企业价值评估中股权缺乏流通性减值折扣研究

股权缺乏流通性对其本身价值有减值影响这一结论已被一些国外著名研究结论所证实.在国内,目前尚没有这方面的研究理论公开发表.作者通过介绍1999年以来对我国法人股的交易案例的研究,证实缺少流通性对股权有减值影响这一结论在我国同样适用.文中还给出了作者在业务实践经验基础上总结出的估算缺少流通性折扣率的初步估算思路和方法.     

“掘”战保险PE

2012年6月,中国保险监督管理委员会(下称保监会)在大连召开了保险资金投资改革创新的闭门会议,并在会议上讨论了13项投资新政征求意见稿。这13条征求意见稿几乎涵盖了保险投资所能涉及的所有渠道。此举被业内解读为保险投资打通四经八脉、任督全开的第一式。紧随其后的7月25日,保险会颁布第一批新政;10月22日,第二批新政亮相登台。对比新政出炉的红火,保险公司在实际投资上却始终坚守着冷静、保守的态度。     

Ruin Probabilities for Insurance Models Involving Investments

In this paper we study the ruin problem for insurance models that involve investments. Our risk reserve process is an extension of the classical Cramér-Lundberg model, which will contain stochastic interest rates, reserve-dependent expense loading, diffusion perturbed models, and many others as special cases. By introducing a new type of exponential martingale parametrized by a general rate function, we put various Cramér-Lundberg type estimations into a unified framework. We show by examples that many existing Lundberg-type bounds for ruin probabilities can be recovered by appropriately choosing the rate functions.     

The Price of Options Illiquidity

The purpose of this paper is to examine the effect of illiquidity on the value of currency options. We use a unique dataset that allows us to explore this issue in special circumstances where options are issued by a central bank and are not traded prior to maturity. The value of these options is compared to similar options traded on the exchange. We find that the nontradable options are priced about 21 percent less than the exchange-traded options. This gap cannot be arbitraged away due to transactions costs and the risk that the exchange rate will change during the bidding process.     

The Illiquidity of Corporate Bonds

This paper examines the illiquidity of corporate bonds and its asset‐pricing implications. Using transactions data from 2003 to 2009, we show that the illiquidity in corporate bonds is substantial, significantly greater than what can be explained by bid–ask spreads. We establish a strong link between bond illiquidity and bond prices. In aggregate, changes in market‐level illiquidity explain a substantial part of the time variation in yield spreads of high‐rated (AAA through A) bonds, overshadowing the credit risk component. In the cross‐section, the bond‐level illiquidity measure explains individual bond yield spreads with large economic significance.     

Insurance Considering a New Stochastic Model for the Discount Factor

In many empirical situations (e.g.: Libor), the rate of interest will remain fixed at a certain level (random instantaneous rate i i ) for a random period of time ( t i ) until a new random rate should be considered, i i + 1 , that will remain for t i + 1 , waiting time until the next change in the rate of interest. Three models were developed using the approach cited above for random rate of interest and random waiting times between changes in the rate of interest. Using easy integral transforms (Laplace & Fourier) we will be able to calculate the moments of the probability function of the discount factor, V ( t ), and even its c.d.f. The approach will also be extended to the calculation of the expected value (net premium) and variance of a term insurance and we will get its c.d.f., something not very common in actuarial literature due to its complexity, but very useful when the law of large numbers cannot be applied and consequently use normal approximations.     

Long-Term Care Insurance and Life Insurance Demand

This article investigates the interaction between life insurance and long-term care insurance markets on the demand side. In the model utility depends on both consumption and bequest, and utility from consumption is contingent on the state of health. While the demand for life insurance increases both with decreasing income and with a rising degree of altruism, the influences of these two parameters on the demand for long-term care insurance are ambiguous. If the utility shock arising from disability declines, both insurance demands will rise.     

Household Life Insurance Demand

Abstract

What types of households own life insurance? Who owns term life and who owns whole life insurance? These are questions of great interest to insurers that operate in a highly competitive market. To answer these questions, we jointly examine household demand of two types of insurance, term and whole life, using data from the Survey of Consumer Finances, a probability sample of the U.S. population. We model both the frequency and the severity of demand for insurance, building on the work of Lin and Grace by using explanatory variables that they developed. For the frequency portion, the household decisions about whether to own term and whole life insurance are modeled simultaneously with a bivariate probit regression model. Given ownership of life insurance by a household, the amounts of insurance are analyzed using generalized linear models with a normal copula. The copula permits the bivariate modeling of insurance amounts for households who own both term and whole life insurance, about 20% of our sample. These models allow analysts to predict who owns life insurance and how much they own, an important input to the marketing process.

