投资收益、经营效率和寿险企业市场绩效

中国寿险业的垄断型市场结构并没有造成垄断企业控制市场以获得超额利润的情况。本文选取中国人寿、泰康人寿、新华人寿三家企业1998年～2007年间的面板数据作为样本数据,分析了我国寿险公司绩效的影响因素,认为在中国寿险业日益激烈的市场竞争下,寿险企业的利润主要来自投资收益,经营效率高的企业虽然不能因为技术效率和规模效率而获得高利润,但是可以在竞争中占有更多的市场份额。     

The use of phase-type models for disability insurance calculations

This paper explores the use of phase-type models in actuarial calculations for disability insurance. We demonstrate that the changes in status of disability insureds can be appropriately captured by a phase-type model. Our model represents the aging process as the passage through a number of phases of decreasing vitality. When disabled, individuals additionally pass through several stages that represent duration of disability. Recovery and mortality rates from the earlier stages are greater than those in later stages. Using such a model, explicit and easily calculable expressions are obtained for relevant probabilities and actuarial present values. This facilitates the calculation of premiums and reserves.     

Actuarial pricing of deposit insurance

Using a pricing formula for options on coupon bonds (Jamshidian [1989], El Karoui and Rochet [1990]) we are able to compute the actuarial pricing of deposit insurance for a commercial bank. Our formula takes into account the maturity structure of the bank's balance sheet, as well as market parameters such as the term structure of interest rates and the volatilities of zero coupon bonds. The relation with asset liability management methods is explored.     

The systematic pricing of market sentiment shock

ABSTRACT

We show that market sentiment shocks create demand shocks for risky assets and a systematic risk for assets. We measure a market sentiment shock as the unexpected portion of the University of Michigan Consumer Sentiment Index’s growth. This shock prices stock returns in arbitrage pricing theory framework at 1% after controlling for market, size, value, momentum, and liquidity risk factors. Its premium lowered the implied risk aversion by 97.9% to 11.46 between 1978 and 2009 in our sentiment consumption-based capital-asset-pricing model. Merton’s [1973. “An Intertemporal Capital Asset Pricing Model.” Econometrica 41: 867–887]. intertemporal capital-asset-pricing model reconfirms our finding that this market sentiment shock is a systematic risk factor that provides investment opportunities.     

A continuous model of income insurance

In this paper we treat an individual’s health as a continuous variable, in contrast to the traditional literature on income insurance, where it is assumed that the individual is either able or unable to work. A continuous treatment of an individual’s health sheds new light on the role of income insurance and makes it possible to capture a number of real-world phenomena that are not easily captured in the traditional, dichotomous models. In particular, we show that moral hazard is not necessarily outright fraud, but a gradual adjustment of the willingness to work, depending on preferences and the conditions stated in the insurance contract. Further, the model can easily encompass phenomena such as administrative rejection of claims, and it clarifies the conditions for the desirability of insurance in the first place.     

保险市场结构与非规范竞争

本文运用产业组织理论和简单的博弈论原理证明,保险企业采用给予折扣等非规范竞争是保险企业经营者的一种理性选择。而具体的非规范竞争行为又与市场需求弹性、保险企业管理水平、承保企业的所有制性质相关。根据对保险市场折扣行为的分析,笔者的结论是监管机构除了对相关行为进行有效监管以外,还要逐步放开费率厘定权、鼓励保险企业进行险种创新并进一步开放保险市场。     

Disability insurance and optimal income taxation

This paper studies the design of disability insurance scheme when agents differ in their privately known productivity. We extend the Diamond and Mirrlees (1978) two period model to allow for agents differing ex-ante in their productivity and characterize the optimal nonlinear tax transfer that maximizes a utilitarian welfare function when per-period earnings and age are observable while individuals’ productivity and health status are not observable. We show that the induced tax/benefit scheme should exhibit a marginal income tax that decreases with age for some agents. A marginal subsidy on the young high productive income may be desirable. While the disability scheme always involves the old low productive agents to be indifferent between working and claiming disability benefits, this result is not always true for the old high productive agents. JEL Classification H55 · H23 · E62     

Unemployment insurance benefits and income smoothing

Labor unemployment insurance reduces unemployment concerns. We argue that these benefits moderate incentives to smooth earnings to reduce employees’ concerns about unemployment risk. Using exogenous variations in unemployment insurance benefits, we find evidence consistent with this argument. We also find that the link between unemployment insurance benefits and income smoothing is stronger when there is higher unemployment risk and when the firm is likely to employ more low-wage workers, who find unemployment insurance benefits especially useful. Our paper contributes to the literature by showing that public policy decisions such as unemployment insurance have significant, albeit probably unintended, externalities on corporate financial reporting.     

