我国寿险风险证券化的运行模式研究
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摘要
寿险风险证券化是具有融资和风险转移功能的金融创新工具,它不仅可以提高寿险公司资本的流动性,降低资本成本,而且还可以提高其抵御风险的能力,有助于寿险公司预期利润的实现。随着寿险风险证券化产品在国际市场上取得成功,资本市场与寿险市场必然会趋向一体化。对我国寿险公司来说,依靠传统的规避风险的手段已不足以应对所面临的风险,与资本市场共同发展不仅是我国金融体系发展的客观要求,而且也是我国加入WTO以后保险业发展的必然选择,所以,我国寿险业也应当尝试进行寿险风险证券化的实践。
在深入剖析寿险公司承保风险的基础上,从产品研发的精算技术出发,对寿险风险证券化产品定价的相关原理进行研究,分析寿险公司在经营过程中所面临的风险因素。通过对准备金和保单价格制定原理的分析,发现寿险公司面临的核心风险因素是死亡率、利率和费用率。在对国外寿险风险证券化运作模式进行评述的基础上,结合我国寿险市场和资本市场目前的发展现状,分析和探讨了在我国寿险业引入证券化技术的可行性,在此基础上,提出了我国寿险业实行寿险风险证券化的运行模式。研究表明,我国寿险公司实行寿险风险证券化可采取以下三种模式:一是以融资为主要目的的寿险风险证券化;二是以风险转移为主要目的的寿险风险证券化;三是以险种选择去留为主要目的的寿险风险证券化。
The life accepting insurance risk securitization is the kind of instruments, with which Life Insurance Company tries to transfer operation risk to capital market, and then the company evades risk by trading between each other in finance market. As a new instrument with the function of financing and evading risk, it can not only improve liquidity of life insurance Company's capital and lower the cost of its capital, but also enlarge the ability of resisting risk, then conducive to life insurance Company's development, therefore, in an extent replace the traditional instruments. With the success of products in the international market, the tendency of integration between capital market and life insurance markets will become necessary. At present, the traditional evading risk tools can't evade the risk, therefore, the development of capital market and life insurance markets together would be the requirement of financial system, and also the necessary choose after our country entrance's to WTO. We should learn the successful experience, and try to practice the life accepting insurance risk securitization on the basis of present condition.
On the basis of deep analysis of underwriting risk, the thesis does some research on insurance risk securitization and product pricing in the aspect of actuarial techniques of product R&D, then analyzes the confronted risks and the influential factors in the operation of Life Insurance Company. The thesis gives an analysis on the feasibility of bringing the securities technology into the life insurance industry throughout the research on the operation pattern of insurance risk securitization of foreign life industry, and the combination of the life insurance market and the present situation of the capital market, puts forwards the operation pattern of insurance risk securitization in the life industry of our country. The research shows that there are three operation patterns in the insurance risk securitization of life insurance Company, the kind of insurance risk securitization for financing, the kind for risk transferring and the kind for product choosing.
在深入剖析寿险公司承保风险的基础上,从产品研发的精算技术出发,对寿险风险证券化产品定价的相关原理进行研究,分析寿险公司在经营过程中所面临的风险因素。通过对准备金和保单价格制定原理的分析,发现寿险公司面临的核心风险因素是死亡率、利率和费用率。在对国外寿险风险证券化运作模式进行评述的基础上,结合我国寿险市场和资本市场目前的发展现状,分析和探讨了在我国寿险业引入证券化技术的可行性,在此基础上,提出了我国寿险业实行寿险风险证券化的运行模式。研究表明,我国寿险公司实行寿险风险证券化可采取以下三种模式:一是以融资为主要目的的寿险风险证券化;二是以风险转移为主要目的的寿险风险证券化;三是以险种选择去留为主要目的的寿险风险证券化。
The life accepting insurance risk securitization is the kind of instruments, with which Life Insurance Company tries to transfer operation risk to capital market, and then the company evades risk by trading between each other in finance market. As a new instrument with the function of financing and evading risk, it can not only improve liquidity of life insurance Company's capital and lower the cost of its capital, but also enlarge the ability of resisting risk, then conducive to life insurance Company's development, therefore, in an extent replace the traditional instruments. With the success of products in the international market, the tendency of integration between capital market and life insurance markets will become necessary. At present, the traditional evading risk tools can't evade the risk, therefore, the development of capital market and life insurance markets together would be the requirement of financial system, and also the necessary choose after our country entrance's to WTO. We should learn the successful experience, and try to practice the life accepting insurance risk securitization on the basis of present condition.
