预定利率市场化的条件和实施分析

一、预定利率是影响寿险产品价格的重要因素 预定利率是寿险公司在产品定价时承诺给客户的投资收益率。而保险公司实际投资收益率高于预定利率部分,扣除掉分红或结算利息（对于分红产品或万能产品）叫利差,是保险公司最主要的利润来源。影响寿险产品价格的因素主要为预定利率、死亡率和费用率,其中预定利率是影响价格最重要的因素,费用率次之,死亡率影响最小。     

怎样解决"利差损"

人寿保险一般都是长期性的,一旦寿险公司在保单中承诺了最低投资收益率,寿险公司就会面临利率风险,即会发生所谓的"利差损".利差损是指保险资金投资运用收益率低于有效契约额的平均预定利率而造成的亏损,其源于寿险公司销售的高预定利率寿险保单.     

我国寿险保单退保影响因素的实证研究——基于公司层面的微观数据

从微观的角度,利用中国寿险市场的统计数据考察了寿险公司经营信息对保单持有人退保行为的影响,考虑到不同类型公司受影响程度的差异性,将样本数据分成大型寿险公司和中小寿险公司两类,并建立非线性平滑转换面板数据模型来研究不同类型的寿险公司退保率受各因素影响的差异。实证分析的结果表明：是否销售投连险显著地影响中小寿险公司的退保率,对大型寿险公司则无影响;与寿险公司规模高增长相伴随的是保单的高退保,这在中国寿险行业普遍存在;保单分红水平对于退保的影响程度要低于预期,“利率替代”效应并不是导致退保的最主要原因;保单持有人会比较信赖历史悠久的公司,而保费水平的高低并不是影响保单持有人是否退保的重要因素。     

我国生育保险的公平性研究

本文以一个简化的万能险账户为对象,根据我国保险公司经营的实际环境,建立了一个以万能险特别储备账户终值最大化为目标、包含资产配置比例和结算利率这两个关键决策变量、负债端和资产端双驱动的动态最优资产负债管理模型。利用该模型,可以分析不同市场条件下的万能险账户最优资产配置组合与保单关键变量的设计,模拟市场环境变化带来的影响,最终为万能险账户资金的投资策略和关键变量的确定提供一个有价值的分析方法。数值模拟结果表明,保险公司在万能险保单销售初期将采取高结算利率以带动新保单高销售增长的经营策略;而投保人的最优策略为在结算利率降为市场平均水平后择机选择退保;同时,万能险的市场参数、权益资产收益率的波动性和资产流动性变化都将给保险公司经营决策带来显著影响。     

取消寿险保单预定利率限制的可行性分析

投资风险与定价风险是寿险公司面临的主要风险,而定价风险的主要表现就是保单预定利率过高。本文首先通过建立寿险公司经营模型,证明保单预定利率管制不仅能降低定价风险,对寿险公司的投资风险防范也具有重要作用;接着使用实证方法得出我国股票市场变化对寿险保费收入没有确定性影响,实际利率变化也只能在短期内导致寿险保费收入反向变化。基于以上分析,本文认为在我国当前情况下,放开保单预定利率限制的时机还不成熟。     

论利差型保单负债的形成与风险规避

寿险公司的保单利率是预先确定的 ,而公司的预定利率与市场利率密切相关 ,当市场利率持续下跌时 ,投资收益率必定会低于预定利率 ,从而形成利差型保单负债。解决利差型保单负债的方法 ,由于国情不同 ,各国有不同的措施。本文根据我国国情 ,提出几点规避风险的对策     

我国寿险行业转型期盈利能力分析

寿险行业转型宏观背景分析 2001—2010年是中国寿险行业发展的黄金十年,除宏观经济增长外,以下三个因素推动了寿险行业保费的高速增长：市场主体增加、粗放式规模扩张以及产品创新。尤其是2005-2010年,保单收益率都不同程度地超过了5年期银行定存利率,吸引资金从银行存款转移到保险。     

保本型理财产品收益率实证研究

本文以保本型债券挂钩理财产品为研究对象,采用统计的方法研究该种类理财产品的预期与实际收益率现状;其次,利用时间序列分析和Granger因果检验对影响商业银行理财产品实际收益的宏观因素进行了回归分析。结果表明:目前我国市场的理财产品绝大多数产品的实际收益率都达到了预期收益率;在影响保本型债券挂钩理财产品的各种影响因素中,商业银行一年期银行定期存款利率和货币供给量占有主要地位。     

