IFRS4与GAAP下的准备金
内容
• IFRS的产生背景
• IFRS第一阶段的成果
• IFRS第二阶段的进展
• IAA对IFRS的建议
保险会计准则的分类
• 监管会计准则
• 通用会计准则
• 税收会计准则
监管会计准则
• 监管会计（Statutory Accounting）主要服
务于保险监管部门，主要为保证保单持
有人利益而监管保险公司偿付能力的需
要。
• 监管会计是具有明显强制性的法规，所
有在法律规定监管范围内的保险企业均
须遵循。
• 制订机构是监管机关
通用会计准则
• 通用会计准则(GAAP)是为公司设计的，其报表
供一般公众、股东、金融机构、投资银行、信
贷发行机构及其他关注公司财务状况和经营成
果的单位使用。
• 通用会计准则能够被普遍接受，是有权威支持
的。会计方法得到职业团体或证券交易委员会
等权威机构的认可；会计方法也得到大批著名
会计教授和专家的书面支持。
• 制订机构:在美国、英国等职业团体较为成熟
的国家，公认会计准由职业团体下属的会计准
则委员会制订。证券委员会也会制订准则对信
息披露提出要求。我国由财政部制订。
通用会计准则的作用
• 提供一系列标准力图以合理的精确度计
量公司所持资产、所欠负债、赚取的收
入以及发生的费用。
• 确保各公司历年的财务数据之间以及与
其他公司的类似信息之间具有可比性。
税收会计准则
• 阅读对象：税务机构
• 报告目的：合理估计利润，以计算应税
收入
• 评估准则：谨慎或适度谨慎由税收政策
决定
GAAP与SAP的比较
• （一）服务对象不同
• （二）编制目的不同
–GAAP在于报告强调获利能力，为兼顾不同会
计信息使用者各方面的要求，它只能在资产
负债表、利润表、现金流量表之间取得一个
平衡，任何一张报表都不能偏废。SAP报告
财务状况，主要关注偿付能力，侧重于资产
负债表和现金流量分析。
GAAP与SAP的比较
• （三）风险态度、会计假设不同
GAAP持不偏不倚的风险态度，采用持续经营
假设；SAP在十分谨慎的风险态度下，排除持
续经营理念，虚拟停业清算，采用准清算假设。
持续经营是指会计主体的经营活动将按照
现在的形式和既定的目标无限期的继续下去，
在可预见的未来内不会清算。准清算是假设保
险公司现在就能够以其现有资产偿付现在及未
来的债务，它对资产的定价侧重于现在的变现
能力，对准备金的提取更为保守和稳健。
通用会计准则
• 国际会计准则(IASB颁布)
• USGAAP
• 保险会计准则 - 原保险合同（中国财政部
颁布）
GAAP下的责任准备金
• GAAP准备金 = 评估假设下的毛保费准备金+
推迟释放的利润
• 推迟利润的释放
–保费中附加的风险边际既是需要提供给股东的利润，
也是抵御风险的屏障。
–期交保费的险种，风险与保费成正比。趸交保费的
险种，用保额作为风险的度量。利润的释放速度与
风险的降低速度相等。
–GAAP准备金评估假设中允许加入不利偏差，以保留
更多的利润应对风险，将更多的利润推迟到后期释
放。
GAAP对假设的锁定
GAAP准备金在保单签发时即已确定，且在
以后的年份中不再修改。除非经验恶化，
经充足度测试后发现需要核销DAC或补提
准备金。核销的方法是将未来的损失现
值抵扣DAC直至为零。
IFRS的产生背景
• 公司业务的加速全球化和资本市场的国
际化要求财务报告标准的统一。
• 会计丑闻（如美国安然和世界通信公司）
对会计标准施加了压力，迫使会计准则
必须能够更加真实地反映经营状况
• IFRS由国际会计准则管理委员会
（IASB）制订，以提高各地区和各公司
之间的透明度和可比较性
国际会计准则委员会
• 1973年，作为一个私营机构创立
（IASC），给发展中国家提供技术支持；
IASC发展成为美国FASB的抗衡，结构与
FASB类似；
• 2001年，经过机构重组，成立IASB；
IFRS的实施进程
• 欧盟：2005年起所有的欧盟上市公司依
据IFRS编制合并财务报表。同时在欧盟
市场和其他国际交易的公司，要求从
2007年起采用IFRS
• 加拿大与澳大利亚承诺遵守IFRS
• 美国的财务会计准则管理委员会与IASB
签定协议协调统一美国GAAP与IFRS
国际会计准则-保险会计
• IASC在1998年制订了涉及金融工具的IAS39和
IAS32，其中不包括保险合同（IAS39：金融工
具：认可与计算；IAS32 ：金融工具：披露与
陈述）
• 保险会计的特殊性和复杂性，使IASB意识到必
须建立一些专门的会计准则。保险会计项目与
1997年启动，目标是建立一套资产和负债都以
公允价值为基础的会计标准，包括两个需要解
