“偿二代”监管体系下寿险公司风险管理研究

随着经济发展进入新常态,已有的监管体系"偿一代"已无法适应当前以及未来寿险业风险管理的要求.2016年,以全面风险管理为导向的"偿二代"正式实施,给我国寿险公司的风险管理带来了深刻影响.为此,本文从负债端、资产端和公司风险管理三个方面分析"偿二代"对寿险公司风险管理的作用路径及影响.研究发现:在"偿二代"下寿险公司在负债端的风险管理重点应在于着力优化并调整产品结构,使得长期期缴业务成为核心;在资产端的风险管理重点应在于提升权益投资和另类投资比例;在公司的风险管理上应逐步加强完善风险管理框架,不断提高全面风险管理能力.     

基于政府参与情形的混合巨灾债券设计与实证分析

我国是属于自然灾害多发的国家,但由于保险市场与资本市场相对落后,目前对于巨灾的管理仍然主要依靠政府事后的财政拨款与民间捐赠。本文借鉴并改进了国内外相关研究结论,构建了由保险市场、资本市场以及政府所组成的巨灾风险分担模型。在该模型的基础上,以熵测度为准则,设计了一种有政府参与的混合巨灾债券,这种债券是传统的简单巨灾债券与...     

中国上市企业投资的资本成本敏感性估计

企业投资对资本成本的敏感性是识别货币政策利率传导渠道是否畅通以及IS曲线斜率的重要参数。本文基于新古典投资模型框架,使用2004-2017年中国上市公司非平衡面板数据,估计了中国上市企业投资的资本成本敏感性,并侧重检验了融资约束对企业投资资本成本敏感性的影响。估计结果显示:(1)上市企业投资的加权资本成本弹性显著为负,且已具有较强敏感性(长期弹性系数为-0.16～-0.27),价格型货币政策工具的传导条件在上市公司投资环节正逐渐具备 ;(2)对加权资本成本的结构性估计显示,企业投资主要对债务资本成本的变动较为敏感且系数显著为负,而对股权资本成本的变动敏感程度较低且不稳定;(3)与传统观点相反的是,非国有控股上市企业投资的资本成本敏感性显著低于国有控股上市企业;较强的融资约束是导致非国有控股上市企业投资的资本成本敏感性较低的重要原因,应重视民营经济面临较强的融资约束对价格型货币政策工具传导机制的负面影响。本文的研究为中国货币政策框架的转型以及价格型货币政策传导机制的有效性提供了微观经验证据的支持。     

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。     

数字化转型背景下保险科技对财险公司经营效率的影响研究——基于DEA-Tobit面板模型

本文利用2011—2017年58家财险公司的面板数据和中国数字金融发展指数,构建DEA-Tobit面板模型,探究保险科技对财险公司经营效率的影响。研究结论表明:(1)保险科技与财险公司经营效率之间呈U形关系,即在互联网保险阶段,受资源投入不充分、新技术产出滞后性等因素影响,保险科技对财险公司经营效率产生消极影响,而在新技术赋能的保险科技阶段,科技的沉淀开始逐步释放效益,助推了财险公司经营效率的提升;(2)保险科技对中外资财险公司经营效率的影响具有差异性;(3)保险科技发展在长期可通过降低经营成本、增加营销收入和资金运用收益来提高财险公司经营效率。     

Aktienanlage für Lebensversicherer unter Solvency II

Life insurance companies are among the largest institutional investors. As part of their investment policy they are subject to special legal requirements. In particular the calculation of the solvency capital that has to be deposited for the market risk has changed under Solvency II. A widely spread thesis on this topic is that investments in equity have become unprofitable for life insurers due to solvency capital requirements – compared to previous periods of high equity ratios of temporally over 25%. Therefore insurers might have dropped their average stock quotas to below 5%.The intention of the present study is to analyze whether the capital requirements for the equity investments under Solvency II are a hurdle to achieve a reasonable profitability or – opposite to that – whether the equity investments are a suitable investment to provide an acceptable return on assets. For this purpose the solvency capital requirements of the equity investment under Solvency I considering the BaFin stress test are compared with the new solvency capital requirements under Solvency II including the symmetric adjustment factor (SA). Furthermore the diversification effects are taken into account; they are analyzed on the basis of the SFCR reports of the life insurance companies first published in 2017. As a result the risk capital requirements for equity investments under Solvency II have been reduced to more than 50% compared to prior solvency requirements and depending on the observed scenarios. Whilst Solvency I required an underlying risk capital of 31% at the end of 2017, Solvency II requires only 13.56% following the standard model and after aggregating the risk-mitigating effects in the group scenario. This effect results in a surplus of 7.2%, considering industry-standard capital costs for the underlying solvency capital and an average stock market return of 8% per annum. Consequently the equity investment is suitable to increase the profitability of the investments of German life insurance companies especially in the environment of low interest rates in the capital market for fixed income titles.     

