风险导向的保险保障基金费率模式研究
|
摘要
保险保障基金的费率模式是构建保险保障基金制度的核心问题之一,模式的不同选择对保险公司的经营管理有着不同的导向作用。中国现有的单一费率模式未考虑风险,具有明显不足。在分析了其他各国和地区所采用的与风险相关联的保险保障基金费率模式后,本文提出应基于我国"偿二代"监管体系构建出动态转移式费率模式。在设计出与风险分级挂钩的动态转移式费率模式的规则之后,基于实际数据并遵循政策的延续性原则测算了初始费率,设计了动态转移式费率模式的费率转移规则并进行了测算。研究表明,动态转移式费率模式基本保持了原有保险保障基金的规模,且能给保险公司注重偿付能力风险管理和注重保险产品保障能力提供有力的正向指引。
The rating system is the key of the insurance Guaranty Fund System.Different rating system would guide differently for the operation and management of insurance companies.The single rating system in China doesn′t take consideration of risks,which is obviously inadequate.In this article,we discussed some risk-based rating systems of other countries and districts firstly.Then,a dynamic transfer rating system was proposed in according with the C-Ross system in China.The rules of the risk rating-based transfer rating system was designed first,and then the initial rate was calculated on the basis of actual data and policy consistency.Finally,a detailed dynamic transfer rating system was designed and tested.The results show that,the dynamic transfer rating system almost keeps the same scale of the Insurance Guaranty Fund.Moreover,it can also guide all insurance companies to control solvency risk correctly and raise protection level of their protection-oriented insurance products.
The rating system is the key of the insurance Guaranty Fund System.Different rating system would guide differently for the operation and management of insurance companies.The single rating system in China doesn′t take consideration of risks,which is obviously inadequate.In this article,we discussed some risk-based rating systems of other countries and districts firstly.Then,a dynamic transfer rating system was proposed in according with the C-Ross system in China.The rules of the risk rating-based transfer rating system was designed first,and then the initial rate was calculated on the basis of actual data and policy consistency.Finally,a detailed dynamic transfer rating system was designed and tested.The results show that,the dynamic transfer rating system almost keeps the same scale of the Insurance Guaranty Fund.Moreover,it can also guide all insurance companies to control solvency risk correctly and raise protection level of their protection-oriented insurance products.
引文
[1] 陈文辉.完善保险保障基金制度[J].中国金融,2014,(7):9-11.
[2] 江先学.我国保险保障基金风险费率模拟分析[J].保险研究,2009,(2):84-90.
[3] 李佳,杨东,朱晓棠.保险保障基金差别费率制的国际经验及借鉴[J].中国保险,2015,(11):60-64.
[4] 任建国.保险保障基金制度的改革[J].中国金融,2016,(20):71-72.
[5] 任建国.推进保险保障基金费率改革[J].中国金融,2014,(15):61-62.
[6] 任建国.我国保险保障基金制度的发展[J].中国金融,2013,(12):56-58.
[7] 汪桂霞,粟芳.中国交强险2007版NCD系统的公平与效率——兼与1995年NCD系统的比较研究[J].保险研究,2015,(7):36-48.
[8] Cummins,J.David.Risk-based Premiums for Insurance Guaranty Funds [J].Journal of Finance,1988,53(2):335-355.
[9] Duan,Jin-Chuan & Simonato,Jean-Guy.Estimating and Testing Exponential-affine Term Structure Models by Kalman Filter [J].Review of Quantitative Finance and Accounting,1999,13(2),111-135.
[10] Duan,Jin-Chuan & Yu,Min-Teh.Fair Insurance Guaranty Premia in the Presence of Risk-based Capital Regulations,Stochastic Interest Rate and Catastrophe Risk [J].Journal of Banking & Finance,2005,29:2435–2454.
[11] Duan,Jin-Chuan & Yu,Min-The.Forbearance and Pricing Deposit Insurance in a Multiperiod Framework [J].Journal of Risk and Insurance,1994,61(4):575–591.
