我国保险业在后危机时代的风险管理

美国次贷危机引发的华尔街金融风暴席卷全球,危机延伸到保险业导致美国保险巨头美国国际集团AIG由政府接管,金融危机使得人们更深层次地意识到风险管理对于金融业的重大意义。保险作为一种风险管理方式,其行业自身的风险管理尤为重要。本文借鉴国外保险公司的风险管理策略,并结合我国构建风险管理体系的经验与实际情况,提出关于构建我国保...     

中国的“影子保险”:来自监管自然实验的证据

影子保险在金融稳定中扮演着重要角色,但现有文献较多关注影子银行,对影子保险关注不足。“影子保险”即保险公司通过再保险方式将保险业务转移给不受监管或者受监管较弱的关联企业的活动,这会推高其真实的杠杆水平,增加金融体系脆弱性。然而,由于影子保险的不透明性和缺少自然实验,现有研究仅基于有限数据或模型给出简单的特征事实或结构性估计,很少能从因果关系上清楚地识别影子保险活动及其机制。本文利用中国加强对中资保险公司(处理组)再保险关联交易监管的政策冲击这一自然实验,使用微观数据和双重差分方法,识别了中国金融体系中的影子保险活动。研究发现,相关监管有效降低了影子保险活动,这一效应对集团公司的影响尤为显著;在机制方面,相关监管通过影响中资保险公司资产负债表两端的结构性调整进而降低了其风险承担行为,提高了经营稳定性。本文方法对识别金融机构的监管套利和防范系统性金融风险具有一定参考意义。     

Systemic Risk,Financial Crisis,and Credit Risk Insurance

Differing from conventional insurance firms whose underwriting business does not contribute to systemic risk, credit risk insurance companies providing credit protections for debt obligations are exposed to systemic risk. We show that credit risk insurers (CRIs) underperformed conventional insurance companies during the 2007–2009 financial crisis, and such underperformance is attributed to the greater systemic risk of CRIs. We also find that the credit spreads of insured bonds increase significantly after their insurers are downgraded or put in the negative watch list. We control for alternative factors affecting bond credit spreads and the result is robust.     

Tail Risk Networks of Insurers Around the Globe: An Empirical Examination of Systemic Risk for G-SIIs vs Non-G-SIIs

In this article, we investigate systemic risk of 157 insurers around the globe. We construct tail risk networks among these insurers using a single-index model for quantile regressions with a variable selection technique. We develop a new network-based systemic risk indices, taking into account expected tail losses of insurers, direct and indirect contagion effects, and the time-varying strength of tail risk spillover. Our systemic risk indices successfully recognize global systemically important insurers (G-SIIs). We find that on average G-SIIs are more systemically relevant than non-G-SIIs, particularly during the recent U.S. financial crisis. We also find a small group of non-G-SIIs that are more important than G-SIIs. Our results have significant implications for systemic risk regulation.     

Systemic risk of insurers around the globe

We study the exposure and contribution of 253 international life and non-life insurers to systemic risk between 2000 and 2012. For our full sample period, we find systemic risk in the international insurance sector to be small. In contrast, the contribution of insurers to the fragility of the financial system peaked during the recent financial crisis. In our panel regressions, we find the interconnectedness of large insurers with the insurance sector to be a significant driver of the insurers’ exposure to systemic risk. In contrast, the contribution of insurers to systemic risk appears to be primarily driven by the insurers’ leverage.     

Curbing systemic risk in the insurance sector: A mission impossible?

This paper addresses the issue of systemic risk in insurance and investigates how financial markets evaluate the introduction of a new regulation addressed to global systemically important insurers (G-SIIs). We analysed the stock price reactions and the evolution of the distance-to-default of a sample of 44 of the world's largest insurers to the publication of the first list of 9 G-SIIs and the release of information regarding their new capital requirements and other policy measures. The results of our event study suggest that, overall, investors doubt the effectiveness of the new regulatory framework in reducing systemic risk in the insurance sector and curbing the moral hazard implications of a “too systemic to fail” policy.     

AIG困境对我国保险业的启示

本文探索了AIG集团在此次国际金融危机中面临困境的原因,强调财务风险和会计制度的选用对其造成的巨大影响;其次分析了国际金融危机对我国保险业的影响;最后解析AIG困局对我国保险行业的经验教训和启示,主要是回归保险业本体,加强保险监管,探索适合我国保险业发展的保险会计制度。     

Systemic Risk in the Insurance Sector: A Review and Directions for Future Research

This article reviews the extant research on systemic risk in the insurance sector and outlines new areas of research in this field. We summarize and classify 48 theoretical and empirical research papers from both academia and practitioner organizations. The survey reveals that traditional insurance activity in the life, nonlife, and reinsurance sectors neither contributes to systemic risk nor increases insurers’ vulnerability to impairments of the financial system. However, nontraditional activities (e.g., credit default swap underwriting) might increase vulnerability, and life insurers might be more vulnerable than nonlife insurers due to higher leverage. Whether nontraditional activities also contribute to systemic risk is not entirely clear; however, the activities with the potential to contribute to systemic risk include underwriting financial derivatives and providing financial guarantees. This article is not only likely of interest to academics but also highly relevant for the industry, regulators, and policymakers.     