决的问题：一是将利润计量由目前的匹配观转
为资产负债观，二是统一准备金的谨慎度。
国际会计准则-保险会计
• 2002年IASB决定将这一项目分为两个阶
段进行
• 阶段一的任务是：定义保险合同；信息
披露；充足性测试。
• 阶段二的任务是：负债及其他要素的计
量。
国际会计准则-保险会计
• 2004年三月出版《IFRS4--保险合同》
• IAS39和IAS32将会适用于保险公司持有
或发行的金融工具中，
• 三份标准一起构成了第一阶段的成果。
• 2005年IFRS4的补充标准-金融产品中的
保证条款颁布。
IFRS4
• 保险合同的定义：合同必须涉及到一定的风险
才算一份保险合同，没有达到这一标准的将作
为IAS39和IAS32中的金融工具处理
• 要求公司做保险负债的充足性测试，
• 不允许为平滑损失的目的建立平衡准备金和巨
灾准备金。
• 用未来现金流的折现值评估准备金
• 初始费用不能递延
第二阶段的进展及IAA的建议
新会计准则的实施进程
• 讨论稿征询意见 2007年11月16日
• 发布征求意见稿 2008年11月
• 发布准则草案 2009年11月
• 准则生效日期 2011年
Preliminary Views on Insurance Contracts
• 假设保险公司在评估日即刻将其剩余的合同权利和义
务转移给另一个实体，转移过程中该保险公司所期望
支付的价钱就是在该评估日保险合同负债的值。IASB
称这一评估方法为“当期退出价值”（current exit
value）.
• 当前退出价值一般无法通过观测获得，只能用当前的、
无偏的、与市场一致假设对未来的负债现金流求期望
现值。
• 负债价值要反映出风险和提供服务的价值，反映市场
参与者接受负债所要求的补偿。风险和服务的价值将
以保单组为基础进行评估，同一个保单组内的保单相
似风险并且统一管理。
IAA 报告
• 在国际保险监管官协会（IAIS）下属的偿付能
力委员会和保险合同会计准则委员会的要求下，
国际精算师协会（ IAA）成立了风险边际研究
组（RMWG，Risk Margin Work Group），专
门研究保险合同负债评估的问题，以便与IASB
对保险合同的相关研究保持一致。
• RMWG于2009年4月15日正式发布了《保险合
同负债的计量：最优估计和风险边际》
（Measurement of Liabilities of Insurance
Contracts:Best Estinates and Risk Margins）。
IAA 报告
• 负债的最优估计和风险边际一起构成了
负债的“当前退出价值”。
• 进行最优估计之前，必须确认所有与合
同权利和义务相关的未来现金流。
• 进行最优估计的评估假设必须是当前的、
无偏的而且是与市场保持一致的。
IAA 报告
• 为达到以上要求的评估假设，必须收集到非常
可靠和相关的信息，即历史经验信息等。信息
包括市场的和非市场的信息。非市场信息包括
基于保单组的信息、基于公司整体的信息、基
于行业的信息。不同的评估假设对市场和非市
场信息的倚重不一样。比如，贴现率的信息来
自市场的最可靠，但死亡率的信息则是来自保
单组本身的最可靠，但保单组信息往往不够充
分，所以需要使用行业信息或者公司信息加以
调整
IAA 报告
• 风险边际的计算方法有多种，它把风险
边际计算方法分为四类：分位数法、资
本成本法、明确假设法、贴现的风险边
际计算法（discount-related risk
margin）
最优估计的现金流
• 最优估计值是以未来法计算出的评估日
后所有负债现金流的期望现值，要尽可
能全面地考虑到未来的责任和风险，应
当包括所有由合同的权利和义务所引起
的对公司财务有影响的现金流
最优估计的假设
（一）死亡率
死亡率假设分为两个部分：（1）死亡率水
平；（2）死亡率变化趋势。
（二）保单持有人行为及退保率
（三） 费用率
对长期合同的费用做出假设时，常常假定公
司会将新业务维持在一个合理水平。
（四）贴现率
贴现率反映货币的时间价值。
Discount rates
• Discount rates can depend on whether a
contract's obligations are either
• (1) directly linked to the investment return
of a designated portfolio of assets or
contract-specified asset portfolio or
• (2) not directly linked to such
performance.
