我国财产保险公司资本与风险关系研究——兼论偿付能力监管制度的影响

发布时间：2019-04-21 16:42

【摘要】：偿付能力监管的理论依据无疑是资本和风险之间的自然联系。本文采用我国财产险公司2003～2011年的数据,运用三阶段最小二乘法(3SLS),考察我国财产险公司的资本和风险之间是否存在显著的双向影响。研究发现,财产险公司资本比例与承保风险无显著相关关系,资本比例和投资风险之间存在显著的负向相关关系,这说明风险和资本比例之间还没有形成良好的互动关系,使得资本变化不能适时反映风险变化,实施偿付能力监管制度所期望的"风险-资本"互动机制尚未形成。我们还发现,偿付能力充足率对承保风险和投资风险均具有显著正向影响,说明偿付能力水平越高的公司倾向于追求更大的风险承担水平,会增加风险性资产的投资或者风险较高业务的承保。最后对我国保险业第二代偿付能力监管制度体系建设提出了相关建议。
[Abstract]:The theoretical basis of solvency regulation is undoubtedly the natural link between capital and risk. In this paper, using the data of property insurance companies from 2003 to 2011 and using the three-stage least square method (3SLS), we investigate whether there is a significant two-way influence between the capital and the risk of the property insurance companies in China. It is found that there is no significant correlation between the ratio of capital of property insurance companies and underwriting risk, but there is a significant negative correlation between capital ratio and investment risk, which indicates that there is not a good interaction between the ratio of risk and the ratio of capital, and that there is no significant negative correlation between the ratio of capital and the ratio of capital. The capital change can not reflect the risk change in time, and the "risk-capital" interaction mechanism expected by the solvency regulation system has not yet been formed. We also found that solvency adequacy has a significant positive impact on underwriting risk and investment risk, indicating that companies with higher solvency tend to pursue greater risk-taking levels. It will increase the investment in risky assets or the underwriting of higher-risk business. Finally, the author puts forward some suggestions on the construction of the second generation solvency supervision system of insurance industry in China.
【作者单位】：上海财经大学金融学院;深圳大学经济学院;
【基金】：国家自然科学青年基金项目“财产险公司保费增长与承保关系的研究”(71103117) 教育部人文社科青年基金项目“资本监管与市场竞争联合作用对产险公司风险承担行为的影响”(10YJC790391) 国家社科青年基金项目“保险体系的脆弱性评估及审慎监管研究”(12CJY118)资助
【分类号】：F842.3

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