“偿二代”下寿险公司风险与资本关系的实证研究——基于与偿一代对比研究的视角

Examining the Relationship between Risk and Capital of Life Insurance Companies under the System of “C-ROSS” ——Based on the Comparison with the First Generation Solvency Regulatory System

中文关键词:  偿二代  风险管理  资本比例  投资风险  承保风险  适应性博弈

英文关键词:C-ROSS  risk management  capital ratio  investment risk  underwriting risk  adaptive game

中文摘要:

      偿付能力风险管理是“偿二代”下寿险公司风险管理的核心,其理论依据是风险与资本的关系。基于我国部分寿险公司2011—2018年数据,运用三阶段最小二乘法(3SLS),考察“偿二代”实施前后寿险公司资本比例、承保风险和投资风险三者之间的相关关系。研究发现,“偿一代”下,寿险公司风险与资本未形成良好的传导机制,资本比例与投资风险呈负相关关系；而“偿二代”下,寿险公司风险与资本逐渐形成显著的正相关关系,承保风险与投资风险呈显著负相关关系。此外,针对偿付能力充足率与资本比例呈显著正相关关系,与投资风险和承保风险呈负相关关系这一反常现象,提出了“适应性博弈”假设予以解释。因此,寿险公司要始终注重风险,调整业务结构和投资策略；监管层面要进行更深度的穿透式监管,监督和加强寿险公司穿透披露。

英文摘要:

      Solvency risk management is the core of risk management of insurance companies under the system of “C-ROSS”, its theoretical content is the relationship of risk and capital. This paper studies the relationships between capital ratio, underwriting risks and investment risks with the method of 3SLS after the implement of the system of“C-ROSS” by using the statistics of several life insurance companies from year 2011 to 2018. The results show that, the risk and capital of life insurance companies have not formed a good transmission mechanism and the capital ratio has a negative correlation with the investment risk under the first generation solvency regulatory system. Under the system of “C-ROSS”, the risk and capital of the life insurance company gradually form a significant positive correlation, and the underwriting risk and the investment risk have a significant negative correlation. In addition, in view of the significant positive correlation between the solvency adequacy ratio and the capital ratio, and the negative correlation with the investment risk and the underwriting risk, this paper puts forward the “adaptive game” hypothesis to explain. Therefore, life insurance companies should always pay attention to risk, adjust business structure and investment strategy. For regulator, they should carry out more osmotic supervision and strengthen the disclosure of life insurance companies. 