Unlinked discount rates
• Composition of interest rates
– Risk free rate, which really is not risk free, but at
least excludes most credit risk.
– In the case of an insurer that expects to earn
interest at a rate greater than the risk-free rate
(most insurers believe that the market prices
effective interest at a conservative rate), a loss at
issue of an insurance contract with a heavy
savings component may result if discount rates
used are at a risk-free level. This may be
overcome if the discount rate chosen is greater
than the risk-free rate, possibly including a liquidity
premium or other adjustment
Risk free rate
• Real interest rate.
• Inflation expectation or time preference for
the duration of the cash flow.
• Sovereign provision (the credit risk of the
national government's securities)
• Less other elements.
– extreme market aversion to risk, a desire to
indicate to others the safety of the securities, and
the cost of safe keeping
Risk-free discount rates
• Government bond rates
• Government bond rates plus an
adjustment
• Corporate bond rates minus an
adjustment
• Swap rates minus adjustment
• Swap rates
liquidity premium
• it refers to the extent to which a liability or an
asset can be converted to cash or a cash
equivalent as desired, without a substantial
price discount at a given point in time.
• As a result, neither literature nor practice has
yet developed to derive a universally
accepted application of this concept to
liabilities
Study on liquid premium
• A significant body of literature exists that
attempts to demonstrate the estimation of
liquidity premiums in corporate bond spreads.
Most of these studies focus on the . bond
market, although an increasing number have
been made on the basis of credit default
swap (CDS).
• Limited research has been conducted
regarding the effect of liquidity on prices of
liabilities, although the concept of studying
bid-asked prices may be useful to consider
Study on liquid premium
• October ：the Danish Ministry of Economic
and Business Affairs, with the agreement of
the Danish Insurance Association, allow for a
temporary period discount rates for pensions
for maturities of more than seven years would
reflect a liquidity premium of fifty percent of
the difference between the weighted, option-
adjusted credit spread on bonds in Nykredit's
mortgage bond index (covered bonds) and
the ten year Danish swap rate.
Linked (and related) obligations
• The measurement of the obligation
should be consistent with the
measurement of the corresponding
assets. To the extent that linked assets
replicate the obligation (or a fixed
proportion of it) entirely, its liability
would equal the reported value of the
linked assets.
Risk Margin
• The risk margin for ―policyholder
protection as an element of prudence
• The risk margin as a provision for the
cost or price for bearing risk
• The risk margin as a provision for the
price for bearing risk – exit value
approach
• The risk margin as a provision for the
cost of bearing risk
Desirable risk margin characteristics
• The less that is known about the current estimate and its
trend; the higher the risk margins should be
• Risks with low frequency and high severity will have
higher risk margins than risks with high frequency and low
severity
• For similar risks, contracts that persist over a longer
timeframe will have higher risk margins than those of
shorter duration41
• Risks with a wide probability distribution will have higher
risk margins than those risks with a narrower distribution
• To the extent that emerging experience reduces
uncertainty, risk margins will decrease, and vice versa.
Risk margin
• quantile methods, including
– a. percentile or confidence levels (VaR);
– b. related methods, specifically, conditional tail expectation
(CTE, also called tail value at risk or TVaR); and
– c. multiples of the second and higher moments of the risk
distribution;
• cost of capital methods;
• discount related methods;
• explicit assumptions;
• conservative assumptions in the current estimate
producing implicit risk margins
Quantile approaches
• The use of confidence levels is the most
common quantile method.
• Conditional Tail Expectation is a
modified approach,
Cost of capital method
• It reflects the concept of a risk margin as cost
of bearing risk.