[12] Ehud,I.Ronn & Avinash K.Verma.Pricing Risk-Adjusted Deposit Insurance:An Option-Based Model [J].Journal of Finance,1986,41(4):871-895.
[13] Feldhaus,R William & Kazenski,M Paul.Risk-based Guaranty Fund Assessments:An Allocation Alternative for Funding Insurer Insolvencies [J].Journal of Insurance Regulation,1998,17(1):42.
[14] George,G.Pennacchi.Valuing Alternative Forms of Deposit Insurance for Intermediaries Subject to Interest Rate Risk.Working paper,Wharton School,University of Pennsylvania,Philadelphia,1984.
[15] Lee,Soon-Jae,Mayers,David & Smith,Jr Clifford W.Guaranty Funds and Risk-taking:Evidence from the Insurance Industry [J].Journal of Financial Economics,1997,44(1):3-24.
[16] Robert,C.Merton.An Analytic Derivation of the Cost of Deposit Insurance and Loan Guarantees:An Application of Modern Option Pricing Theory [J].Journal of Banking and Finance,1977,1(1):3-11.
[17] Robert,C.Merton.On the Cost of Deposit Insurance When There are Surveillance Costs.Journal of Business [J].1978,51(3):439-452.
[18] Rymaszewski,Przemys?aw.Schmeiser,H.& Wagner,J.Under What Conditions Is an Insurance Guaranty Fund Beneficial for Policyholders?[J].Journal of Risk & Insurance,2012,9(3):785-815.
[19] Sommer,David W.Solvency Regulation Through Risk-Based Capital and Risk-Based Guaranty Fund Premiums:An Analysis of Incentive Effects [J].Journal of Insurance Issues,1996,19(2):94-106.
(1)根据《Deposit Insurance and Policy Owners′ Protection Schemes(Policy Owners′ Protection Scheme) Regulations 2011》整理而成。
(2)参考李佳等(2015)《保险保障基金差别费率制的国际经验与借鉴》而制作。
(3)A类公司是指“偿付能力充足率达标,且操作风险、战略风险、声誉风险和流动性风险小的公司”;B类公司是指“偿付能力充足率达标,且操作风险、战略风险、声誉风险和流动性风险较小的公司”;C类公司是指“偿付能力充足率不达标,或者偿付能力充足率虽然达标,但操作风险、战略风险、声誉风险和流动性风险中某一类或几类风险较大的公司”;D类公司是指“偿付能力充足率不达标,或者偿付能力充足率虽然达标,但操作风险、战略风险、声誉风险和流动性风险中某一类或几类风险严重的公司。”
(4)用2016年各家保险公司保险保障基金额度占保险保障基金年度总额度的比例作为权重进行加权后的算术平均值为0.295%,而简单计算的42家财险公司的实际保险保障基金费率的平均值为0.2947%,为了简便,直接采用0.29%作为平均值。
(5)由于这才是动态转移式费率模式测算的第二年,绝大多数的保险公司的保险保障基金的费率仍然是初始费率,故保持不变后仍然是初始费率。
[2] 江先学.我国保险保障基金风险费率模拟分析[J].保险研究,2009,(2):84-90.
[3] 李佳,杨东,朱晓棠.保险保障基金差别费率制的国际经验及借鉴[J].中国保险,2015,(11):60-64.
[4] 任建国.保险保障基金制度的改革[J].中国金融,2016,(20):71-72.
[5] 任建国.推进保险保障基金费率改革[J].中国金融,2014,(15):61-62.
[6] 任建国.我国保险保障基金制度的发展[J].中国金融,2013,(12):56-58.
[7] 汪桂霞,粟芳.中国交强险2007版NCD系统的公平与效率——兼与1995年NCD系统的比较研究[J].保险研究,2015,(7):36-48.
