Solvency II – towards a new insurance supervisory system in the EU

This article describes the current state of affairs in the EU Solvency II project. The background and international context of the project is discussed, as well as the general outline of a future EU solvency system. In particular, several areas where further technical work is needed are outlined. These topics could provide interesting objects of study for professionals of actuarial sciences as well as to those of other related sciences.     

印度农业再保险体系运行模式及其启示

作为新兴市场典型的市场化国家,印度高度重视农业保险发展,而农业再保险在印度农业保险体系中发挥了重要作用。印度农业再保险是典型的政府支持型模式,通过法律法规、政策手段以及市场机制建立了以国家再保险公司为基础的再保险体系,实现农业保险大灾风险的逐级分层分散。借鉴印度经验对完善我国农业再保险体系和建立财政支持下的农业保险大灾风险分散机制具有重要借鉴意义。     

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。     

Optimal Insurance Design Under a Value-at-Risk Framework

This study designs an optimal insurance policy form endogenously, assuming the objective of the insured is to maximize expected final wealth under the Value-at-Risk (VaR) constraint. The optimal insurance policy can be replicated using three options, including a long call option with a small strike price, a short call option with a large strike price, and a short cash-or-nothing call option. Additionally, this study also calculates the optimal insurance levels for these models when we restrict the indemnity to be one of three common forms: a deductible policy, an upper-limit policy, or a policy with proportional coinsurance. JEL Classification No: G22     

上海自贸区离岸(再)保险市场发展的必要性及建议

离岸再保险市场是国际再保险市场的重要组成部分。上海自贸区发展离岸再保险市场,不但可以扩大再保险业务,而且有利于与国际再保险市场接轨,实现把上海建设成为国际再保险中心的战略目标。本文分别从国家和企业层面探讨了上海自贸区发展离岸再保险市场的必要性,并提出了相关建议。     

国际再保险业战略发展模式及其对我国的借鉴

按照再保险战略发展模式的历史演进顺序,将目前国际再保险业的战略发展模式总结为四种:专业再保险模式,再保与直保一体化模式,金融一体化单元模式和多元化单元模式。结合选取了不同发展模式的典型国际再保险公司,对不同模式进行分析和比较,并进一步提出了我国再保险业战略发展建议。     

地震指数保险的帕累托最优赔付比例研究——以EQⅡ产品为例

EQⅡ是一种利用地震指数确定共同保险赔付比例的新型地震指数保险产品。本文基于巨灾经济损失分解的观点,推导出了帕累托最优EQⅡ保单设计的必要条件,并在CARA效用假设以及地震损失中个体差异的影响为伽马分布的条件下,得出了EQⅡ的帕累托最优赔付比例与地震指数之间的具体函数关系。最后利用中国大陆历年地震损失数据,分别对以地震震级和震中烈度作为指数的EQⅡ产品进行帕累托最优赔付比例体系的设计及定价。本文的研究结果表明,当前EQⅡ产品的保单设计符合帕累托最优的必要条件,并且风险管理能力稍弱的机构也可以根据自身风险偏好设计并发售满足帕累托最优条件的EQⅡ产品。此外,EQⅡ产品的帕累托最优赔付比例设计与地震区划中各区域的地震灾害特点和潜在的目标客户数量有关,因此本文建议EQⅡ的赔付比例应根据各区域地震灾害的具体情况分别进行设计。     

Leverage and reinsurance effects on loss reserves in the United Kingdom’s property–casualty insurance industry

We examine the relation between loss reserving errors, leverage and reinsurance in the UK’s property–casualty insurance industry. We find that financially weak insurers under-estimate reserves to reduce leverage, and so pre-empt costly regulatory scrutiny. However, at very high leverage, insurers over-reserve, suggesting a non-linear relation between leverage and reserving policy. We also investigate whether monitoring by reinsurers reduces reserving errors, and find that highly reinsured insurers are less likely to make loss reserve errors. However, the use of proportional reinsurance does not affect loss reserve accuracy.     

