The Quantitative Analysis Of Minimum Capital Management For The Market Risk Of CROSS

In the new regulatory solvency rules that have entered the operation(C-ROSS),the high risk implied by the high rate of return on capital drives to high demand for the minimum capital,restricting the rate of return on capital.Among the capital requirements of quantifiable risk,close to 70%is on the investment side,thus investment planning research on the role of solvency management has become important.At the present,the research mainly based on the risk factor to reduce the minimum capital,but can’t quantify the actual release or occupation of the minimum capital.This paper mainly reduces the minimum capital according to the calculation rules,and we will excavate the characteristics of the minimum risk coefficient matrix of each kind of risk,so as to carry on the marginal analysis and sensitivity analysis of the lowest risk capital of each kind,and to reduce the minimum capital risk of the insurance market.This method can be extended to other areas such as the insurance risks and credit risk,to reduce the overall minimum capital of quantifiable risk.Finally,this paper conducts an empirical analysis of the minimum capital of insurance companies based on correlation coefficient matrix.This paper chooses the real solvency data of different kinds of companies-traditional large companies and foreign companies-as the research object,compares their minimum capital and solvency adequacy ratio of these insurance companies in the Solvency I and the Solvency II in China.The sub-risk of the specific data,using Excel to establish the corresponding minimum capital optimization model,and different companies in the second generation under the risk of each sub-risk and risk for the insurance institutions to provide investment and debt-side decision-making Policy recommendations.It is concluded that the actual capital and the minimum capital of each company are significantly higher than those of the first generation.Solvency rate of increase or not,of which:the actual capital by the company’s business structure,the protection of business,high-profit business and more companies in the actual capital increase.The minimum capital risk dispersion effect and the loss absorption adjustment effect,it is subject to asset allocation and business structure of the common impact.The more balanced the asset allocation and business structure,the lower the minimum capital.In order to improve the capital efficiency of the company,in the same capital consumption to obtain more cash flow and profits,in the asset allocation and business collocation should pay more attention to capital impact.At the asset level,asset allocation should be optimized to improve capital efficiency.Under the current structure,only consider the capital consumption,the least consumption of capital assets for the AFS bonds,HTM bonds,long-term equity investment,stock.On the debt side,the business structure should be optimized to improve capital efficiency.The business structure also affects the actual capital and the minimum capital,capital consumption products and capital contribution products in a certain ratio can be achieved under the optimal efficiency.