CAJ | 학술논문

为加强保险集团监管，完善中国正在建设的第二代偿付能力管理体系，利用国际上应用广泛的CTE与VaR两种风险度量方法构建监管资本套利模型，对不同条件下保险集团套利策略进行理论研究。根据中国人民财产保险股份有限公司历史数据，运用R软件，首次对保险集团监管资本套利策略进行直观展示和实证检验。研究表明：监管资本套利可以为保险集团节约大量资本，但蕴含一定风险；若监管资本中考虑尾部极端风险，有利于降低监管资本套利风险。
위가강보험집단감관，완선중국정재건설적제이대상부능력관리체계，이용국제상응용엄범적CTE여VaR량충풍험도량방법구건감관자본투리모형，대불동조건하보험집단투리책략진행이론연구。근거중국인민재산보험고빈유한공사역사수거，운용R연건，수차대보험집단감관자본투리책략진행직관전시화실증검험。연구표명：감관자본투리가이위보험집단절약대량자본，단온함일정풍험；약감관자본중고필미부겁단풍험，유리우강저감관자본투리풍험。
For the better regulation of insurance groups and promoting China's secondary generation solvency system ,the article ,taking the methods of CTE and VaR ,builds the modle of regulatory capital arbitrage .Then , the paper studys a insurance group's optimal arbitrage strategies theoretically .What's more ,according to PICC's history datas , the article displays the arbitrage strategies and makes an empirical test .The study shows that through regulatory capital arbitrage ,insurance groups can make the purpose of reducing the amount of capital and improving the capital efficiency ,but containing some risks ;if regulatory capital does contain tail extreme risks ,the risks w ill be reduced .