基于中国人口死亡率的寿险保单贴现定价研究

邓颖璐  彭斯  王乾  周诺亚

（清华大学经济管理学院,北京 100084）

［摘要］在寿险保单贴现的过程中,保单持有者将保单出售给第三方机构。本文中,我们首先对寿险保单贴现市场进行一般性的介绍,同时论述这一市场在中国存在的必要性。在LeeCarter模型的基础上,通过双指数跳跃扩散模型整合了长寿风险和死亡率跳跃,很好地拟合了中国的死亡率数据。讨论了在拥有新的医疗信息（比如对投保人剩余预期寿命的估计）的情况下对寿险保单产品的定价。为了整合这些医疗信息,我们使用了统计学中的信息理论,对事先选定的死亡率表格进行调整,在整合了所有的医疗信息的前提下,尽可能地接近原始表格。利用调整后的死亡率表格,对寿险保单进行了现金流折现定价。我们选用了几种不同的死亡率数据,最终发现,传统的确定性定价方法会低估保单的价值,因而概率性定价的方法更具优越性。
［关键词］寿险保单贴现；双指数跳跃扩散模型；信息理论

Life Settlement Pricing Based on Mortality Rate in China

DENG Yinglu,PENG Si,ZHOU Nuoya

（Tsing University School of Economics and Management,Beijing 100084）

Abstract：A life settlement is a financial transaction in which the owner of a life insurance policy sells his or her policy to a third partyIn this paper we firstly presented an overview of the life settlement market,then we justified its necessity in ChinaBased on the LeeCarter model,we introduced the DEJD(Double Exponential Jump Diffusion) model to incorporate longevity risk and jump in mortality rate,which fitted well with mortality data in ChinaWe discussed on pricing where insurers had medical information regarding the expected life expectancy of the insuredTo incorporate medical information,we applied the statistical information theory to adjust a prespecified mortality table under the condition that the adjusted table was as close to the original table as possibleThe cashflow discounted prices using the adjusted table showed that the traditional deterministic pricing method systematically underestimated the value of the policy,thus the probabilistic pricing method was superior
Key words：life settlement;Double Exponential Jump Diffusion Model;information theory

中国非寿险公司偿付能力最低资本要求研究

周县华1  王云波2

（1中央财经大学中国精算研究院，北京 100081；2安华保险研究院,北京 100037）

［摘要］本文基于Campagne(1961)模型，利用中国非寿险行业2009～2012年公开披露信息数据，对中国“偿一代”中所规定的最低资本要求标准进行检验。研究发现：（1）中国“偿一代”中关于最低资本要求的比率落在本文的估计区间内并偏最小值近一些。这表明现行标准是偏激进的，但仍在可接受范围之内。（2）以自留保费为分母计算的赔付率并不能反映公司的实际赔付率与承保风险状况。以已赚保费为分母计算出来的最低资本需求比率要比以自留保费为分母计算出来的结果平均高35个百分点。（3）正态分布条件下估计出来最低资本需求比率要比Beta分布条件下的结果高，平均要高出近3个百分点。本文的研究是中国保监会公布“偿二代”改革方案以来，对“偿一代”中最低资本要求的最完整的测试和总结，这无疑对“偿二代”的建设具有很好的启发意义。
［关键词］偿付能力;VaR;偿付能力最低资本;偿二代

A Study on the Minimum Solvency Capital Requirement of China’s Nonlife Insurers

ZHOU Xianhua,WANG Yunbo

(1China Institute for Actuarial Science,Central University of Finance and Economics,Beijing 100081;2ANHUA Insurance Research Institute,Beijing 100037)

Abstract：This paper employed publicly available data from nonlife insurers during 2009~2012 in China to test the minimum solvency capital requirement standards by China’s Solvency I,based on Campagne (1961)’s modelThe study had three findingsFirstly,the minimum solvency capital requirement standards in China’s Solvency I fell in the range we estimated,and it was closer to the minimum bound,implying that the current standard was aggressive but remained acceptableSecondly,the loss ratio calculated using retained premiums as the denominator did not reflect the company’s actual loss ratio and underwriting riskThe minimum solvency capital ratio was 35 percentage points higher on average if earned premiums,compared to retained premiums,were used as the denominatorFinally,the minimum solvency capital ratio was almost 3 percentage points higher on average if estimated under a normal distribution rather than a Beta distributionSince CIRC announced the CROSS reform in China,this study has been the most complete and indepth test and summary of China’s Solvency IThis paper will undoubtedly provide constructive insights for the development of CROSS
Key words：solvency;VaR;minimum solvency capital requirement;CROSS