On the basis of deep analysis of underwriting risk, the thesis does some research on insurance risk securitization and product pricing in the aspect of actuarial techniques of product R&D, then analyzes the confronted risks and the influential factors in the operation of Life Insurance Company. The thesis gives an analysis on the feasibility of bringing the securities technology into the life insurance industry throughout the research on the operation pattern of insurance risk securitization of foreign life industry, and the combination of the life insurance market and the present situation of the capital market, puts forwards the operation pattern of insurance risk securitization in the life industry of our country. The research shows that there are three operation patterns in the insurance risk securitization of life insurance Company, the kind of insurance risk securitization for financing, the kind for risk transferring and the kind for product choosing.
引文
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2 IAIS.International Association of Insurance Securitisation.Issues Paper on Life Insurance Securitisation,2003.10
3 J.David Cummins.Securitization of Life Insurance Assets and Liabilities.Working paper of the Wharton Financial Institutions Center,2004.01
4 Alwx cowley and J David Cummins,Securitization of Life Insurance Asset and Libilities,The Journal of Risk and Insuranc,e,2005.02
5 C.A.Stone,A.Zissu,Securitization of Senior Life Settlement:Managing Extension Risk,Journal of Derivatives,2006,13(3):66-72
6 M.J.Millette.2002 Securitization of Life Insurance Businesses.Alternative Risk Strategies,2002,London:23
7 D.Ozizmir.Securitization:Buzz Or Real Solution.Life& Health Financial Services,2006,110(28):1416
8 Yinjia Lin,S.H.Cox.Securitization of Mortality Risks in Life Annuities.Journal Of Risk&Insurance,2005,72(2):227-252
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13 洪哲.保险风险证券化初探.现代财经,2004
14 施方.巨灾保险证券化的探讨.上海大学学报,2004
15 李勇全.巨灾风险证券化的需求与发展分析.保险研究,2005
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19 秦桂霞,王永茂,张建业.关于人寿风险证券化的思考.统计与决策,2008(14)
20 张继华.保险风险证券化管理中的金融创新产品研究综述.保险职业学院学报,2008
21 李秀芳.寿险精算实务.南开大学出版社,2006
22 吴霏雨.谈我国资产证券化的意义及运作程序.金融经济,2006
23 李勇权.巨灾保险风险证券化研究.中国财政经济出版社,2005
24 杨静颖.浅谈金融创新与保险风险证券化.经济,2006
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27 中国保险监督管理委员会.保险公司偿付能力额度及监管指标管理规定,2003
28 朱宝宪,刘炜莉.中国开展资产支撑证券化融资的研究.管理世界双月刊,1999(3)
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30 王安兴.金融工程学.上海财经大学出版社,2006
31 魏巧琴.保险公司经营管理.上海财经大学出版社,2002
32 邓伟利.资产证券化:国际经验与中国实践.上海人民出版社,2003
33 许谨良等.人身保险原理和实务.上海财经大学出版社,2002
34 杨永宁,钟毅恒.保险风险证券化:资本市场的保险创新.西南金融,2003(5)
35 吴信如,藩英丽等.金融工程学.立信会计出版社,2001
36 周骏,张中华等.保险业与资本市场.中国金融出版社,2004