AT THE CROSSROADS: THE LIFE INSURANCE INDUSTRY AND FINANCIAL SERVICES REFORM

Abstract: In September of 1996, The Board of Directors of the American Council of Life Insurance ("ACLI")reversed decades of policy and embraced for the first time the concept of reciprocal ownership or "affiliations" between life insurance companies and commercial banks. Under this new policy mandate, the ACLI is advocating federal legislation that would permit banks to sell all types of insurance and control insurance underwriters through separate affiliates or subsidiaries. In return, 1) insurers would have the authority to acquire banks; 2) the insurance activities of banks would be fully subject to state insurance regulation; and 3) federal bank regulators would be precluded from preempting state regulatory authority.
This article reviews the various factors that precipitated this watershed policy decision, discusses the structural and regulatory issues that are important to life insurers, and speculates briefly on the prospects for financial services legislation.     

The Capital Structure of Firms Subject to Price Regulation: Evidence from the Insurance Industry

Automobile and workers' compensation insurance are relatively homogeneous products sold under varying regulatory systems among the states. This paper investigates how price regulation affects the capital structure decisions of profit-maximizing insurers who sell insurance in both competitive and/or regulated markets. Specifically, we test the hypothesis that insurers subject to price regulation will choose to hold less capital. In addition, we hypothesize insurers subject to more stringent regulatory pricing constraints will choose even higher degrees of leverage because the benefits of holding additional amounts of capital are suppressed. We conduct empirical tests using cross-sectional data on insurers and find evidence consistent with both hypotheses. These findings have important implications for insurance price and solvency regulation. Stricter price regulation increases the default risk (i.e., reduces the financial quality) of insurance contracts purchased by individuals and firms.     

On the exposure of insurance companies to sovereign risk—Portfolio investments and market forces

A sovereign debt crisis can have significant knock-on effects in the financial markets and put financial stability at risk. This paper focuses on the transmission of sovereign risk to insurance companies as some of the largest institutional investors in the sovereign bond market. We use a firm level panel dataset that covers large insurance companies, banks and non-financial firms from nine countries over the time period from 1 January 2008–1 May 2013. We find significant and robust transmission effects from sovereign risk to domestic insurers. The impact on insurers is not significantly different from that on banks but larger than for non-financial firms. We find that systemically important insurers are more closely linked to the domestic sovereign. Based on European data, we show that risks in sovereign bond portfolios are an important driver of insurer risk, which is not reflected in current insurance regulation (incl. Solvency II in Europe).     

Systemic risk and diversification across European banks and insurers

The mutual and cross company exposures to fat-tail distributed risks determine the potential impact of a financial crisis on banks and insurers. We examine the systemic interdependencies within and across the European banking and insurance sectors during times of stress by means of extreme value analysis. While insurers exhibit a slightly higher interdependency in comparison with banks, the interdependency across the two sectors turns out to be considerably lower. This suggests that downside risk can be lowered through financial conglomeration.     

Shadow banking,insurance and financial sector stability

Motivated by the recent financial crisis and the near collapse of the insurance giant American International Group (AIG), we empirically study the link between the insurance sector, the size of the shadow system and financial stability across countries. Using the Z-score as a measure of financial stability and the ratio of insurance assets to GDP for 26 countries during the period 1998–2011, this paper shows that: (i) the insurance sector is negatively and significantly related to financial stability, and that (ii) using the shadow banking system as a channel, the insurance sector is detrimental to financial stability for countries with a high level of shadow banking assets.     

Engineered nanomaterials: risk perception,regulation and insurance

Concerns surrounding the health risk of engineered nanomaterials, effective regulation and the lack of specifically tailored insurance products for the nanotechnology sector are putting the industry’s long-term economic viability at risk. From the perspective of the underwriter, this article speculates on the relationship between risk perception, regulation and insurability. In the nanotechnology sector, regulators are currently failing to keep pace with innovation, and insurers generally lack guiding principles for underwriting occupational risk from nanomaterial exposure. Such vulnerabilities when combined with misguided risk perceptions can lead to the overpricing of risk transfer and ill-conceived regulatory initiatives, thus potentially exhausting resources and stifling innovation in the sector. In the absence of well-developed regulatory protocols, the insurance industry has, and will continue, to occupy a key role as an effective lobby in terms of improved risk management practice. We suggest that the insurance industry will increasingly rely on control banding frameworks and ‘risk mitigation at source’ methods developed in conjunction with their clients to manage severe acute diversifiable risks. Long tail risk will continue to represent a serious challenge to insurers and regulators. In the meantime, insurers will have to bridge their current needs with improvised solutions. As an example of one possible solution, we outline a framework that utilizes financial instruments to hedge an insurer’s exposure to uncertain estimates of these long-term risks.     