基于业务类型的我国财产保险公司资产负债管理研究

戴成峰1  张连增2

(1天安财产保险股份有限公司,上海 200120；南开大学经济学院风险管理与保险学系,天津 300071）

［摘要］研究不同业务类型的财产保险公司资产负债管理是一个具有现实意义的课题。我国财产保险公司经营传统财产保险和投资型保险产品两大类业务,其在业务特点、主体功能方面差异巨大,客观要求公司采取不同的资产负债管理的思路和方法,以有效降低风险、提高企业价值。本文较为系统地研究了我国财产保险公司两大类业务的内部构成、业务特点及负债特性,探讨了不同业务特点对资产负债管理产生的影响；在此基础上提出了基于不同业务类型的资产负债管理模式、方法和技术,并利用动态财务分析的方法建立了分析模型,有针对性地解决财产保险公司资产负债管理问题。
［关键词］财产保险公司；业务类型；资产负债管理；动态财务分析

Asset Liability Management Based on Business Types for Chinese Property & Casualty Insurance Companies

DAI Chengfeng，ZHANG Lianzeng
 
(1Tianan Property Insurance Company Limited of China,Shanghai 200120;2Department of Risk Management and Insurance,School of Economics,Nankai University,Tianjin 300071)

Abstract：Studying assetliability management of property & casualty insurance companies with different business types is of great practical importanceChinese P&C insurance companies operate traditional property insurance and investmentoriented insurance businesses,which are vastly different in business characteristics and functions,henceforth requiring the company to adopt different asset liability methods to reduce risks and increase valueThis paper made a systematic analysis on the internal structure,business features and liability characteristics of these two business types,and studied the effects of different businesses on asset liability managementAccordingly,it proposed on the asset liability management model and technique based on different business typesIt also built the analysis model by using dynamic financial analysis aiming at solving the problems in asset liability management
Key words：property & casualty insurance company；business types；assetliability management；dynamic financial analysis

基于TPB视角的消费者网络财产保险购买意愿研究

周新发1  王妲2

（1对外经济贸易大学保险学院，北京 100029；2中央财经大学保险学院，北京 100081）

［摘要］互联网保险发展环境下，消费者对网络保险的购买意愿成为影响网络保险消费行为的决定性因素之一。本文采用调查问卷的方式，对950名受访者进行了网络财产保险消费意愿的调查，在计划行为理论(Theory of Planned Behavior，TPB)框架下，针对消费者购买网络财产保险意愿进行研究，运用二元Logistic回归模型的方法，对影响消费者购买网络财产保险意愿的主要因素进行实证研究，发现消费者对网络保险的感知价值、网络保险的购买便利性、消费者个人收入水平、网络保险的信誉度与知名度和消费者对网络保险的风险感知程度对购买意愿有着显著的影响。在此基础上，提出了提高消费者购买网络保险意愿的建议，以促进网络保险的健康发展。
［关键词］网络保险；Logistic模型；购买意愿

An Empirical Study on the Willingness to Purchase for Consumer Internet Insurance Based on the TPB

ZHOU Xinfa1,WANG Da2

(1School of Insurance,University of International Business and Economics,Beijing 100029;2School of Insurance,Central University of Finance and Economics,Beijing 100081)

Abstract：Under the environment of Internet insurance development,consumers’ willingness to purchase (WTP) has become one of the decisive factors influencing consumer behaviors towards Internet insuranceBy the method of questionnaire,we conducted a survey on WTP for Internet insurance among 950 personsBased on the framework of the theory of planned behavior (TPB) and using the method of Logistic regression model,the authors made an empirical research on the main factors affecting consumer WTP for Internet insuranceIt discovered that consumers’ perceived value,the convenience for purchasing Internet insurance,consumer income,Internet insurance’s credibility and visibility,and the perception of risk for Internet insurance had significant impacts on the willingness to purchaseOn this basis,the authors put forward some proposals to improve consumer WTP for the Internet insurance,in order to promote the latter’s healthy development
Key words：Internet insurance;logistic model;willingness to purchase

情绪状态、信息关注与地震风险感知研究

杨维1  罗静2  周志刚1

(1西南财经大学保险学院,四川 成都 611130;2西南财经大学工商管理学院,四川 成都 610015)

