《保险研究》20200306-《Solvency II与C-ROSS非寿险保险风险最低资本要求比较研究——基于中国60家财产保险公司的经验证据》（廖朴、周县华、苏晖、黄伊琳）

［摘   要］本文以非寿险业务保险风险最低资本要求为考察对象,研究了欧盟Solvency II与中国C-ROSS的差异,并利用中国保险市场60家财险公司的经验数据,对两者之间的差异进行了实证和模拟分析。研究结果表明,Solvency II和C-ROSS对中国财险公司保险风险最低资本要求存在差异。对于拥有传统业务结构的财险公司,Solvency II对保险风险最低资本要求更高,但是这种差距随着公司业务规模的缩小而减弱；对于以经营某些专业险种为主的财险公司,主营业务险种对两者差异具有决定性影响。本文的研究结论详细解释了Solvency II与C-ROSS在非寿险保险风险最低资本计算上的异同,对C-ROSS下一步的修订工作提供了一定的支持与参考。

［关键词］Solvency II；C-ROSS；保险风险最低资本要求；业务结构

［基金项目］本文受国家社科基金(17CSH018,16BJY186)、中央财经大学科研创新团队支持计划、“青年英才”培育支持计划(QYP1909)和“保险风险分析与决策”学科创新引智基地(B17050)资助。

［作者简介］廖朴,中央财经大学中国精算研究院、保险学院副教授；周县华,中央财经大学中国精算研究院、保险学院教授；苏晖,中央财经大学保险学院硕士研究生；黄伊琳,供职于平安人寿保险股份有限公司。

Minimum Capital Requirements of Non-Life Insurance Risk under Solvency II and C-ROSS:Based on Empirical Evidences from 60 P&C Insurance Companies in China

LIAO Pu，ZHOU Xian-hua，SU Hui，HUANG Yi-lin

Abstract：This article analyzed the differences between the European Union’s Solvency II and China’s Risk-Oriented Solvency System (C-ROSS) in regard to the minimum capital requirements of non-life insurance risks.It conducted empirical and simulation analyses based on data from China’s 60 property and casualty (P&C) insurance companies.The results show that Solvency II and C-ROSS had different minimum capital requirements for China's non-life insurance risk.For P&C insurance companies with a traditional business structure,Solvency II has a higher minimum capital requirement,but the gap decreases with the reduction in the scale of business; for insurers primarily operating certain specialized types of insurance,its major business type has a decisive influence.The results of this study can help explain in detail the similarities and differences between Solvency II and C-ROSS in calculating the minimum capital requirements of non-life insurance risks,and may provide some references for the modification of C-ROSS at the next stage.

Key words：Solvency II; C-ROSS; the minimum capital requirement of insurance risk; business structure