中国非寿险业逆周期监管之附加资本计提及检测

Designation and Detection of the Best Capital Buffer of Nonlife Insurance Countercyclical Regulation in China

保险业逆周期监管的实施办法和监管效果一直是各国保险监管机构探讨的重要议题之一。基于国非寿险业的历史数据,利用面板数据模型识别了非寿险逆周期监管的监控指标,根据Markov区制转移模型设计了逆周期附加资本的计提方法,并确定了最优的逆周期附加资本比率。研究结果发现,国非寿险业逆周期监管的监控指标应该为保费收入增长率。Markov区制转移模型可以有效采用平滑概率表示非寿险业发展所处的区制。基于平滑概率而适时增大或减小的附加资本比率能有效扭转保费收入的变动方向,从而使保险市场的变动更加平稳。而且,附加资本比率的取值为2.5%左右时,逆周期监管效果最佳。

The implementation and the supervision of countercyclical regulation is an important issue in insurance in every country. In this article,the appropriate monitor control index of nonlife insurance countercyclical regulation was got by panel data model on the foundation of history data of nonlife insurance in China. Using Markov regime switching model,the regulation system of nonlife insurance countercyclical regulation was designed in detail and the best capital buffer was got. The results showed that premium increasing rate was the best monitor control index of nonlife insurance countercyclical regulation,as it keeps a close relationship with solvency ratio. The smooth probability in Markov regime switching model could show the different regime at different time effectively. If the regulation department required appropriate positive or negative capital buffer according to the smooth probability,the premium development direction could be reversed effectively. Then,the fluctuation of insurance market would be smoother. What's more,the nonlife insurance countercyclical regulation was most effectively if we took the capital buffer ratio c as 2. 5%. Those research results were useful for the ' Solvency II' designation in China.