我国保险业对利率政策的反应研究

利率政策主要通过保险承保业务和投资业务对保险业产生影响。为研究我国保险业务对利率政策的反应,运用面板数据模型、格兰杰因果关系检验、脉冲响应函数和方差分解分析方法。实证检验表明:财产保险和人寿保险承保业务和投资业务对利率政策工具的反应系数不一样;利率政策工具并不全是保险承保业务和投资业务的格兰杰原因;对利率政策工具的冲击,保险承保业务和投资业务的响应不一样,利率政策工具对其影响的贡献度也不一样。最后提出几点规避保险业务利率风险的政策建议。     

利率市场化和寿险定价利率改革互动研究

随着我国利率市场化的深入推进,寿险定价利率市场化呼之欲出。本文从分析部分国家利率市场化和寿险定价利率市场化互动及影响入手,在总结利率市场化和寿险定价利率市场化的互动对寿险市场影响的基础上,分析了2011年以来我国利率市场化启动对我国寿险市场带来的挑战,并从监管、市场机制和保险公司自身等角度提出了应对挑战的建议。     

升息预期下的保险经营策略

随着全球经济转暖和通货膨胀压力的不断增大,世界各主要经济体相继进入了新一轮的加息周期。中国作为世界第六大经济体,在经历了连续多次的降息之后,也从2004年10月29日开始上调利率。在世界经济发展趋势的影响下,很多人认为中国经济运行已经开始进入了一个升息通道,对未来几年调高利率的预期不可避免。保险业作为金融业的重要组成部分,其自身的经营与发展和利率波动密切相关。     

Unspanned Stochastic Volatility: Evidence from Hedging Interest Rate Derivatives

Most existing dynamic term structure models assume that interest rate derivatives are redundant securities and can be perfectly hedged using solely bonds. We find that the quadratic term structure models have serious difficulties in hedging caps and cap straddles, even though they capture bond yields well. Furthermore, at‐the‐money straddle hedging errors are highly correlated with cap‐implied volatilities and can explain a large fraction of hedging errors of all caps and straddles across moneyness and maturities. Our results strongly suggest the existence of systematic unspanned factors related to stochastic volatility in interest rate derivatives markets.     

Deposit Insurance, Capital Adequacy Requirements and Interest Rate Dynamics

This paper examines the long run interaction among deposit insurance, bank deposit rates and capital adequacy requirements. Using analysis similar to the price discrimination model of Lott and Roberts (1991) we find that a competitive environment among banks would link the spread between insured and uninsured deposit rates to the size of the insurance premium. We also find that banks that choose to operate at the regulatory minimum capital level, would increase asset risk with increased capital requirements if (1) the implicit interest paid to insured and uninsured depositors is equally sensitive to changes in risk and capital adequacy and (2) the insurance premium is independent of the level of risk and capital adequacy. Under the present risk-based premium structure, asset risk has the potential to decline when the regulatory agency raises capital requirements. Finally, we examine the time series behavior of insured and uninsured interest rates to see if it is consistent with our theoretical model. We find that insured and uninsured rates, along with deposit insurance premiums, are cointegrated series as suggested by our model.     

利率和汇率变动对保险业影响的比较分析

利率和汇率两种重要政策工具通过影响国民经济增长速度对保险需求产生影响,并通过作用于保单预定利率及投资收益率直接影响着保险企业经营状况及资本充足率。其中,利率的不利变动对保险企业的影响更大,甚至可能危机企业的生存,中国寿险业严重的利差损负担即源于保单预定利率的降低;因地域及目的的不同,汇率对保险企业的影响比较复杂,企业可主动采取的风险防范措施较多。保险企业应加强人才引进和培养,强化对利率、汇率变动趋势的研究,防患于未然;并积极开拓投资渠道,创新风险管理方法,做好资产负债匹配。     

预定利率市场化必将促成寿险市场多赢局面

不放开传统寿险产品的预定利率,传统产品就无法做大,就无法发挥其社会保障功能。只要把住偿付能力监管,市场就不会出现无序竞争。展望未来,需要更多地站在行业的角度、客户的立场来开发产品、开拓市场,唯此整个保险业才能在社会保障体系中进一步确立应有的地位,才能充分发挥经济补偿、资金融通、社会管理三大职能,才能真正实现全方位的发展,才能真正让投资者分享到行业的成长价值。     

Nonlinear Drift And Stochastic Volatility: An Empirical Investigation Of Short-Term Interest Rate Models

In this article I provide new evidence on the role of nonlinear drift and stochastic volatility in interest rate modeling. I compare various model specifications for the short‐term interest rate using the data from five countries. I find that modeling the stochastic volatility in the short rate is far more important than specifying the shape of the drift function. The empirical support for nonlinear drift is weak with or without the stochastic volatility factor. Although a linear drift stochastic volatility model fits the international data well, I find that the level effect differs across countries.     