利率市场化对我国商业银行经营绩效的影响研究

本文利用存贷利差反映利率波动,净利息收益率反映银行经营绩效,考察了利率市场化所带来的利率风险对商业银行经营绩效的影响。文章在对利率市场化影响银行绩效进行理论分析的基础上,通过借鉴资本资产定价模型(CAPM)加以实证分析。结果表明,存贷利差缩小,银行净利息收益率随之下降;当银行存贷利差每缩小(扩大)1%时,将带来商业银行的平均净利息收益率水平下降(扩大)6.78%。利率市场化将改变银行营业收入规模和结构,恶化银行经营绩效。     

宏微观视角下的我国寿险市场退保率影响因素研究

本文选用16家寿险公司2002～2012年的面板数据应用固定效应模型从宏观和微观两个角度来分析寿险公司退保率的影响因素。宏观经济因素中本文考虑了“财务危机效应”、“替代效应”和“支付贬值效应”,微观因素中本文考虑了各寿险险种的占比和保单质押贷款额两个变量。实证结果显示：在宏观经济因素中,本文的结果无法支持“利率替代效应”,“财务危机效应”中失业率对退保率的影响并不显著,“支付贬值效应”中,退保率随着通胀率的上升而上升,并且影响显著。在微观因素中,只有分红险占比对退保率的影响作用显著,其他险种对退保率影响不显著。退保率与保单质押贷款额正相关。     

FALLACY OF NONLIFE SAVINGS FROM INVESTED DIFFERENCE

Abstract: Usually nonlife savings with term life produce better investment results compared to the cash value in whole life insurance. This paper addressed a potential problem of the former that its balance may decrease during the later years, if the rate of return is relatively low. To fully reveal this declining property to the investors, it is recommended that the investment performance of nonlife savings be disclosed over a 50–year period at 5 and 8 percent returns. Further discussions are delivered regarding similarities and differences between nonlife savings and the cash values under universal and variable life insurance.     

基于广义线性模型的我国投资型寿险产品退保率实证研究

基于某一款万能险产品38个月的退保率样本数据,结合我国寿险业务的实际情况,利用广义线性模型对影响退保率的主要因素进行了分析。研究结果显示,源于消费者在购买保险的经济环境方面的差异,国外的退保率模型在我国并不适用。从我国实际情况出发,通过选择合适的解释变量,构建了新退保率模型,并分析了各解释变量对退保率的影响。     

中国寿险公司多元化经营的风险分析

选取新华、国寿、太平、泰康、平安等五家寿险集团公司从2001~2011年每年绩效指标中总资产收益率和净资产收益率的标准差作为度量公司风险的指标,将五家公司的业务线熵指数的均值作为多元化经营的指标进行实证分析。结果表明:多元化经营与寿险公司总资产收益率、净资产收益率的标准差之间存在一定的非线性关系,即多元化经营在一定范围内可以降低ROA和ROE的波动性,但在一定范围内又可能会增大这种波动性。     

One-Period Model of Individual Consumption, Life Insurance, and Investment Decisions

This article studies individuals' optimal decisions on consumption, life insurance, and stock purchases in a one‐period framework. With exponential utility functions, individuals' life insurance and stock purchases are independent of each other; life insurance purchases are affected only by individuals' future income, bequest intensity, risk attitude, survival probability, and the insurance risk premium; stock purchases are affected only by individuals' risk attitude, the risk‐free rate of return, the stock return, and stock volatility. With power utility functions, life insurance and stock purchases are positively related with each other and are affected by all the factors.     

基于目标替代率的税延型商业养老保险扣除限额优化研究

我国养老保障体系三支柱发展严重失衡,为了缓解基本养老保险的压力,提升养老保险替代率,商业养老保险的发展迫在眉睫,税收递延型商业养老保险也开始试点。在2018年个税改革后,目前税收递延型商业养老保险推行办法下,中低收入群体无法享受实际税收优惠,高收入群体可享受的税收优惠有限且过低。本文以替代率为基准,根据精算平衡原理构建模型,对扣除限额进行优化研究,试图测算出与新个税办法匹配且有利于多层次收入水平的消费个体享受实际税优的扣除限额。同时,本文还对不同扣除限额下开始购买保险年龄、个税起征点、个人收益率及初始收入水平这四个参数变化对实际税优额的影响做了分析,得出所测算出的扣除限额的确较现行扣除限额更为合理,并提出了相关对策建议。     

The Term Structure of Reserve Durations and the Duration of Aggregate Reserves

Estimating the duration gap of a life insurer demands the knowledge on the durations of liabilities and assets. The literature analyzed the durations of assets extensively but rendered limited analyses on the durations of insurance liabilities. This article calculated the reserve durations for individual policies and estimated the duration of the aggregate reserves. The results showed that the duration of the policy reserve might be negative and/or have a large figure. They further revealed an interesting pattern of the reserve duration with respect to the policy's time to maturity. A term structure with abnormal durations, however, does not result in an abnormal duration of the aggregate reserves.     

