寿险公司负债风险边际计量研究——基于我国新会计准则和欧盟保险偿付能力Ⅱ的视角

Measuring the Risk Margin of Life Insurance Liability in Light of the Newly Issued China Accounting Standards and Solvency Ⅱ

新会计准则与国际会计准则全面持续趋同,其本质特征是引入公允价值,其中财务报告准备金采用负债最优估计加风险边际方法评估,这是负债迈向"公允"的重要一步。本文基于新会计准则和欧盟偿付能力II的视角,利用二元模型,以一款两全保险产品为例进行分析,采用资本成本法、分位数法和情景对比法计算风险边际。结果表明,由于不同评估目的下资本的定义比较模糊,加之缺少评级机构,因此国内目前应用资本成本法的条件不成熟;而情景对比法反映"小概率"事件对准备金的影响,适用性较差;分位数法较为稳定,适用于传统寿险产品。

A substantive characteristic that fair value is introduced to CAS indicates that the convergence between new edition of CAS and IAS continues totally. Measuring financial reserve by BEL of reserve and risk margin is a key step towards fair value. This paper discusses how to measure the endowment＇s risk margin using approaches of CoC, VaR and scenario setting based on CAS and Solvency II perspectives. We get conclusions as follows： First, it＇s difficult to apply the CoC approach in China now because of the obscure definition of capital in different rating purposes and lack of rating institutions. Second, scenario setting approach implies the impact of small prob- ability event on reserve and this restricts its application. Finally, stability makes the VaR approach an appropriate choice for traditional life business at present.