[8] Cummins,J.David.Risk-based Premiums for Insurance Guaranty Funds [J].Journal of Finance,1988,53(2):335-355.
[9] Duan,Jin-Chuan & Simonato,Jean-Guy.Estimating and Testing Exponential-affine Term Structure Models by Kalman Filter [J].Review of Quantitative Finance and Accounting,1999,13(2),111-135.
[10] Duan,Jin-Chuan & Yu,Min-Teh.Fair Insurance Guaranty Premia in the Presence of Risk-based Capital Regulations,Stochastic Interest Rate and Catastrophe Risk [J].Journal of Banking & Finance,2005,29:2435–2454.
[11] Duan,Jin-Chuan & Yu,Min-The.Forbearance and Pricing Deposit Insurance in a Multiperiod Framework [J].Journal of Risk and Insurance,1994,61(4):575–591.
[12] Ehud,I.Ronn & Avinash K.Verma.Pricing Risk-Adjusted Deposit Insurance:An Option-Based Model [J].Journal of Finance,1986,41(4):871-895.
[13] Feldhaus,R William & Kazenski,M Paul.Risk-based Guaranty Fund Assessments:An Allocation Alternative for Funding Insurer Insolvencies [J].Journal of Insurance Regulation,1998,17(1):42.
[14] George,G.Pennacchi.Valuing Alternative Forms of Deposit Insurance for Intermediaries Subject to Interest Rate Risk.Working paper,Wharton School,University of Pennsylvania,Philadelphia,1984.
[15] Lee,Soon-Jae,Mayers,David & Smith,Jr Clifford W.Guaranty Funds and Risk-taking:Evidence from the Insurance Industry [J].Journal of Financial Economics,1997,44(1):3-24.
[16] Robert,C.Merton.An Analytic Derivation of the Cost of Deposit Insurance and Loan Guarantees:An Application of Modern Option Pricing Theory [J].Journal of Banking and Finance,1977,1(1):3-11.
[17] Robert,C.Merton.On the Cost of Deposit Insurance When There are Surveillance Costs.Journal of Business [J].1978,51(3):439-452.
[18] Rymaszewski,Przemys?aw.Schmeiser,H.& Wagner,J.Under What Conditions Is an Insurance Guaranty Fund Beneficial for Policyholders?[J].Journal of Risk & Insurance,2012,9(3):785-815.
[19] Sommer,David W.Solvency Regulation Through Risk-Based Capital and Risk-Based Guaranty Fund Premiums:An Analysis of Incentive Effects [J].Journal of Insurance Issues,1996,19(2):94-106.
(1)根据《Deposit Insurance and Policy Owners′ Protection Schemes(Policy Owners′ Protection Scheme) Regulations 2011》整理而成。
(2)参考李佳等(2015)《保险保障基金差别费率制的国际经验与借鉴》而制作。
(3)A类公司是指“偿付能力充足率达标,且操作风险、战略风险、声誉风险和流动性风险小的公司”;B类公司是指“偿付能力充足率达标,且操作风险、战略风险、声誉风险和流动性风险较小的公司”;C类公司是指“偿付能力充足率不达标,或者偿付能力充足率虽然达标,但操作风险、战略风险、声誉风险和流动性风险中某一类或几类风险较大的公司”;D类公司是指“偿付能力充足率不达标,或者偿付能力充足率虽然达标,但操作风险、战略风险、声誉风险和流动性风险中某一类或几类风险严重的公司。”
(4)用2016年各家保险公司保险保障基金额度占保险保障基金年度总额度的比例作为权重进行加权后的算术平均值为0.295%,而简单计算的42家财险公司的实际保险保障基金费率的平均值为0.2947%,为了简便,直接采用0.29%作为平均值。
(5)由于这才是动态转移式费率模式测算的第二年,绝大多数的保险公司的保险保障基金的费率仍然是初始费率,故保持不变后仍然是初始费率。