保额及费率的异常变化对财产保险经营的影响

近年来，随着市场竞争态势的加剧，我国财产保险市场保额和费率呈现异常变动态势，再保险公司的稳健经营、保险市场的竞争秩序、政府的监督管理及消费者利益的维护带来一系列负面影响。为改变这种状况，从宏观上政府监管机构应强化监管，行业协会应发挥好引导、协调、监督作用。大力加强全社会诚信体系建设；从微观层面上保险公司应加强内控管理、强化风险意识、削减经营成本、培育创新能力，建立一套完整的费率实施和管理体系。     

操作目标利率的选择与传导 ——基于MLF利率与隔夜利率的实证检验

依据2014-2018年月度数据,运用VAR模型考量MLF利率与隔夜利率对贷款加权利率、商业银行行为以及金融市场利率与金融市场波动的影响.结果表明:MLF利率对贷款加权利率和商业银行行为的影响较大,隔夜利率对金融市场利率和金融市场波动的影响较大.鉴此,应利用MLF利率调节贷款加权利率与商业银行行为,利用隔夜利率调节金融市场利率与金融市场波动,当两种利率的调节效果收敛接近时,再最终确定唯一的操作目标利率.     

Interest Rate Risk and Equity Values of Life Insurance Companies: A GARCH–M Model

The importance of managerial decisions related to interest‐sensitive cash flows has received considerable attention in the insurance literature. Consistent with the interest‐sensitive nature of insurer assets and liabilities, empirical research has shown that insurer insolvency is significantly related to interest rate volatility. We investigate the interest rate sensitivity of monthly stock returns of life insurers based on a generalized autoregressive conditionally heteroskedastic in the mean (GARCH–M) model. We examine three different portfolios (equally weighted, risk‐based, and size‐based) with binary variables to explicitly account for varying interest rate strategies adopted by the Federal Reserve System. Results based on data for the period 1975 through 2000 indicate that life insurer equity values are sensitive to long‐term interest rates and that interest sensitivity varies across subperiods and across risk‐based and size‐based portfolios. The results complement insolvency research that links insurer financial performance to changes in interest rates.     

Financial and Demographic Risks of a Portfolio of Life Insurance Policies with Stochastic Interest Rates

Abstract

We refer to a recent paper by G. Parker (1997) in which the risk of a portfolio of life insurance policies (namely the risk related to the entire contractual life) is studied by separating the demographic component from the financial component. In our paper, after making a brief summary of Parker’s model, we propose two additional contributions: 1. We first give the problem a different formalization, thus allowing a portfolio risk analysis by management periods and a study of the risk due to the interactions among years;

2. We elaborate on a powerful and flexible algorithm for calculating the probability distribution of the sum of random variables that proves useful to solve not only the problems discussed in this paper concerning the risk analysis but also various other problems.

In the paper, we also show, for both contributions, some applications made under the same financial and demographic assumptions taken by Parker; we also compare our results with Parker’s results.     

利率市场化及商业银行利率风险分析

在我国，利率一直实行管制政策，在计划经济时期，低利率管制政策有其一定的合理性，利率是否市场化并不重要。但随着市场机制作用的增大，特别是在非国有企业、股份制银行和外资银行兴起以及国有商业银行和国有企业经营机制转变之后，利率管制的弊端愈加突出。本刊签约作者周革平博士认为当前国内外的物价水平稳中趋低，商业银行存差较大，最宜实行利率市场化改革。文章通过阐述利率市场化的基本涵义，分析论证了利率市场化后，国有商业银行面临的利率风险     

Interest Rate Derivatives in a Duffie and Kan Model with Stochastic Volatility: An Arrow-Debreu Pricing Approach

Simple analytical pricing formulae have been derived, by different authors and for several derivatives, under the Gaussian Langetieg (1980) model. The purpose of this paper is to use such exact Gaussian solutions in order to obtain approximate analytical pricing formulas under the most general stochastic volatility specification of the Duffie and Kan (1996) model. Using Gaussian Arrow-Debreu state prices, first order stochastic volatility approximate pricing solutions will be derived only involving one integral with respect to the time-to-maturity of the contingent claim under valuation. Such approximations will be shown to be much faster than the existing exact numerical solutions, as well as accurate.     