A simple asset pricing model with heterogeneous agents,uninsurable labor income and limited stock market participation

In this paper we study a simple two-period asset pricing model to understand the implications of uninsurable labor income risk and/or borrowing constraints, limited stock market participation, heterogeneous labor income volatilities, and heterogeneous preferences. We appraise the performance of each of these in matching moments of asset returns to the data and show that limited stock market participation generates a significantly large equity premium. We also show that the distribution of wealth between stock market participants and non-participants plays an important role in asset pricing, and that the effect of borrowing constraints on asset returns are similar to that of limited participation. Finally, we discuss the practical implications of our investigation, providing an appraisal of ongoing changes in asset returns.     

基于协调的保险市场与资本市场对接模式研究

本文通过比较美、英、日、德四国的对接模式发现,保险市场与资本市场的和谐对接是资金、产品和制度对接三方面的共融体,是金融市场自然演进与风险资本动态规制的最优范式结合。基于此,我国应在经济、金融微观制度基础变迁的基础上适时选择适合我国国情的可操作和可持续的对接模式。     

The pricing of deposit insurance in the presence of systematic risk

Based on the Merton (1977) put option framework, we develop a deposit insurance pricing model that incorporates asset correlations, a measurement for the systematic risk of a bank, to account for the risk of joint bank failures. Estimates from our model suggest that actuarially fair risk-based deposit insurance that considers only individual bank failure risk is underpriced, leaving insurance providers exposed to net losses. Our estimates also capture the size premium where big banks are priced with higher deposit insurance than small banks. This result is particularly relevant to the current regulatory concerns on big banks that are too-big-to-fail. Above all, our approach provides a unifying framework for integrating risk-based deposit insurance with risk-based Basel capital requirements.     

The pricing of deposit insurance considering bankruptcy costs and closure policies

The paper aims to study the pricing issue of deposit insurance with explicit consideration of bankruptcy costs and closure policies. Full coverage from deposit insurance is imposed by many regulators to stabilize the banking system in the current financial crisis, despite of the potential moral hazard problems. We argue that bankruptcy cost is an important factor in pricing deposit insurance, especially when the insured institution is insolvent. Applying the isomorphic relationship between deposit insurance and put option, we first derive a closed-form solution for the pricing model with bankruptcy costs and closure policies. Then, we modify the barrier option approach to price the deposit insurance in which the bankruptcy cost is set as a function of asset return volatility and more realistic closure policies considering possible forbearance can be accounted for. The properties of the models are supported by numerical simulations and are consistent with the risk-based pricing scheme.     

Catastrophe bond pricing in the primary market: The issuer effect and pricing factors

COVID pandemic has highlighted the importance of hedging against catastrophic events, for which the catastrophe bond market plays a critical role. Our paper develops a two-level modelling and uses a unique, hand-collected dataset, which is one of the largest and most detailed datasets to date containing: 101 different issuers, 794 different bonds, spanning 1997–2020. We identify issuer effects robustly, isolating them from bond specific pricing effects, therefore providing more credible pricing factor results. We find that bond pricing and volatility are heavily impacted by the issuer, causing 26% of total price variation. We also identify specific issuer characteristics that significantly impact bond pricing and volatility, such as the issuer’s line of business accounting for up to 36% of total price variation. We further find that issuer effects are significant over different market cycles and time periods, causing substantial price variation. The size and content of our data also enables us to identify the counter-intuitive relation between bond premiums and maturity, and bond premiums and hybrid bond triggers.     

