偿付能力监管下资本、风险与再保险的调整机制研究——基于中国产险市场的经验证据

A Study on the Adjustment Mechanism of Capital,Risk and Reinsurance under Solvency Supervision——An Empirical Evidence of China’s Property&Casualty Insurers

作为一种风险管理和资本补充工具,再保险对资本和风险决策的影响具有内生性。本文采用2009~2020年44家中国产险公司的数据,运用联立方程局部调整模型,首次实证检验了偿付能力监管下中国产险公司资本、风险与再保险的调整机制,并对偿二代实施前后进行了对比研究。研究发现:相比于偿一代,偿二代下资本与风险之间形成了良性互动关系,且偿二代下再保险的风险管理和资本补充作用明显增强,体现为再保险对资本的替代作用增强,风险增加导致再保险运用大幅增加;偿一代监管效力较弱,偿付能力不足的公司不能更广泛地增加资本、减少风险,也不能更快地完成资本、风险与再保险的调整,而偿二代监管效力则有所提升,偿付能力不足的公司更大幅度地增加资本、减少风险及增加再保险运用,并更快地调整资本,但不能更快地调整风险和再保险。为此,本文建议监管者应严格限制偿付能力不足的公司承保高风险业务或投资高风险资产,并通过发展中国再保险市场来降低中国保险公司再保险交易的成本,引导偿付能力不足的公司通过及时减少风险承担和增加再保险运用来缓解偿付能力风险。

As a risk management and capital supplementary tool,reinsurance has an endogenous impact on capital and risk decision-making.Using the data of 44 Chinese Property&Casualty insurers from 2009 to 2020 and the simultaneous equation partial adjustment model,this paper empirically tested the adjustment mechanism of capital,risk and reinsurance of Chinese Property&Casualty insurers under the solvency supervision for the first time,and made a comparative study before and after the adoption of C-ROSS.The findings are as follows:a positive interactive relationship between capital and risk is found in C-ROSS other than in C-SI,and the risk management and capital supplementary role of reinsurance is significantly enhanced in C-ROSS,which is reflected in the enhanced substitution of capital by reinsurance and the significant increase in reinsurance because of the increase of risks;with less effective regulation under C-SI,insolvent insurers are unable to increase capital and reduce risk more broadly,or to adjust capital,risk and reinsurance more quickly,while they are able to increase capital,reduce risk and increase reinsurance more broadly,and adjust capital but not risk and reinsurance more quickly with the improved effectiveness of C-ROSS.To this end,we suggest that regulators should strictly limit the insolvent insurers to underwrite high-risk business and to invest in high-risk assets,and should reduce the cost of the reinsurance transactions through the development of Chinese reinsurance market,guiding the insolvent insurers to relieve the solvency risk through reducing risks and increasing reinsurance timely.