资本在保险中的性质和作用

The Geneva AssociationThe Geneva Association is the leading international insurance think tank for strategically important insurance and riskThe Geneva Association identifies fundamental trends and strategic issues where insurance plays a substantial role orwhich influence the insurance sector. Through the development of research programmes, regular publications and theorganisation of international meetings, The Geneva Association serves as a catalyst for progress in the understanding of riskand insurance matters and acts as an information creator and disseminator. It is the leading voice of the largest insurancegroups worldwide in the dialogue with international institutions. In parallel, it advances—in economic and cultural terms—the development and application of risk management and the understanding of uncertainty in the modern economy.The Geneva Association membership comprises a statutory maximum of 90 chief executive officers (CEOs) from the world’stop insurance and reinsurance companies. It organises international expert networks and manages discussion platforms forsenior insurance executives and specialists as well as policymakers, regulators and multilateral organisations.Established in 1973, The Geneva Association, officially the ‘International Association for the Study of Insurance Economics’,has offices in Zurich, Switzerland and is a non-profit organisation funded by its Members. management issues. The Nature and Role of Capitalin Insurance The Geneva AssociationThe Geneva Association—‘International Association for the Study of Insurance Economics’Zurich | Talstrasse 70, CH-8001 ZurichEmail: secretariat@genevaassociation.org | Tel: +41 44 200 49 00 | Fax: +41 44 200 49 99The Nature and Role of Capital in Insurance© The Geneva AssociationPublished by The Geneva Association—‘International Association for the Study of Insurance Economics’, Zurich.The opinions expressed in The Geneva Association publications are the responsibility of the authors. We therefore disclaim allliability and responsibility arising from such materials by any third parties.Download the electronic versionfromwww.genevaassociation.org. FOREWORDEXECUTIVE SUMMARYINTRODUCTIONThe role of insuranceCharacteristics of the insurance businessThe insurance balance sheetRisk managementFinancial resources available to meet and honour policyholder obligationsThe role of capital in insurance companiesTYPES OF CAPITALThree views of capitalRegulatory capitalRating agency capitalEconomic capitalCAPITAL CALCULATIONSCore featuresChoice of risk horizonInteractions of assets and liabilitiesRisk distributionsTransferability and fungibility constraintsModel calibration and validationModel limitationsROLE OF CAPITAL IN A RISK FRAMEWORKRisk frameworksRisk appetiteCapital in the ORSAStrategic planningConcluding remarksIIIIV1222256788891011111212131314151616171717 INSURANCE SECTOR INVESTMENTS AND THEIR IMPACT ON FINANCIAL STABILITYIt has often been claimed that banks and insurers perform similar roles in theeconomy; i.e. offering a range of financial services to consumers and businesses,of which some may have quite similar characteristics—like a number of retire-ment products—while other products may not. Moreover, not least in relationto discussions on the regulatory requirements for banks and insurers, it is oftenassumed that the regulatory path to be followed should be rather similar. Espe-cially in the aftermath of the financial crisis, which spurred global calls for strictercapital rules, the revised global set up is to a large extent being developed alongsimilar lines.But in effect, insurance and banking operate pursuant to very different businessmodels. As part of their business, they are exposed to different risks and thereforemust be treated differently in terms of reporting and regulatory requirements.The differences come to the fore in the role of capital. In insurance, capitalmust be held to ensure that at period’s end the claim of the last policyholderwill be met. Although the occurrence of an insured event will always trigger cashoutflows, payments are often spread out over an extended period. Moreover,insured events occur randomly and are rarely bunched together to trigger largeand sudden outflows. This is in contrast to the requirements in banking, where acapacity for instant loss absorbency (capital requirement) is needed to stem sud-den cash drains and in order to prevent a potential systemic chain of contagionfrom unravelling.For insurers, the need to manage capital in such a way that policyholder claimswill always be fulfilled requires intricate calculations and assumptions aboutlong-term developments that impact underwriting. To this end, they havedeveloped sophisticated capital modelling techniques and embedded them incomprehensive risk analysis and control frameworks. Thus capital managementserves not only to ensure an insurer’s long-term solvency, it is also a strategictool to manage its position in the market.It is with t