偿二代市场风险最低资本管理的量化分析

In the new regulatory solvency rules that have entered the operation (C-ROSS), the high risk implied by the high risk of exposure, by the high demand for the minimum capital to reflect, and the high demand for the minimum capital, come to contain the rate of return on capital. Can be quantified as the risk of capital requirements, close to 70% in the investment side, investment planning research on the role of solvency management has become important.This paper mainly reduces the minimum capital according to the calculation rules, while at the present the research mainly based on the asset risk factor to reduce the minimum capital, but can not quantify the actual release or occupation of the minimum capital. In this paper, 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 to provide the decision of the insurance investment. And can be extended to the insurance risks and credit risk and other areas, to reduce the overall quantifiable risk of minimum capital.