Evaluation And Empirical Study On The Life Insurance Reserve Under C-ROSS

After the promulgation of the regulation on the solvency of insurance companies(no.1-no.17),the China insurance regulatory commission announced that the regulation will come into effect in January 2016.The implementation of this new regulation also marks that the regulation on the solvency of insurance companies by Chinese regulatory authorities has entered a completely new period.Insurance company reserve as an important part of solvency supervision,carry on the accurate and reasonable assessment is crucial to the regulation no.3: life insurance liabilities review comprehensively expounds the life insurance companies set aside a reserve for the composition and the calculation method of each component,for interpretation of this rule helps to fully recognize the advantages and disadvantages of this rule and to perfect it.At the same time,the setting of discount rate curve is also of great significance to the evaluation of life insurance reserves.In regulation no.3,the unexpired liability reserve for life insurance is mainly composed of three parts: present value of cash flow,surrender option,time value of guaranteed benefits and risk margin.In this paper,the meaning and calculation method of these three components are understood,and the calculation method of cash flow present value is focused on,which is compared with the first generation of solvency regulation,and the advantages and limitations of C-ROSS reserve cash flow present value evaluation method are obtained.In order to explore whether the discount rate curve in the C-ROSS is reasonable,this paper adopts the CIR interest rate model to model the discount rate curve,and calculates the reserves under the C-ROSS and the CIR interest rate model respectively,and makes a comparative analysis of the two.This paper can be divided into five parts: the first part is the introduction,which introduces the research background and significance of this paper,summarizes and analyzes the relevant research results at home and abroad,on this basis to determine the research ideas of this paper,and summarizes the main innovations and shortcomings of this paper.The second part is the theoretical analysis part,which analyzes the significance and calculation method of each component of the life insurance unexpired liability reserve in regulation no.3,and focuses on the advantages and possible shortcomings of the cash flow present value accounting method and.The third part firstly briefly introduces the CIR interest rate model,then selects the data used by the estimated parameters according to the principle of stationarity and correlation,and finally USES the MCMC method to estimate the relevant parameters of the CIR interest rate model.The fourth part has chosen a life insurance product to carry on the empirical analysis,to calculate its in their second generation under the rules of liability reserve funds,CIR interest rate model is then used to Monte Carlo simulation of liability reserve funds,estimates the reserve of CIR model again,finally,the second generation compensation liability reserve funds,and the liability reserve under the CIR model has carried on the comparison and analysis.The fifth part mainly analyzes the empirical results of the previous chapter,expounds the advantages of the C-ROSS and the problems existing in the assessment hypothesis and other details,and puts forward some suggestions.The research conclusions of this paper are as follows: first,the cash flow present value evaluation method under the C-ROSS is closer to the actual development of the insurance market and can better meet the needs of solvency supervision;Second,the C-ROSS use the 750-day moving average Treasury yield curve to maturity as the benchmark for determining the level of policy liability discount rate,which has certain limitations in the estimation method.Third,the C-ROSS compensation with reserves and the change trend of CIR interest rate model under reserve is roughly same,but the reserves under the CIR model changes more smoothly and in the whole during the period of insurance has been slightly higher than the C-ROSS compensation reserve,reserve estimation method and limitations may cause the C-ROSS compensation reserve has the problem of insufficient extraction.