极端风险对保险机构执行“偿二代”效果的影响研究

The Impacts of Extreme Risks for Insurers Executing China's Risk Oriented Solvency System

近年来伴随资本市场的大幅波动,险资纷纷利用杠杆的方式"举牌"上市公司,与此同时,"偿二代"监管体系于2016年正式发布并开始实施,以监控保险公司的偿付能力和经营风险。在此背景下研究资本市场的波动特别是极端风险对保险公司执行"偿二代"效果的影响具有重要理论和现实意义。本文首先运用ANP方法构建了衡量"偿二代"执行效果的指标体系,以此对12家代表性保险公司"偿二代"执行效果进行了量化考察;在此基础上运用LSDV模型实证检验了资本市场崩盘风险对保险机构执行"偿二代"效果的影响,发现在"偿二代"的监管体系下,整体上保险机构偿付能力的调整是有效率的,能够增加保险机构的安全性,但对于不同类型保险公司而言,财险公司在极端风险情况下的调整却不如寿险公司有效;最后在上述研究的基础上提出了本文的启示。

In recent years,with the volatility of the capital market,insurance funds tried to increase their ownership in listed companies on a leveraged basis.At the same time,China＇s Risk Oriented Solvency System（C-.ROSS）was released and took effect in 2016,to monitor the insurance company＇s solvency and operational risk.In this context,it is of great theoretical and practical significance to study the influence of capital market＇s volatility,especially its extreme risk,to insurance companies executing C-.ROSS.This paper used the ANP method to construct the index system to measure the performance of C-.ROSS,and then used the index system to quantitatively investigate the C-.ROSS execution effects of 12 representative insurance companies.On this basis,the LSDV model was used to test the impacts of the risk of capital market crash on the implementation of C-.ROSS,and found that under C-.ROSS insurers,on the whole,could adjust their solvency effectively,and increase their safety.However,in consideration of different kinds of insurance companies,property insurance firms＇ adjustment was not as effective as life insurance firms in extreme cases.Finally,based on the above analysis,this article put forwards some enlightenments.