如何更简单的理解要求资本RC=MAX{MC+MAX[CV-(RES+MC),0]-(DPL-DTL),0}

  由于同事辞职，领导突然让我做EV的工作，之前这方面接触比较少，在看RC时碰到了瓶颈。

《人身保险内含价值评估标准》里对要求资本的定义为RC=MAX{MC+MAX[CV-(RES+MC),0]-(DPL-DTL),0}，
虽然可以通过推导列出各种情形下的要求资本，但是却无法理解公式的真正含义，请教一下各位大神对这个公式有没有比较简单明了的理解方法

RC=MAX{MC+MAX[CV-(RES+MC),0]-(DPL-DTL),0}
（1）关于MAX[CV-(RES+MC),0]可参考《保险公司偿付能力监管规则》第三章 认可负债  第二十一条有关现金价值保证负债的解释；
（2）在偿二代中是没有DPL概念的，DPL是会计准备金和内含价值准备金中的概念，可以理解为内含价值准备金中的剩余边际，DTL是由于DPL产生的递延所得税负债，是会计中的递延所得税处理的一些内容，具体内容可参考会计中“递延所得税”的处理；
（3）在偿二代中，大多情况下CV<RES+MC，所以近似的RC=MC；
（4）因为在内含价值计算中考虑了DPL（这是与偿二准备金的主要区别）,DPL本身可理解为未来将会释放的利润，既然是利润，在算RC时，要从MC中减掉。(或者可以将DPL理解为在偿二RES基础上额外计提的一笔负债，既然计提的负债增加了，那么在偿二MC保持不变的情况下，在计提的负债之上额外要求的RC就相应减少了，所以DPL是减项)

首先CSV Guarantee算是各国计提准备金及资本的共识了，因为现价是保证给客户的权益，如果计提负债+资本还没有现价高，显然是不合理的
其次，DPL和DTL楼上解释得很清楚了，虽然资本扣除DPL的部分后，偿付能力下可分配盈余的走向有时比较奇怪（出现利润倒挂）
再次，资本不允许计提为负的，也就是说不允许释放为利润，减少做手脚的空间吧，我个人理解

一，
这个问题的本源起始于偿二代负债的特征，偿二代负债的设计初衷是贴近会计负债（计算负债现金流的市场价值，更偏金融学理论的负债计量方法），在这种负债计算原则下，一个产品的利润会在0时点全部释放出来。为了让利润的释放能够在整个保险期间内更平滑和缓和，另外一种负债被强行植入了-DPL（利润递延负债，又叫剩余边际）。DPL存在的意义就是递延利润的释放，让原本在0时点全部释放的利润递延到各个保单年度，跟随一个选定的摊销载体来逐年释放。在0时点的DPL相当于未来利润的现值。
二
建议不要单独的看RC=MAX{MC+MAX[CV-(RES+MC),0]-(DPL-DTL),0}这个公式，让这个公式回到内含价值计算中。
无论是哪个监管体系，内含价值下的可分配利润=现金流-deta（准备金+要求资本）。
如果把这里面的准备金+要求资本合并来看，暂时忽略DTL，则准备金+要求资本等于max（A,B,C）-DPL：
A=RES + DPL
B=RES +MC
C=CV
三
1. 先解释为什么B和C要取大，CV现金价值是准备金和要求资本的打底项目，现金价值是退保时必须支付给客户的钱，如果准备金和要求资本的和比CV还小，那有点说不过去了
2. 再解释为什么要减去DPL。因为在偿二代负债下利润可以全部在0时点释放（如果没有DPL的话），所以如果利润足够多，这些利润本身是可以为未来的各种风险提供一个保证金（偿付能力）的作用的，不需要让保险公司的股东额外掏钱，这个产品可以自我融资，这里面的DPL就是利润的代表。这种机制相当于建立起一个奖惩机制，如果保险公司开发盈利性高的产品，那不需要股东额外的掏很多钱来支持新业务；反之如果产品盈利性差，股东为支持新业务要付出很高的代价。3. 最后解释为什么A和B要取大，因为2的原因，准备金和要求资本可以受到DPL的冲减，但是这个冲减是有限度的，被冲减后的准备金和要求资本之和不能低于准备金，所以B和A要取大。

zhangshaolong 发表于 2020-1-20 15:51
RC=MAX{MC+MAX[CV-(RES+MC),0]-(DPL-DTL),0}
（1）关于MAX[CV-(RES+MC),0]可参考《保险公司偿付能力监管规 ...

学习了！

感谢楼上几位大佬的详细解答！作为刚接手的新人很受用！

最近也在研究这个，既然楼上的解释都很详细了，那我就补个公式推导吧
RC=MAX{MC+MAX[CV-(RES+MC),0]-(DPL-DTL),0}
=MAX{MC+MAX[CV,RES+MC]-(RES+MC)-(DPL-DTL),0}
=MAX{MAX[CV,RES+MC]-RES-(DPL-DTL),0}
=MAX{MAX[CV,RES+MC],RES+(DPL-DTL)}-RES-(DPL-DTL)
=MAX{CV,RES+MC,RES+(DPL-DTL)}-RES-(DPL-DTL)
=MAX(A,B,C)-C
其中A=CV,B=RES+MC,C=RES+(DPL-DTL)

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