［摘要］民众对地震风险的主观评估与判断并不仅仅基于地震发生概率等客观因素,是否经历过地震灾害、遭受过财产损失等灾害经历将会影响个体的地震风险感知。此外,个体的心理情绪状态、对地震信息的关注程度等因素亦会对其地震风险感知水平产生影响。通过国内10余个地区近1 000份问卷调查证明了情绪状态、信息关注以及灾害经历等对地震风险感知有显著影响,最后在研究发现与实证结论的基础上针对风险沟通与情绪管理提出了地震灾后应急管理方面的建议。
［关键词］情绪状态；信息关注；灾害经历；地震风险感知

Emotional State,Interest in the Information and Perception of Earthquake Risk

YANG Wei1,LUO Jing2,ZHOU Zhigang1

(1Southwestern University of Finance and Economics,Insurance College,Sichuan Chendu 611130;2Southwestern University of Finance and Economics,School of Business Administration,Sichuan Chendu 610015)

Abstract：The public don’t perceive and judge the earthquake risk merely by the probability of its occurrence or other objective factorsWhether they have experienced earthquakes or suffered from property loss in earthquakes would influence their perception of earthquake risksFurthermore,the individual’s emotional state,the level of interest in the information also have significant influence on the perception of earthquake risksBased on the 1000 responses to the survey conducted in 10 cities around China,we concluded that the individual’s emotional state and the level of interest in the information and disaster experiences had significant impacts on the perception of this riskThen,based on the conclusions above,the authors offered some advice on postearthquake emergency management regarding communication about the risk and emotion management
Key words：emotional state;interest in the information;earthquake experience;perception of earthquake risk

保险公司规模对资产减值损失顺周期性的影响——基于2011～2013年季度面板数据的实证研究

黄荣哲1  农丽娜2

（1广西财经学院金融系，广西 南宁 530003；2中国人民银行南宁中心支行,广西 南宁 530028）

［摘要］基于2011～2013年季度面板数据的实证分析表明，无论是宏观经济周期因素还是其他非周期因素引起的资产减值，都与保险公司的资产规模密切联系在一起。其中，经济周期因素引致的资产减值损失呈现顺周期的特征。该特征的强弱程度与资产规模相关联，而且包含门限效应。保险公司应该根据资产规模的变化执行动态的、有差别的减值准备。在其他条件相同的情况下，大公司与小公司的减值准备比率应该略高于中等规模的公司。
［关键词］保险公司；会计准则；资产减值损失；顺周期性；门限效应

Does Insurance Company’s Size Impact on Procyclical Asset Impairment Losses—An Empirical Analysis Based on Quarterly Panel Data during 20112013
HUANG Rongzhe,NONG Lina

(1Department of Finance,Guangxi University of Finance and Economics,Guangxi Naning 530003;2The People’s Bank of China,Nanning Central Subbranch,Guangxi Naning 530028)

Abstract：The empirical analysis based on quarterly panel data during 2011-2013 shows that insurance company sizes cast influences on asset impairment losses caused by cyclical or noncyclical factors,and the intensity of procyclicality is closely related to company sizes with a threshold effectTherefore,dynamic and differentiated reserves for asset impairment is necessary when company’s asset size changesWith all other factors being the same,large and small sized companies should keep higher reserve ratios for asset impairment than mediumsized companies
Key words：insurance company;accounting standard;asset impairment loss;procyclicality;threshold effect

企业重组中退休预提费用的精算分析

高洪忠  申丰镐

（中央财经大学保险学院 中国精算研究院,北京100081）

［摘要］在企业重组的过程中,如何对企业员工进行妥善的安置和合理的补偿是企业重组的重要环节和关键部分,也是企业重组中的一个重难点。本文根据财政部公布的关于企业重组中企业职工安置费用预提的相关规定构造了精算模型,以某企业重组过程中的实际数据为例,演示退休预提费用的计算。在此基础上,本文进一步对死亡率、利率、通胀率的影响进行了敏感性测试,并分析了不同的退休年龄对预提费用的影响。结果表明,死亡率与利率与预提费用存在负相关关系,通胀率与预提费用存在正相关关系,退休年龄的推迟可以减少预提费用。
［关键词］企业重组；退休预提费用；敏感性分析

An Actuarial Analysis of Retirement Accrued Expenses in Corporate Restructuring

GAO Hongzhong,SHEN Fenghao

(China Institute for Actuarial Science/School of Insurance,CUFE,Beijing 100081)

