基于GARCH模型的我国保险公司经济资本度量

GARCH Model-based Measurement of Chinese Insurers′ Economic Capital

从国际发展趋势看,保险公司希望在了解行业平均水平的基础上针对自身特有的风险特征进行评估,这促进了经济资本内部模型的发展。而我国保险公司的经济资本研究才刚刚起步,从模型的设置到实际应用都处于探索阶段。本文利用一个GARCH模型初步讨论了保险公司投资风险的经济资本度量方法及实证。研究发现,投资于基金所需经济资本最高,股票次之,债券最小。文章利用一个真实保险公司的例子说明如何进行投资风险经济资本评估。计算发现,该公司经济资本所需数量比实际偿付能力低,这验证了利用经济资本可以优化保险公司的资本配置的结论,即该公司可以将部分资本应用于更有效的地方。

From the perspective of international development trends, insurance companies prefer to evaluate their economic capital based on their own unique risk profiles and their understanding of industry average levels. This has given rise to the development of internal economic capital models. The research on insurers＇ economic capital has just started in our country, and are therefore still on an experimental stage not only for model establishment but also for practical application. The paper utilized the GARCH model to tentatively discuss on how to measure the econom- ic capital for investment risks. The research revealed that investment in securities funds required the highest level of economic capital, followed by stocks and bonds. It took an insurance company as an example to explain how to eval- uate economic capitals for different insurance risks. The calculation process demonstrated that this insurer＇s required economic capital was lower than its actual solvency margin. It justified the assertion that application of the economic capital method could help to optimize insurers＇ capital allocation ,which meant that the insurer could put some of its capital to more effective use.