• The cost of capital refers to the amount of
return, before income tax, in addition to the
amount earned by the insurer from its
investment of capital that is required for the
total return on the insurance enterprise to be
sufficient after payment of income tax
• In this method, capital should be determined
on an economically sound basis (.,
sufficiently risk sensitive)
Cost of capital method
• SST formula
• the capital cash flow calculation
Discount-related risk margins
• A risk adjusted discount method
discounts expected cash flows using
risk-free interest rates minus a selected
risk adjustment. The risk adjustment
might vary by line of business, age of
runoff or some other factor that affects
the risk distribution
Explicit assumptions
• An explicit margin within a specified range.
Accounting or actuarial guidance specifies the
ends of the range (perhaps, as a percentage of the
central estimate) and indicates criteria for deciding
whether the margin should be set nearer one end
of the range. [An approach of this type is in use in
Canada.]
Pooling and diversification
• Pooling of similar risks in portfolios or diversification
by combining portfolios that are sufficiently
uncorrelated reduces risk and, therefore, should
result in a lower coefficient of variation and skewness
of the risk distribution. Therefore, using the methods
described in the previous section, the indicated risk
margin is reduced by allowance for pooling and
diversification.
• The extent that pooling and diversification are
reflected in international financial reporting systems
has not been determined at the time this paper was
written
Reference portfolio/entity concept
• The IAIS has proposed that ―similar obligations with
similar risk profiles should result in similar liabilities
• One way to achieve the IAIS objective would be to
determine the reporting entity risk margin by
considering how the risk margin in the reporting entity
portfolio would be valued by a potential standardized
entity, notionally representing a transferor
• Further research and discussion of the practical
application of this approach is encouraged
risks to be considered
• For the current discussion of risk margins,
risks reflected in the risk distribution are all
the non-hedgeable risks associated with the
runoff of claims/contract obligations,
• including the risk of variability in the amount
of settlement obligations, reinsurance credit
risk66, and operational risk (for further
discussion, see Section ),
• but not including market or credit risk for
assets, as far as those are hedgeable.
Time horizon and risk perception
• The time horizon for the risk margin relates to the full runoff
of contract obligations and hence is based on the variability,
estimated at the reporting date, between estimates of the
value of the obligation at the reporting date and the actual
value when the obligation is settled (Runoff test).
• The time horizon is a specific time period (., one year)
and the amount of capital is calculated by estimating the
change in capital (market value of assets minus market value
of liabilities) with a specific percentage of probability (.,
% as in the European Solvency II project) of assets
being sufficient to cover the liabilities needed one year from
the reporting date (Change in Capital Test).
IFRS\MCEV\solvency II
• In Europe , the proposed approaches to
valuing liabilities under solvency II , IFRS4
phase 2 and MCEV become aligned.
• All are
– Economic , market based valuation approaches
– Based on CE plus margin
IFRS\MCEV\solvency II
Asset
Solvency II IFRS 4 MCEV
CE CE CE
RM RMRM
SCR Service margin VIF
Statutory reserve
Excess capital IFRS equity Adjusted net asset
Overview of valuation approaches
asset IFRS Solvency II MCEV
Market value For most asset yes yes
liability
coverage Insurance
contract
Insurance and
investment
contract
Insurance and
investment
contract
Measurement
attribute
Current exit
value
Current exit
value
Settlement value
BE yes yes yes
Risk margin Cost for
uncertainty
Cost for non-
hedgable risk
Cost for non-
hedgable risk
and friction risk
Service margin yes no no
Measurement method
• Current exit value
amount that the insurer would pay to transfer its
remaining contractual rights and obligations
immediately to another entiry.
Assumption is market specified
• Settlement value
value to shareholders of an insurance contract
under the assumption that contractual rights and
obligations are served within the company on a
going concern basis.
Assumption is entity specified
Best estimate
IFRS Solvency II MCEV
Cash flow Current estimate Current estimate Current estimate
assumption Market based Market based Market balsed
discounting Not specified Swap rates Swap rates
Operating expense Market specific Entity specific Entity specific
Future premium Included if
contractual
Included Included if
renewal premium
Future
discretionary
bonus
Included for legal
and constructive
obligation
included included
Options and
guarantees
included included included
Own credit risk included excluded excluded