Product pricing and solvency capital requirements for long-term care insurance

This paper presents a comprehensive assessment of premiums, reserves and solvency capital requirements (SCRs) for long-term care (LTC) insurance policies using Activities of Daily Living and US data. We compare stand-alone policies, whole life insurance policies with LTC benefit riders (LTC insurance combined with whole life insurance), life care annuities (LTC insurance combined with annuities) and shared LTC insurance in terms of net premium cost and SCRs. Net premiums and best-estimate reserves for base LTC insurance policies are determined using Thiele’s differential equation. Product features such as the elimination period and the maximum benefit period are compared using a simulation-based model. We show how a maximum benefit period can reduce costs and risks for LTC insurance products. SCRs for longevity risk and disability risk are based on the Solvency II standard formula. We quantify the extent to which whole life insurance policies with LTC benefit riders and life care annuities provide lower SCRs than stand-alone LTC insurance policies.     

Combining fair pricing and capital requirements for non-life insurance companies

The aim of this article is to identify fair equity-premium combinations for non-life insurers that satisfy solvency capital requirements imposed by regulatory authorities. In particular, we compare target capital derived using the value at risk concept as planned for Solvency II in the European Union with the tail value at risk concept as required by the Swiss Solvency Test. The model framework uses Merton’s jump-diffusion process for the market value of liabilities and a geometric Brownian motion for the asset process; fair valuation is conducted using option pricing theory. We show that even if regulatory requirements are satisfied under different risk measures and parameterizations, the associated costs of insolvency – measured with the insurer’s default put option value – can differ substantially.     

投资连结保险产品设计及推广分析

投资连结保险的产品设计独特,将其保障功能与投资功能分开,一方面为消费者提供了调整保险和投资计划的便利,另一方面也使之与资本市场的走势密切相关。我国寿险市场上的供给方存在资本市场繁荣时过多引导消费者关注投资收益,边缘化其保险功能的问题;需求方则由于对投资连结保险产品收益的刚性预期,不能接受产品收益下降的情况。两方面共同的结果是导致投资连接保险成为寿险市场上的不稳定因素。为促使投资连接保险在我国的健康发展,应当强调投资连接保险的保障功能;针对销售导向进行实质的约束;利用税收对市场进行引导等。     

Revealing the willingness to pay for income insurance in agriculture

In spite of its minor and decreasing share in EU GDP, agriculture still plays a fundamental and strategic role in the economy. This is why EU institutions have supported for decades a series of policies to guarantee a stable agricultural income, including insurance. With different degrees of public support, insurance policies covering an increasing number of risks have been developed across the EU. Eventually, EU institutions have started to encourage the development of income insurance. Income insurance covers more risks and has higher uncertainty and costs than conventional single risk or combined yield insurance. Assessing and enhancing the viability of income insurance demands an in depth knowledge of farmers’ willingness to pay (WTP) for this product. This study develops a methodology to calculate the WTP for different degrees of income protection using a revealed preference model and the certainty equivalent theory. The methodology is applied in a drought prone area in southeastern Spain. Results show that WTP for income insurance in the area is higher than observed insurance premiums. This may play in favor of the development of more comprehensive income insurance systems.     

The pricing of volatility risk in the US equity market

We analyze whether the pricing of volatility risk depends on the asset pricing framework applied in the tests, the specified volatility proxies, and the portfolio sorts used for spanning the asset universe. For this purpose, we compare the results using a macroeconomic and fundamental based asset pricing model using three proxies of volatility and uncertainty, using size/value sorted and industry sector portfolios. Our results reveal that the marginal pricing effect of the VIX volatility factor is strong and statistically significant throughout the models and specifications, while the effect of an EGARCH-based volatility factor is mixed, mostly smaller but with the correct sign. In most cases, the EGARCH factor does not impair the pricing effect of the VIX. The portfolio sorts have a substantial impact on the volatility premiums in both model frameworks. The size of the volatility risk premium is more uniform across the models if the industry sector portfolio sort is used. Finally, the size/value portfolio sort generates larger volatility risk premiums for both models.     

The pricing of risky assets on the Belgian stock market

This paper presents the first empirical examination of the relationship between the average return and the risk of a comprehensive sample of 200 securities which traded continuously from 1966 to 1980 on the Brussels Stock Exchange, a relatively thin equity market. Based on our empirical findings, we cannot reject the hypothesis that the pricing of common stocks on the Brussels Stock Exchange conforms to the Capital Asset Pricing Model.