The nature and determinants of disclosure practices in the insurance industry: Evidence from European insurers

Filling a gap in the existing literature on disclosure practices by insurance companies, this research provides new empirical evidence on the nature and determinants of disclosure practices in the European insurance industry over the 2005–2010 period. The main results show that insurers are more inclined to invest in the quantity of risk information rather than in the disclosure quality of the entire annual report, as risk information is addressed to high-level financially educated people and requires fewer resources than are needed for an investment in quality. Further, the analysis also shows that insurer level characteristics, in terms of size and technical provisions, as well as country level variables, significantly affect the amount of risk information disclosed. In the years affected by the financial crisis, the level of risk disclosure quantity increases as insurers use disclosure as a tool to reassure stakeholders on their independence from the global financial crisis.     

Derivatives: Understanding Their Usefulness and Their Role in the Financial Crisis

This article makes two main arguments that are intended to guide policymakers and regulators of financial markets: (1) when used properly, derivatives are enormously useful to companies in managing business risks; and (2) neither derivatives nor derivatives‐related products played significant roles in causing or exacerbating the financial crisis of 2007–2009. The author begins by illustrating the corporate use of derivatives with a detailed example of how a large brewer uses both exchange‐traded wheat futures and over‐the‐counter aluminum swaps to hedge the risks of higher wheat and aluminum prices. In the process, the value of much‐maligned OTC derivatives, and the role of financial intermediaries in facilitating their use, are clearly demonstrated. The second part of the article refutes the popular claims, widely expressed in the media and on Capitol Hill, that derivatives were at the heart of the financial crisis. Losses and failures during the crisis are shown to have resulted primarily from excessive non‐derivative leverage and from investments in non‐derivative mortgage products that fell dramatically in value. The only significant exception involved the insurance company AIG, whose failure and bailout are attributable not only to large losses on credit default swaps, but to comparable losses on non‐derivative mortgage products. Moreover, by the time AIG failed, many other large financial institutions had already either failed or experienced large losses. What's more, and all but forgotten during the controversy, some large banks were able to reduce risk by hedging with those derivatives.     

Capital regulation,deposit insurance and bank risk: International evidence from normal and crisis periods

In this paper, we examine the impact of capital regulation on bank risk and the moderating role of deposit insurance on the relationship between capital regulation and bank risk during both normal and crisis periods. Using an international sample of banks from 111 countries, our results show that stringent capital regulation reduces bank default risk, in general, during normal growth period, and this effect is not conditioned by the existence of explicit deposit insurance. Further, stringent capital regulation in place during the pre-crisis period reduces bank default risk during the crisis period, and this effect is stronger for countries with explicit deposit insurance during the pre-crisis period. These results have important policy implications to design the optimal bank regulations.     

Insurance companies’ trading behaviour during the European sovereign debt crisis: Flight home or flight to quality?

This paper empirically investigates if insurers exhibited a flight home or flight to quality during the European sovereign debt crisis and other stages of the financial crisis. Our dataset consists of over sixty insurance companies, for which we separately observe trading behaviour and portfolio revaluations at a quarterly frequency during 2006–2013. When explaining insurers’ trading behaviour we explicitly control for country risk and momentum strategies. The results show that insurers exhibited a flight to quality during the European sovereign debt crisis, while we find no evidence of a flight home. The flight to quality was not present before the European sovereign debt crisis and disappeared after ECB chairman Draghi's speech mid-2012. Interestingly, supervisory data suggests that the observed flight to quality was not driven by regulatory solvency constraints.     

我国保险资金境外投资风险防范探析

随着保险业发展速度的加快,保险投资资金的不断增多,使保险资金境外投资逐步成为国内保险机构扩展投资领域、提高保险资金投资收益的重要途径。但与境外投资高收益相伴的是不容忽视的高风险,2008年下半年以来,随着美国次级债风波演变为百年难遇的全球性金融危机,国际金融形势风云突变,对外投资形势日趋严峻,我国保险资金对外投资面临着严峻的风险。本文通过对当前我国保险业保险资金境外投资面临的风险分析,采取理论与案例相结合的方式,从保险监管方式、内部风险控制、资产负债匹配、投资比例限制及投资人才储备等方面提出我国保险资金境外投资风险的具体策略和措施。     

Multilayer networks in the frequency domain: Measuring extreme risk connectedness of Chinese financial institutions

We propose multilayer networks in the frequency domain, including the short-term, medium-term, and long-term layers, to investigate the extreme risk connectedness among financial institutions. Using the conditional autoregressive value at risk (CAViaR) tool to measure the extreme risk of financial institutions, we construct extreme risk networks and inter-sector extreme risk networks of 36 Chinese financial institutions through the proposed approach. We observe that the extreme risk connectedness across financial institutions is heterogeneous in the short-, medium-, and long-term. In general, the long-term connectedness among financial institutions rises sharply during times of financial stress, such as the 2015 Chinese stock market turbulence and the 2020 COVID-19 pandemic. Moreover, we note that the insurers are key players in driving the inter-sector extreme risk networks, because the inter-sector systemic importance of insurance institutions is dominant. Finally, our conclusions provide valuable information for regulators to prevent systemic risk.