A Simple Induction Approach and an Efficient Trinomial Lattice for Multi-State Variable Interest Rate Derivatives Models

This paper presents an alternative approach for interest rate lattice construction in the Ritchken and Sankarasubramanian (1995) framework. The proposed method applies a parsimonious induction technique to represent the distribution of auxiliary state variables and value interest rate derivatives. In contrast to other approaches, this technique requires no numerical interpolations, approximations and iterative procedures for pricing interest rate options using a simple backward induction and, therefore, provides significant computational advantages and flexibility with respect to existing implementations. Also, the proposed trinomial interest rate lattice specification provides for a further reduction in computational costs with additional flexibility. The results of this work can be extended to a class of derivatives pricing models with path dependent state variables and generalized to multi-factor models.     

The Value of Deposit Insurance in the Presence of Interest Rate and Credit Risk

In this paper we employ the theory of the term structure of interest rates and the pricing of interest contingent contracts to determine the fair value of insurance for depository institutions. The balance sheet of a bank is taken to consist of long and short positions in various fixed income securities. Deposit insurance for the bank is a put option on the value of the assets. The value of deposits, assets, the implied exercise price of the put and the value of the put are all determined simultaneously as part of the same valuation solution. The approach is developed initially for a single‐state term structure. It is extended to incorporate credit risk on bank assets.
The most important policy implication is that for a bank whose assets are longer term than its liabilities and whose borrowers are not excessively leveraged the properly calculated, risk‐adjusted deposit insurance premia are increasing functions of the level of interest rates. Sensitivity analyses also treat such factors as the bank's deposit to asset ratio, duration gap, interest volatility, the volatility of assets backing the bank loans, and the bank's borrowers' debt to equity ratio.     

Cybersecurity Insurance: Modeling and Pricing

Cybersecurity risk has attracted considerable attention in recent decades. However, the modeling of cybersecurity risk is still in its infancy, mainly because of its unique characteristics. In this study, we develop a framework for modeling and pricing cybersecurity risk. The proposed model consists of three components: the epidemic model, loss function, and premium strategy. We study the dynamic upper bounds for the infection probabilities based on both Markov and non-Markov models. A simulation approach is proposed to compute the premium for cybersecurity risk for practical use. The effects of different infection distributions and dependence among infection processes on the losses are also studied.     

The Use of Interest Rate Derivatives by End-users: The Case of Large Community Banks

This paper investigates the use of interest-rate derivatives by U.S. commercial banks with total assets between $100 million and $1 billion. These banks are interesting, because they allow us to focus on the end-users of interest-rate derivatives rather than dealers. Over our four-year test period, 1990–1993, only 10% of these large community banks, on average about 250 banks per year, used any interest-rate derivatives. We find evidence that the use of interest-rate derivatives is positively related to exposure to interest-rate risk as measured by the absolute value of the 12-month maturity gap. In addition, a community bank's decision to participate in interest-rate contracts is positively related to size. Nevertheless, we find no positive relationship between size and the extent of participation in the derivatives market. Finally, our evidence suggests that banks that participate more heavily in interest-rate swaps have stronger capital positions, an indicator of market or regulatory discipline or both.     

适应低利率环境推动消费贷款和存款利率的市场化

市场利率过低乃至与存款利率倒挂是近期金融市场的一个典型现象,从我国经济运行的短期、中期和长期态势看,支持市场利率走高的经济机制并不存在。从短期看,存在人民币升值预期;从中期看,经济景气周期下行以及由此导致的投资增长率下滑;从长期看,由人口结构变化导致的储蓄率长期高于投资率。低市场利率环境为中国银行业的转型和金融体系的机构调整提供了足够的操作空间。