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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 for solvency regulation is undoubtedly the natural link between capital and risk. This article uses the data of China’s property insurance companies from 2003 to 2011, and uses the three-stage least squares method (3SLS) to examine whether there is a significant two-way influence between the capital and risk of China’s property insurance companies. The study found that there is no significant correlation between the capital ratio of the insurer and the underwriting risk, and there is a significant negative correlation between the capital ratio and the investment risk. This shows that there is not a good interaction between the risk and the capital ratio, The “risk-capital” interaction mechanism, which is not expected to reflect the change of risk in time, is yet to be formed. We also find that solvency adequacy ratio has a significant positive impact on underwriting and investment risks, suggesting that firms with higher solvency tend to pursue greater risk appetite, increase risky asset investments or have higher risk Business underwriting. Finally, some suggestions are put forward for the construction of supervision system of the second generation of the insurance industry in our country.