37 袁磊.我国寿险风险证券化研究:[学位论文]:重庆大学.2007
38 吴蕾磊.人寿保险风险证券化:[学位论文]:华东师范大学.2007
39 林泽涛.寿险证券化探析:[学位论文]:西南财经大学.2007
40 卢仿先,刘莉.浅谈保险分险证券化.中国保险管理干部学院学报,2004(1)
41 李琴芳,张苗.论我国寿险公司的全面风险管理.海南金融,2007(10)
42 魏力仁,刘裔宏.准备金与寿险风险分析.系统工程,1993
43 刘静.我国寿险证券化应用模式研究.[学位论文]:哈尔滨理工大学.2007
44 张祁祥.保险学北京大学出版社,2006
45 王海艳.保险企业资产负债管理.经济科学出版社,2004
46 魏巧琴.保险企业风险管理上海财经大学出版社,2002
47 周骏,张中华,刘冬姣.保险业与资本市场.中国金融出版社,2004
48 刘占国.利息理论.南开大学出版社,2000
49 卢仿先,曾庆五.寿险精算数学.南开大学出版社.2001
50 张莉,钟玲.国外保险证券化的发展和监管.金融时报,2003
2 IAIS.International Association of Insurance Securitisation.Issues Paper on Life Insurance Securitisation,2003.10
3 J.David Cummins.Securitization of Life Insurance Assets and Liabilities.Working paper of the Wharton Financial Institutions Center,2004.01
4 Alwx cowley and J David Cummins,Securitization of Life Insurance Asset and Libilities,The Journal of Risk and Insuranc,e,2005.02
5 C.A.Stone,A.Zissu,Securitization of Senior Life Settlement:Managing Extension Risk,Journal of Derivatives,2006,13(3):66-72
6 M.J.Millette.2002 Securitization of Life Insurance Businesses.Alternative Risk Strategies,2002,London:23
7 D.Ozizmir.Securitization:Buzz Or Real Solution.Life& Health Financial Services,2006,110(28):1416
8 Yinjia Lin,S.H.Cox.Securitization of Mortality Risks in Life Annuities.Journal Of Risk&Insurance,2005,72(2):227-252
9 张超英,翟祥辉.资产证券化-原理、实务、条例.经济科学出版社,1998
10 朱宝宪.管理世界.中国开展资产支撑证券化融资研究,1999
11 肖文,孙明波.西方保险风险证券化的运作方式.保险研究,2004
12 肖文,孙明波.保险风险证券化的发展前景.浙江金融,,2003
13 洪哲.保险风险证券化初探.现代财经,2004
14 施方.巨灾保险证券化的探讨.上海大学学报,2004
15 李勇全.巨灾风险证券化的需求与发展分析.保险研究,2005
16 徐为山,谢跃.保险风险证券化的发展前景.保险研究,2004
17 李克穆.保险资产管理纵横谈.中国金融家,2006
18 杨文生,王艳.我国保险风险证券化的可行性研究.金融会计,2007
19 秦桂霞,王永茂,张建业.关于人寿风险证券化的思考.统计与决策,2008(14)
20 张继华.保险风险证券化管理中的金融创新产品研究综述.保险职业学院学报,2008
21 李秀芳.寿险精算实务.南开大学出版社,2006
22 吴霏雨.谈我国资产证券化的意义及运作程序.金融经济,2006
23 李勇权.巨灾保险风险证券化研究.中国财政经济出版社,2005
24 杨静颖.浅谈金融创新与保险风险证券化.经济,2006
25 彭琼,王元英.保险风险证券化发展研究.财会月刊,2006.10
26 高跃生.我国保险业风险证券化的可行性研究.福建金融管理干部学院院报,2006
27 中国保险监督管理委员会.保险公司偿付能力额度及监管指标管理规定,2003
28 朱宝宪,刘炜莉.中国开展资产支撑证券化融资的研究.管理世界双月刊,1999(3)
29 俞自由.保险风险证券化的障碍.中国保险,2003
30 王安兴.金融工程学.上海财经大学出版社,2006
31 魏巧琴.保险公司经营管理.上海财经大学出版社,2002
32 邓伟利.资产证券化:国际经验与中国实践.上海人民出版社,2003
33 许谨良等.人身保险原理和实务.上海财经大学出版社,2002
34 杨永宁,钟毅恒.保险风险证券化:资本市场的保险创新.西南金融,2003(5)
35 吴信如,藩英丽等.金融工程学.立信会计出版社,2001
36 周骏,张中华等.保险业与资本市场.中国金融出版社,2004
37 袁磊.我国寿险风险证券化研究:[学位论文]:重庆大学.2007
38 吴蕾磊.人寿保险风险证券化:[学位论文]:华东师范大学.2007
39 林泽涛.寿险证券化探析:[学位论文]:西南财经大学.2007
40 卢仿先,刘莉.浅谈保险分险证券化.中国保险管理干部学院学报,2004(1)
41 李琴芳,张苗.论我国寿险公司的全面风险管理.海南金融,2007(10)
42 魏力仁,刘裔宏.准备金与寿险风险分析.系统工程,1993
43 刘静.我国寿险证券化应用模式研究.[学位论文]:哈尔滨理工大学.2007
44 张祁祥.保险学北京大学出版社,2006
45 王海艳.保险企业资产负债管理.经济科学出版社,2004
46 魏巧琴.保险企业风险管理上海财经大学出版社,2002
47 周骏,张中华,刘冬姣.保险业与资本市场.中国金融出版社,2004
48 刘占国.利息理论.南开大学出版社,2000
49 卢仿先,曾庆五.寿险精算数学.南开大学出版社.2001
50 张莉,钟玲.国外保险证券化的发展和监管.金融时报,2003