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- W806734328 abstract "Based on weighted kernel density estimation and the nonparametric path identification model, this paper explores the impact of asset structure on solvency and risk exposure by insurance companies. To test the differences in solvency and risk exposure of admitted assets under stock and time deposit investment paths, we compared distributions under different investment paths to benchmark distribution. Our results suggest that both stock and time deposit investment impact positively on solvency, meaning that, all other things being equal, solvency increases when investment assets are expanded but risk increases simultaneously. The impact of stock investment is also greater than that of time deposit investment. The extent of these differences increased gradually over the year under the stock investment path, but reduced under the time deposit investment. Under the stock investment path, the value of the high quantiles of the distribution are likely to shift from that of low quantiles. Expected value and risk exposure under time deposit investment are not necessarily reduced, so regulators should both emphasize solvency indicators in daily supervision and also take into account changes in the investment structure, improve how admissible assets are calculated in case the insurance company increases the solvency margin by expanding high-risk investment." @default.
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- W806734328 date "2015-05-20" @default.
- W806734328 modified "2023-09-26" @default.
- W806734328 title "Asset Structure and Solvency of Insurance Companies in China with Path Identification Model" @default.
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- W806734328 doi "https://doi.org/10.20965/jaciii.2015.p0465" @default.
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