我国财产保险公司资本与风险关系研究——兼论偿付能力监管制度的影响

An Empirical Analysis on the Relationship between Capital Structure and Risks for Property & Casualty Insurers——With an additional discussion on the effects of solvency regulation sSystem

偿付能力监管的理论依据无疑是资本和风险之间的自然联系。本文采用我国财产险公司2003～2011年的数据,运用三阶段最小二乘法(3SLS),考察我国财产险公司的资本和风险之间是否存在显著的双向影响。研究发现,财产险公司资本比例与承保风险无显著相关关系,资本比例和投资风险之间存在显著的负向相关关系,这说明风险和资本比例之间还没有形成良好的互动关系,使得资本变化不能适时反映风险变化,实施偿付能力监管制度所期望的"风险-资本"互动机制尚未形成。我们还发现,偿付能力充足率对承保风险和投资风险均具有显著正向影响,说明偿付能力水平越高的公司倾向于追求更大的风险承担水平,会增加风险性资产的投资或者风险较高业务的承保。最后对我国保险业第二代偿付能力监管制度体系建设提出了相关建议。

The theoretical basis of solvency regulation lies with the natural relationship between capital and risk. Using the data of property ＆ casualty insurers from year 2003 to year 2011, this paper examined whether cap ital and risk had significant dual effects for non-life insurers through the method of three stage least squares （3SLS） . The empirical results showed that there was no significant correlation between capital ratio and underwriting risks, but there was significant negative relationship between capital ratio and investment risk. This indicates that there is no dual positive interaction between capital structure and risk, the change of capital structure cannot reflect the change in risk profiles timely, and the current solvency regulatory system does not achieve the expected result of ＂capital-risk interaction＂. We also found that solvency adequacy ratio had a significant positive impact on under writing risk and investment risk, indicating that nonlife insurers having a higher solvency level tended to pursue greater risk exposure, and they might invest into more risky assets or underwrite more risky businesses. Based on these conclusions, this paper proposed some suggestions on China Risk- oriented Solvency System for insurers.