Moreover, our findings suggest that household demand for term and whole life insurance is jointly determined. After controlling for explanatory variables, there exists a negative relationship for a household’s decision to own both whole and term life insurance (the frequency part) and a positive relationship for the amount of insurance purchased (the severity part). This indicates that the greater the probability of holding one type, the smaller the probability of holding the other type of life insurance. However, higher demand for both types of insurance exists when a household decides to own both. This mixed effect extends prior work that established a negative relationship, suggesting that term life insurance and whole life insurance are substitutes for one another. In contrast, our findings reveal that the ownership decision involves substitution, but, for households owning both types of insurance, amounts are positively related. Therefore, term and whole life insurance are substitutes in the frequency yet complements in the severity.     

Life Insurance Lapse Behavior

Life insurance policy lapses are detrimental to issuing insurers when lapses substantially deviate from insurer expectations. The extant literature has proposed and tested, using macroeconomic data, several hypotheses regarding lapse determinants. While macroeconomic data are useful in providing a general test of lapse determinants, the use of aggregate data precludes an analysis of microeconomic factors that may drive the lapse decision. We develop and test a microeconomic model of voluntary life insurance lapse behavior and provide some of the first evidence regarding household factors related to life insurance lapses. Our findings support and extend the prior evidence regarding lapse determinants. Consistent with the emergency fund hypothesis we find that voluntary lapses are related to large income shocks, and consistent with the policy replacement hypothesis we find that the decision to lapse a life insurance policy is directly related to the purchase of a different life insurance policy. We also find that age is an important moderating factor in the lapse decision. Changes in income appear to more directly affect the decision to lapse for younger households, while they are generally unrelated to the lapse decision for older households.     

Life Insurance Mathematics with Random Life Tables

Abstract

When the insurer sells life annuities, projected life tables incorporating a forecast of future longevity must be used for pricing and reserving. To fix the ideas, the framework of Lee and Carter is adopted in this paper. The Lee-Carter model for mortality forecasting assumes that the death rate at age x in calendar year t is of the form exp(α_x + (β_xK_t), where the time-varying parameter K_t reflects the general level of mortality and follows an ARIMA model. The future lifetimes are all influenced by the same time index K_t in this framework. Because the future path of this index is unknown and modeled as a stochastic process, the policyholders' lifetimes become dependent on each other. Consequently the risk does not disappear as the size of the portfolio increases: there always remains some systematic risk that cannot be diversified, whatever the number of policies. This paper aims to investigate some aspects of actuarial mathematics in the context of random life tables. First, the type of dependence existing between the insured life lengths is carefully examined. The way positive dependence influences the need for economic capital is assessed compared to mutual independence, as well as the effect of the timing of deaths through Bayesian credibility mechanisms. Then the distribution of the present value of payments under a closed group of life annuity policies is studied. Failing to account for the positive dependence between insured lifetimes is a dangerous strategy, even if the randomness in the future survival probabilities is incorporated in the actuarial computations. Numerical illustrations are performed on the basis of Belgian mortality statistics. The impact on the distribution of the present value of the additional variability that results from the Lee-Carter model is compared with the traditional method of mortality projection. Also, the impact of ignoring the dependence hat arises from the model is quantified.     

The Co-op Discount

Cooperative and condominium housing differ in several ways that might be expected to influence their pricing. Most but not all of these differences argue for a higher valuation for condominiums. Hedonic equations estimated on a national sample indicate that the price differential on the average condo/co-op unit in 1987 was 12%. Condos maintain a price premium under a variety of specifications, although its magnitude depends on the bundle of attributes being priced.     

The Demand for Life Insurance in OECD Countries

This article examines the determinants of life insurance consumption in OECD countries. Consistent with previous results, we find a significant positive income elasticity of life insurance demand. Demand also increases with the number of dependents and level of education, and decreases with life expectancy and social security expenditure. The country's level of financial development and its insurance market's degree of competition appear to stimulate life insurance sales, whereas high inflation and real interest rates tend to decrease consumption. Overall, life insurance demand is better explained when the product market and socioeconomic factors are jointly considered. In addition, the use of GMM estimates helps reconcile our findings with previous puzzling results based on inconsistent OLS estimates given heteroscedasticity problems in the data.     