Abstract：In the process of corporate restructuring,how to conduct proper placement and offer reasonable compensation to employees is an important and difficult issueWe created the actuarial model based on the relevant provisions published by China’s Ministry of Finance regarding accrued expenses for employee placementThen we demonstrated the calculation of retirement accrued expenses with actual data from a companyOn this basis,we made sensitivity analysis on impacts of mortality rate,interest rate and inflation rate,and the effect of different retirement ages to accrued expensesThe results showed that mortality rate and interest rate had negative correlation with accrued expenses,while there was positive correlation between accrued expenses and inflation ratePostponement of retirement age could reduce the accrued expenses
Key words：corporate restructuring;accrued expenses for retirement;sensitivity analysis

住房反向抵押养老保险的发展与借鉴——以美国反向抵押贷款市场为例

王伟

（南京大学政府管理学院,江苏 南京 210093）

［摘要］住房反向抵押养老保险是一项包含住房财产保险、贷款人履约保证保险、抵押贷款、养老年金等多种金融产品,涉及银行、寿险、产险、券商、担保等多种金融机构以及衔接发行市场、交易市场、国家政策的复杂产品组合,开发运用得当可起到缓解借款人现金流紧张,提升日常生活品质之效用,尤其适合“房产富裕、货币贫困”的老年人,因而被不少国家作为居家养老的有效手段加以推广；本文以发展较为成熟的美国市场为例,详细分析产品的运行模式,总结其在业务增幅、贷款结构特点、借贷双方分布及区域差异等特征及其规律,并结合我国老龄化社会的特质,提出对我国试点工作的启示及具体政策建议。
［关键词］反向抵押；养老模式；发展借鉴

The Development of and Insight on Housing Reverse Mortgage Pension InsuranceUsing the Reverse Mortgage Market in the US as an Example

WANG Wei

(Nanjing University School of Government,Jiangsu Nanjing 210093)

Abstract：Housing reverse mortgage pension insurance incorporates multiple financial products such as housing property insurance,lender performance bond,mortgage and pension fund,involves financial institutions such as banks,life insurers,property & casualty insurers,brokerage firms,and guarantee companies,and links up the issuing market,trading market,and policyrelated portfoliosIf designed properly,it can help to alleviate tight cash flow of borrowers,lift the quality of life,and in particular,relieve the problem of “poor in cash while rich in real estate property ” of senior citizensTherefore it has been promoted by many countries as an effective way of homebased aged careBy studying and analyzing the mature market of the United States regarding its operation model,features of business growth and loan structure, distribution of borrowers and lenders and regional differences,we could generalize some rules, and then with a consideration of characteristics of the aging population in China,offer some insight on China’s pilot project and policy making
Key words：reverse mortgage;aged care models;reference for development

对车损险中被保险人从第三方获得的赔偿金额扣减问题研究——2012年行业协会车损险示范条款赔款计算公式的分析与修正

赵苑达

（东北财经大学，辽宁 沈阳 116025）

［摘要］本文梳理了被保险人从第三方获得赔款的来源，界定了其中不应当扣减的部分与应当扣减的部分，论证了不同扣减方法的差异；提出了保险人是否做到了“足额赔偿”和被保险人一方是否存在“不正当得利”，不应当以保险人支付的赔款与保险标的的损失的比较为判断依据，而应当以保险人支付的赔款与其应当支付的赔款或被保险人应当得到的保险赔款的比较为判断依据的观点。本文认为对被保险人一方从第三方获得的赔偿金额中应当扣除的部分采用“先减”的方法予以扣减，会使被保险人一方不正当得利，违背补偿原则。在此基础上，笔者按“后减”法对2012年协会车损险示范条款保险赔款的计算公式作了修正。
［关键词］被保险人从第三方获得的赔偿金额；足额赔偿；不正当得利；先减法；后减法

Studies on Disposition of the Reparations Obtained by the Insured from the Third Parties—Analysis and Amendment of the Formula for Vehicle Loss Indemnity in the
“Association Model for Commercial Vehicle Insurance Terms 2012”

ZHAO Yuanda

(Dongbei University of Finance and Economics,Liaoning Shenyang 116025)