Portfolio insurance and prospect theory investors: Popularity and optimal design of capital protected financial products

Portfolio insurance strategies are used on both the institutional and the retail side of the asset management industry. While standard utility theory struggles to provide an explanation, this study justifies the popularity of portfolio insurance strategies in a behavioral finance context. We run Monte Carlo simulations as well as historical simulations for popular portfolio insurance strategies and benchmark strategies in order to evaluate the outcomes using cumulative prospect theory. Our simulation results indicate that most portfolio insurance strategies are the preferred investment strategy for a prospect theory investor. Moreover, the analysis provides insights into how portfolio insurance products should be designed and structured to meet the preferences of prospect theory investors as accurately as possible.     

B-L模型的保险资金投资多元化问题研究——从行为投资组合角度

保险资金应用是我国保险行业发展的新亮点,但是在投资中存在着投资行为不合理的问题,这严重制约着我国保险业的健康发展。经分析认为目前投资模式不当的主要问题是资产组合方法有缺陷,认为在构建资产组合时应该考虑投资人的非理性,从行为金融学角度构建了保险投资模型,在模型中加入了投资人的主观观点,这样使投资模式更趋合理。本文利用Bl...     

股权结构对财险公司风险承担行为影响的实证研究

本文从理论层面上剖析了公司股权结构对风险承担的影响及具体作用机理,然后基于2002～2018年我国77家财险公司的非平衡面板数据构建联立方程模型,利用三阶段最小二乘法(3SLS)进行参数估计.研究发现,股权结构对我国财险公司的风险承担行为存在显著影响.具体而言,股权集中度对承保风险存在显著正向影响,表现出“侵占效应”;...     

The role of life insurance in an emerging economy: Human capital protection,assets allocation and social interaction

In this paper, we provide micro-econometric evidence on the determinants of life insurance demand in China, the largest emerging market in the world. We employ the China Household Income Project (CHIP) dataset for the year 2002 in the analysis. The timing is ideal, because of the nature of the less well developed capital markets and social security systems in China in 2002, which sets a suitable stage to study the insurance demand behavior of emerging markets. The results indicate that both the human capital protection motive and the asset allocation motive are important in explaining the purchase of life insurance in China. In addition, we present three empirical regularities: (1) the positive correlation between the returns to human capital and the returns to market portfolio decrease the demand for life insurance; (2) both the current wealth and future income of a household exert curvilinear impacts on life insurance demand; (3) the breadth of a households social connections has substantial impacts on life insurance demand.     

Life insurance companies as investment managers: New implications for consumers

This paper examines the attractiveness of the equity portfolios of life insurance companies as an alternative investment to mutual funds. In particular, this study analyzes the risk-adjusted investment performance of the stock portfolios of life insurance companies, attributable to their stock selection and market timing abilities. Using conventional measures of risk-adjusted portfolio performance, we find that life insurance companies exhibit performance similar to mutual funds. The evidence suggests that the life insurance companies, like their mutual fund counterparts, fail to exhibit differential stock selection or market timing abilities that are statistically significant. While the risk-adjusted investment performance of the two investment vehicles is similar, the variable annuity contracts of life insurance companies may offer an edge over mutual funds due to their ability to defer taxes.     

保险资金介入保障房建设的退出机制研究

目前我国保障性住房建设的难题之一是资金的短缺,解决这一难题需要引入市场手段作为政府投入的必要补充。一方面是保障性住房建设的融资缺口,另一方面是保险公司的资金等待合理的配置,然而由于没有规范的退出机制,保险资金想要大规模地介入保障房建设还有待时日。文章从保障性住房和保险资金运用的基本现状入手,从保险资产负债管理和保险资金的良性循环两个方面说明建立保险资金介入保障房建设退出机制的必要性。并按其退出原因分为常态退出和非常态退出,具体分析了融资资金权益转让、资产证券化和政府回购三种退出方式。建立有效的保险资金退出机制应做好三方面工作：健全险资退出的法律体系及配套制度;建立和完善险资企业资产管理体制;加强危机状态下政府应急预案的建立。     

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。     

Optimal portfolios with a positive lower bound on final wealth

We consider the determination of optimal portfolios under a lower bound on the final wealth. Possible applications range from capital guarantee strategies over life insurance investment where part of the benefit is a guaranteed return on capital to continuous-time mean-variance problems with a strictly positive lower bound. Our solution method consists of transforming the original problem into a portfolio problem without a positive lower bound but a transformed utility function and a modified initial wealth.     