The Value of Control and the Costs of Illiquidity

We develop a search model of block trades that values the illiquidity of controlling stakes. The model considers several dimensions of illiquidity. First, following a liquidity shock, the controlling blockholder is forced to sell, possibly to a less efficient acquirer. Second, this sale may occur at a fire sale price. Third, absent a liquidity shock, a trade occurs only if a potential buyer arrives. Using a structural estimation approach and U.S. data on trades of controlling blocks of public corporations, we estimate the value of control, blockholders' marketability discount, and dispersed shareholders' illiquidity‐spillover discount.     

寿险公司业务的保障属性对经营绩效的影响

目前,寿险业面临着深化改革的难题,不少寿险公司的发展也遇到了困难,在此背景下,一些偏离"保险姓保"政策导向的寿险公司的经营绩效表现不佳,且抗风险能力堪忧.回归"保障"能否改善寿险公司的经营绩效,进而增强寿险业整体的抗风险能力,成为当下亟待研究的问题.本文聚焦寿险公司业务保障属性强弱对其经营绩效的影响,采用"保险风险占比"指标来度量寿险公司业务的保障属性强弱,综合构建寿险公司绩效评价方式,选取61家寿险公司作为样本,组成非平衡面板数据,采用固定效用模型、多项Logit模型进行实证分析,并采用更换模型法和子样本回归法对实证结果进行稳健性检验.研究发现,寿险公司业务的保障属性强会对其经营绩效产生显著正向影响.具体而言,寿险公司业务保障属性越强,其盈利能力越强,同时其经营稳健性越好,具体表现为该公司的投资风险、退保风险、偿付风险和流动性风险越低.基于此,本文提出相关的监管政策建议和寿险公司经营战略建议.     

Portfolio Choice and Life Insurance: The CRRA Case

We solve a portfolio choice problem that includes life insurance and labor income under constant relative risk aversion (CRRA) preferences. We focus on the correlation between the dynamics of human capital and financial capital and model the utility of the family as opposed to separating consumption and bequest. We simplify the underlying Hamilton–Jacobi–Bellman equation using a similarity reduction technique that leads to an efficient numerical solution. Households for whom shocks to human capital are negatively correlated with shocks to financial capital should own more life insurance with greater equity/stock exposure. Life insurance hedges human capital and is insensitive to the family's risk aversion, consistent with practitioner guidance.     

基于偿付能力的寿险资金战略资产配置

保险资金的战略资产配置是基于公司风险偏好,为满足负债和资本回报要求,对保险资金在大类资产上进行长期规划与分配的过程.本文介绍的寿险资金"战略资产配置三维方法论",是以偿付能力为核心风险偏好,在资本市场长期回报均值回归及Cornish-Fisher展开调整的跨周期宏观经济假设基础上,利用马科维茨模型对公司整体的资产组合进...     

Voluntary Termination of Life Insurance Policies

Abstract

In this paper, one error-correction model (ECM) that is able to avoid the problem of producing noise within traditional multiple cointegration vectors has been employed to explore the dynamics of surrender behavior. The evidence shows that both the emergency fund hypothesis and interest rate hypothesis are sustained in the short run as well as in the long run. A unique cointegration relationship within the surrender dynamics has been validated. In addition, a new hypothesis test that stresses the competition for the withdrawal of life insurance policy cash values has also been conducted. Such a crowding-out effect between policy loans and policy surrenders might be attributed to the motivation that keeps a life policy in force, the existence of surrender charges, and the automatic premium loan provision.     

人寿保险需求探析

与其他形式的保险相比,人寿保险更具有储蓄的功能,因而对寿险需求动机的分析可以在储蓄动机的分析框架内进行。对保险需求的研究,大部分文献是从投保人最大化其自身期望效用出发,里维斯（Lewis,1989）拓宽了这一研究视角,从被赡养人期望效用的角度研究人寿保险需求。寿险需求的影响因素：期望寿命、保险价格、赡养率、收入与财富、社会保障、预期通货膨胀率、教育水平。     

寿险营业保费中附加保费精算模型的改进

寿险公司目前常用的附加保费精算模型有固定比率模型、变动比率模型、三元素模型等三种,这些模型存在自身的优缺点.在此基础上新构建的附加保费精算模型,包含了每张保单的固定费用,区分了附加费用的种类,考虑了通货膨胀对未来经营管理费用的影响,从而可使寿险公司附加保费的计算公平、合理、适度.     

寿险业和非寿险业与经济增长关系的经验分析

近几年我国经济高速发展,保险行业更是日新月异,两者之间存在着密切的相关关系,本文运用我国1994-2008年的经验数据分析了两者之间的确切关系,并且分析了寿险业和非寿险业由于运营杌理不同,两者对于经济的影响也截然不同.