公司债券市场流动性有效衡量及实证检验

摘要：公司债券的流动性问题越来越受到研究者的关注,而且随着理论研究扩展和实践的加深,流动性出现了很多不同的度量指标。本文在对公司债券市场流动性测量方法进行总结的基础上,实证检验了我国公司债券的流动性状况,分析了当前公司债券市场流动性存在的问题,并提出改革公司债券流动性的相关建议。     

Corporate Insurance as a Necessary Form of Consultant–Investigator Contract

Existing literature argues that corporate insurance is purchased because the insurance company produces risk management information for publicly held corporations. In this article, we address a fundamental question as to why other financial intermediaries cannot perform the same information production function as the insurance company. We argue that when the risk manager of the firm performs multiple tasks and needs consulting and investigation services from an outside agent for efficient risk management, the optimal contract with the agent has to be in the form of an insurance contract. Other types of contracts, such as flat-fee contracts, cannot be optimal. Therefore, the insurance company is ideally suited to provides these services.     

An Equilibrium Model of Catastrophe Insurance Futures and Spreads

This article presents a valuation model of futures contracts and derivatives on such contracts, when the underlying delivery value is an insurance index, which follows a stochastic process containing jumps of random claim sizes at random time points of accident occurrence. Applications are made on insurance futures and spreads, a relatively new class of instruments for risk management launched by the Chicago Board of Trade in 1993, anticipated to start in Europe and perhaps also in other parts of the world in the future. The article treats the problem of pricing catastrophe risk, which is priced in the model and not treated as unsystematic risk. Several closed pricing formulas are derived, both for futures contracts and for futures derivatives, such as caps, call options, and spreads. The framework is that of partial equilibrium theory under uncertainty.     

Optimal reinsurance under general law-invariant risk measures

In recent years, general risk measures play an important role in risk management in both finance and insurance industry. As a consequence, there is an increasing number of research on optimal reinsurance decision problems using risk measures beyond the classical expected utility framework. In this paper, we first show that the stop-loss reinsurance is an optimal contract under law-invariant convex risk measures via a new simple geometric argument. A similar approach is then used to tackle the same optimal reinsurance problem under Value at Risk and Conditional Tail Expectation; it is interesting to note that, instead of stop-loss reinsurances, insurance layers serve as the optimal solution. These two results highlight that law-invariant convex risk measure is better and more robust, in the sense that the corresponding optimal reinsurance still provides the protection coverage against extreme loss irrespective to the potential increment of its probability of occurrence, to expected larger claim than Value at Risk and Conditional Tail Expectation which are more commonly used. Several illustrative examples will be provided.     

后危机时代的保险监管创新——基于企业风险管理的视角

效率与稳定一直是保险市场发展的重要目标,而保险企业的风险管理则是保险市场稳定、有效运行的微观基础,因此,监管机构一直关注保险公司的风险管理问题,保险监管的演进历史也验证了这一点。其实,保险监管创新在很大程度上是为了提升保险公司的风险管理水平,而企业风险管理能力的提升也是保险监管创新的重要动力,两者相互促进、相互影响。次贷危机后兴起的新新凯恩斯主义强调宏观监管要基于微观组织的视角,具体到保险监管来说,就是从企业风险管理的视角出发,实现监管思路从传统的偿付能力、公司治理和市场行为三支柱监管向动态偿付能力、风险管理要素及可持续风险新三支柱监管转变。     

农业保险对财政投入的放大效应分析

相比直接的灾后财政救济,利用政策性农业保险机制能实现对财政投入效果的放大。本文在对中国和其他实施农业保险国家的对比中总结出对农业保险财政投入的范围、形式,重点剖析了利用农业保险实现财政投入放大效应的作用机制,提出了衡量这一效应的方法和指标,并据此对我国主要农险经营模式的实际放大效果及其原因进行了比较分析,最后,本文针对...