大数据背景下的寿险产品定价与创新

本文主要探讨大数据对保险业的影响,并以实例说明在大数据背景下传统寿险产品定价的改进以及新型保险产品的开发情况。首先基于实际数据对于保险业大数据现状进行了统计分析,给出了保险业数据量现状以及数据使用效率的统计结果;其次以实际大数据量为基础,对传统的寿险产品定价进行了改进,获得了更优的市场比较优势;最后,以大数据量为基础,打破传统寿险产品的思维定式,开发出新型的保险产品并对产品风险进行了精确测定。     

Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios

Participating life insurance contracts allow the policyholder to participate in the annual return of a reference portfolio. Additionally, they are often equipped with an annual (cliquet-style) return guarantee. The current low interest rate environment has again refreshed the discussion on risk management and fair valuation of such embedded options. While this problem is typically discussed from the viewpoint of a single contract or a homogeneous* insurance portfolio, contracts are, in practice, managed within a heterogeneous insurance portfolio. Their valuation must then – unlike the case of asset portfolios – take account of portfolio effects: Their premiums are invested in the same reference portfolio; the contracts interact by a joint reserve, individual surrender options and joint default risk of the policy sponsor. Here, we discuss the impact of portfolio effects on the fair valuation of insurance contracts jointly managed in (homogeneous and) heterogeneous life insurance portfolios. First, in a rather general setting, including stochastic interest rates, we consider the case that otherwise homogeneous contracts interact due to the default risk of the policy sponsor. Second, and more importantly, we then also consider the case when policies are allowed to differ in further aspects like the guaranteed rate or time to maturity. We also provide an extensive numerical example for further analysis.     

A proposal to apply the Kiwi-VAT to insurance services in the European Union

In the spirit of the European Commission’s call for a simpler, more robust and efficient VAT system, this article proposes to integrate exempt insurance services into the European VAT, and to abolish the discriminatory, excise-type insurance premium taxes levied by the various Member States. The current VAT exemption (no taxation of insurance services and no credit for the VAT on inputs) is administratively complex and economically distortionary. Instead, the value added of property and casualty insurance companies can be taxed on a transactions basis by applying the VAT to insurance premiums (creditable by VAT-liable businesses) and allowing a presumptive tax credit for the VAT imputable to payouts (plus a credit for the actual VAT on purchases). The presumptive tax credit should be taxed at the level of business recipients, but individuals would receive the VAT along with indemnity payments without having to file a return. Exceptionally, the tax-credit VAT would not be applied to life and health insurance premiums, but insurers would be taxed on an accounts basis on the sum of wages and business cash flow.     

Die demographische Entwicklung in Deutschland und ihre Bedeutung für das Kapitaldeckungsverfahren von Lebensversicherern,privaten Krankenversicherern und Pensionsfonds

The decline in population will increase dramatically after the year 2030; this development is accompanied by a dramatic change of the social structure of the German society and the aging of the population. Policyholders of annuity contracts who are now in the age of 35 will probably retire in the year 2037 and their death can be actuarially awaited near 2060. That means those people are completely affected by the development after 2030. The annuity contracts with a guaranteed interest rate (legally fixed for the duration of the contracts) dominate the new business of life insurance companies. The period of time of the interest rate guarantee can be up to 40 or 50 years. Our demographic profile leads to the assumption that in 2050 we will miss 15 million people of our working population; this represents the actual figure of the working population of Belgium, Denmark, Finland, Ireland and Austria. Consumption, overall investments and the demand of borrowed funds will decrease. The level of the rate of return of bonds or other interest bearing assets will decline. On the other hand, the value of shares of those companies who belong to the winners of the global transition process we have started right now will increase. Unfortunately life insurance companies and pension funds — when they take investment risk — are forced mainly to invest in bonds or other debentures. The consequence can be a not attractive level of return of the premiums paid. A solution would be to reinforce the development and business of non guaranteed annuities and a higher quote of shares in the portfolios. Then it would be the duty of each policyholder to protect himself by diversification