Optimal life insurance with no-borrowing constraints: duality approach and example

We solve an optimal portfolio choice problem under a no-borrowing assumption. A duality approach is applied to study a family’s optimal consumption, optimal portfolio choice, and optimal life insurance purchase when the family receives labor income that may be terminated due to the wage earner’s premature death or retirement. We establish the existence of an optimal solution to the optimization problem theoretically by the duality approach and we provide an explicitly solved example with numerical illustration. Our results illustrate that the no-borrowing constraints do not always impact the family’s optimal decisions on consumption, portfolio choice, and life insurance. When the constraints are binding, there must exist a wealth depletion time (WDT) prior to the retirement date, and the constraints indeed reduce the optimal consumption and the life insurance purchase at the beginning of time. However, the optimal consumption under the constraints will become larger than that without the constraints at some time later than the WDT.     

Multi-agent investment in incomplete markets

The problem of the expected utility maximization in incomplete markets for a single agent is well understood in a fairly general setting. This paper studies the problem for the multi-agent case. For this case a cooperative investment game is posed as follows: firstly collect all agents capital together at the initial time, then invest the total capital in a trading strategy, and finally divide the terminal wealth of the trading strategy and each of them gets a part. We give a characterization of Pareto optimal cooperative strategies and a characterization of situations where cooperation strictly Pareto dominates non cooperation, and prove that the core of the cooperative investment game is non-empty under mild conditions using Scarf theorem.Received: August 2003, Mathematics Subject Classification (1991): 91B28, 91A12, 60H30JEL Classification: G11, C71This work is supported by the National Natural Science Foundation of China under grant 10201031. It is a pleasure for the author to express his sincere thanks to an anonymous referee for valuable suggestions.     

Dynamic Portfolio Choice with Stochastic Wage and Life Insurance

We study optimal insurance, consumption, and portfolio choice in a framework where a family purchases life insurance to protect the loss of the wage earner's human capital. Explicit solutions are obtained by employing constant absolute risk aversion utility functions. We show that the optimal life insurance purchase is not a monotonic function of the correlation between the wage and the financial market. Meanwhile, the life insurance decision is explicitly affected by the family's risk preferences in general. The model also predicts that a family uses life insurance and investment portfolio choice to hedge stochastic wage risk.     

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.     

人寿保险行业市场开放度效率研究

以东、中、西部各省(市)人寿保险公司设立、寿险保费收入和中外资寿险人员安排的劳动力投入等指标数据衡量人寿保险业的市场布局,结果显示:东、中、西部2002-2011年人寿保险公司一级(省级)分公司数量和分布密度逐年增加,各省寿险保费收入和中外资寿险人员劳动力投入的布局比重基本呈现逐年递增的趋势.运用DEA中投入导向CCR模型对我国人寿保险行业市场开放度效率进行分析,结果显示:中资寿险开放度效率相对较高,全国水平次之,外资寿险较低但呈现递增波动趋势.人寿保险业市场开放布局与开放度效率呈阶段式波动递增相关关系.     

我国投资连结保险选股择时能力的对比研究——基于T-M模型

近年来我国投连险产品的数量迅速增长,作为一种高风险高收益的保险产品,投保人参加此保险更多地是出于投资目的,因此科学地评价它们的投资绩效就变得越来越重要。以20个投连险账户为研究对象,借助资产组合绩效评价的T-M模型,分别从账户投资风格、牛熊市和不同寿险公司的角度对比研究了我国投连险的选股择时能力。实证结果表明,总体而言我国投连险的具有显著的选股能力,但是不具有择时能力。就投资风格上来看,激进型账户的选股能力表现最好,债券型账户的择时能力好于其他;从牛熊市的比较而言,我国投连险具有显著的选股能力,牛市表现要优于熊市;综合考虑选股能力和择时能力两个方面,平安人寿和太平人寿的投资表现好于其他寿险公司。