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Examining the Relationship between Risk and Capital of

Life Insurance Companies under the System of “C鄄ROSS冶
———Based on the Comparison with the First Generation Solvency Regulatory System

SUN Wujun & LI Zheng
(School of Business, Nanjing University, Nanjing, Jiangsu 210093, China)

Abstract: Solvency risk management is the core of risk management of insurance companies under the system of “ C鄄
ROSS冶, 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鄄ROSS冶 by using the sta鄄
tistics 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鄄ROSS冶, 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 neg鄄
ative 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冶 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 insur鄄
ance companies.
Key Words: C鄄ROSS; risk management; capital ratio; investment risk; underwriting risk; adaptive game

(本文责编摇 王摇 轶)

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