Abstract：This paper combed the sources of reparations obtained by the insured from the third parties,distinguished between the deductible parts and the nondeductible parts,and demonstrated the differences between different methods of deductionThe paper drew a conclusion that the judgment about whether the insurer fully indemnified and whether the insured party unfairly profited should not be based on the comparison of the insurer′s actual payment amount with the actual amount of loss of the insurance object,but should be based on the comparison of the insurer′s actual payment amount with the amount the insurer should pay or the amount the insured should be paid forThis article believed that if the amount of reparation from the third party was deducted by the “prededuction” method,it would cause the insured party unfair profits,which was contrary to the principle of indemnityOn this basis,the author modified the formula for indemnity of the “Association Model for Commercial Vehicle Insurance Terms 2012” according to the “postdeduction” method
Key words：the reparations obtained by the insured from the third parties;full indemnity;unfair profit;“prededuction” method;“postdeduction” method

保险行业声誉风险的成因与管控研究

崔亚  谢志刚

（上海财经大学金融学院,上海 200433）

［摘要］保险行业的声誉风险与保险公司的声誉风险互为因果,而前者是更加重要和紧迫的议题,因为声誉乃整个保险业的安身立命之本。保险行业的声誉风险,是由行业内部的所有参与者和利益相关方共同营造的,因此需要站在全行业的高度,研究如何对其进行管控,从而提升和维护行业形象。本文从界定保险行业声誉风险的内涵出发,通过识别和分析保险行业声誉风险的主要导因及其相互间的交互作用,认为应将保险行业声誉风险视为行业系统性风险的一种情形,通过行业治理方式进行管控,并提出了两条管控原则和相应的管控方法。
［关键词］保险行业；声誉风险；风险管理

Main Causes for and Management of Insurance Industry’s Reputation Risk

CUI Ya,XIE Zhigang

(School of Finance,Shanghai University of Finance and Economics,Shanghai 200433)

Abstract：Reputation is the foundation for the entire insurance industryReputation risk of the insurance industry and insurance company are in a mutual causeeffect relation,while the former is a more important and urgent issue to be addressedThe insurance industry’s reputation risk is determined by all the participants and stakeholders within the industryIt is essential to stand on the perspective of the entire industry and consider the management approaches,so as to enhance and maintain the good image of the industryThis paper startsed from defining implied meaning of insurance industry’s reputation riskThe paper identified the main causes of the industry’s reputation risk and their interactionsIt concluded that reputation risk of the industry was a case of systemic riskThe industry should manage it through industry governanceThe paper proposed two management and control principles and also the relevant approaches
Key words：insurance industry;reputation risk;risk management

存款保险立法：欧美经验对中国的启示

胡继晔

（中国政法大学法和经济学研究中心，北京 100088）

［摘要］目前全球已经有113个经济体进行了存款保险立法，中国是主要经济体中唯一尚未进行存款保险立法的国家。通过对中国过去20年间商业银行倒闭的案例分析，发现中国长期的隐性存款保险制度是一个成本很高的制度。为以利率市场化为核心的金融体制改革提供制度性保障，必须借鉴欧盟、美国存款保险立法的经验，重点解决存款保险范围、保险限额、保险费率等问题，以加快建立存款保险制度的步伐。我国存款保险立法的核心是加强和改善金融监管，建立健全系统性金融风险防范预警体系和处置机制，最终以显性保险的形式保障存款人的利益，促进金融稳定发展和经济健康增长。
［关键词］金融危机；存款保险；保险费率；立法

Legislation on Deposit Insurance Scheme: What China Can Learn from Europe and the US

HU Jiye

(Center for Law and Economics CUPL,Beijing 100088)

Abstract：113 economic bodies in the world have legislated on deposit insurance,and China is the only major economic body which hasn’t done soBased on the analysis of bank bankruptcy cases in the past two decades in China,we found that the longstanding implicit deposit insurance scheme in China was very costlyIn order to offer an institutional guarantee for the financial reform with a marketled interest rate at the core,it is imperative for us to learn from the deposit insurance legislation experiences of the EU countries and the US and establish a marketdriven deposit insurance mechanism as soon as possibleFor achieving this goal,China should focus on  solving the core issues such as the deposit insurance coverage,the insurance premium limit,and insurance premium ratesThe explicit deposit insurance legislation hinges on issues like strengthening and improving financial oversight,and establishing a sound early warning system and a risk response mechanism in preventing systemic financial risks,with an view to protecting the interests of depositors and ensuring the healthy and steady development of the financial industry
Key words：financial crises;deposit insurance;insurance premium rates;legislation