) are higher among the firms that revalued. Firms with higher equity costs and leverage are more likely to revalue and the propensity has a negative relationship with profitability, cash flow, and Tobin’s q. Firms that engage in revaluation experience reductions in all capital costs from year ?1 to +1, comparable to those among firms that did not revalue. Our results support both the information hypothesis and the debt-cost hypothesis.     

保险中介市场风险状况及监管对策

当前,随着保险中介市场的快速发展,市场风险状况不容乐观,一般性风险普遍存在,个别机构因严重违法造成的风险已相当严重,同时,因保险中介经营模式创新引发的风险也不容忽视。这些风险如不能采取有效的监管措施加以控制,势必对保险中介市场平稳健康发展带来严重冲击。为此,应加快完善监管法律法规和制度,严格市场准入并建立有效的市场退出制度,强化保险公司对代理机构和保险营销员的管理责任,改革现行个人保险营销体制,细化从业人员资格考试,实行从业人员分级管理,充分发挥行业协会的自律职能。