《保险研究》20210706-《保险负债评估的基本公式及其在IFRS17中的应用》（王晴）

［摘   要］从现有的会计准则向IFRS17转换时,过渡日保险合同负债计量中,公允价值法具有重要的地位。本文首先讨论了公允价值法中两种评估方法AAM(actuarial appraisal method)和OPM(option pricing method)之间的等价关系,利用数学归纳法给出这个等价公式的数学证明；然后推导出保险负债评估的基本公式；引申出了基于MDEV的公允价值评估方法。本文中的基本公式能够直观揭示寿险公司价值评估和准备金之间的直接关系,把剩余边际、内含价值和实际资本都统一在同一框架下,欧洲所流行的MCEV可以视为MDEV的一个特殊情景。在实证分析中,将MDEV模型用于负债的公允价值评估。本研究将对IFRS17准则下基于公允价值的保险负债评估提供落地的解决方案。

［关键词］IFRS17；公允价值；保险负债评估；可分配利润现值

［作者简介］王晴,农银人寿总精算师,数学博士。

The Basic Formula of Insurance Liability Evaluation and Its Application under IFRS17

WANG Qing

Abstract：The fair value method plays an important role in the measurement of insurance contract liabilities on the transition date in the transition from the existing accounting standards to IFRS 17.This paper discussed the equivalent relationship between the two evaluation methods AAM (actual approximate method) and OPM (option pricing method) in the fair value method,and gave the mathematical proof of this equivalent formula by mathematical induction.The basic formula of insurance liability evaluation was then derived which extended the fair value evaluation method based on the MDEV model.The equivalent formula in this paper can directly reveal the direct relationship between the value evaluation and reserves of life insurance companies.The residual margin,embedded value and real capital are unified in the same framework,and the popular MCEV in Europe can be regarded as a special scenario of MDEV.In the empirical analysis,the MDEV model is used for fair value evaluation.This study will provide a practical solution for the evaluation of insurance liabilities under the fair value method of IFRS17.

Key words：IFRS17;fair value;insurance liability evaluation;discounted distributable earnings