风险治理机制对公司价值的影响效应分析

王稳 王东 谢远涛

（对外经济贸易大学保险学院,北京 100029）

［摘要］企业风险治理机制是通过一定的风险治理手段或风险管理策略合理规制剩余索取权和控制权的安排和调整,以使企业内的不同利益主体特别是股东（委托人）和管理层（代理人）形成有效的自我约束和激励机制。以管理层激励和风险管理策略为核心的风险治理机制对公司价值的影响效应是企业风险管理理论和实践的重大课题。本文以中国2007~2011年间的金融类上市公司作为研究样本,运用联立方程组控制主要变量之间的内生性问题,实证检验了风险治理机制中风险管理策略和管理层激励对公司价值的影响作用和互补效应。考虑控制人属性的影响,风险管理策略和管理层激励的互补效应在国有企业和非国有企业中有所差异,表明不同性质企业的风险治理对公司价值的影响效应存在明显差别。

［关键词］风险治理机制；管理层激励 ；风险管理策略；公司价值

The Research of Impacting Effect of Risk Governance Mechanisms on Firm Value

WANG Wen，WANG Dong，XIE Yuantao

（University of International Business and Economics，Beijing100029）

Abstract：Enterprise risk governance mechanisms are methods that make different stakeholders within the company,especially shareholders (principals) and management (agent),form an effective self-restraint and incentivizing mechanism through the reasonable regulation of the arrangement and adjustment of residual claims and control right by certain risk governance means or risk management strategy. The effect of risk governance mechanismson corporate value,whose core is management incentives and risk management strategy,should be a major topic of enterprise risk management theory and practices. This article used financial listed companies in China from 2007 to 2011 as research samples,employed simultaneous equations to control the endogenity between main variables,and empirically tested the influence and complementary effects of risk management strategy and management incentive plans in risk governance mechanisms on corporate value. In consideration of the controller's attributes,there are differences between the complementary effects of risk management strategy and management incentive plans of state-owned enterprises and non-state-owned enterprises,which showed that there are significant differences in the effect of risk governance on corporate value in different kinds of companies.

Key words：risk governance mechanisms;management incentives;risk management strategy;corporate value

 

基于风险区划的农作物保险精细化费率厘定研究——以河南省县级小麦保险纯费率厘定为例

王国军 赵小静

（对外经济贸易大学保险学院,北京 100029）

［摘要］尽管2007年以来我国的农业保险发展迅速,并已经成为继美国之后的全球第二大农业保险市场,但与美国相比,我国的农业保险实践却相对粗糙,尤其在风险区划和费率分区方面,差距仍十分遥远。依据区域内农作物风险水平的差异性制定相应的保险费率,能够有效化解农业保险中的道德风险和逆向选择问题。本文运用1990～2013年河南省各市、县小麦单产、面积、农业保险赔付率、水利设施、灾情数据,在河南省市级风险区划的基础上完成了县域小麦生产风险区划,同时结合非参数核密度估计法完成了河南省市、县级区域小麦保险纯费率的厘定,为未来以小麦保险差别化费率为基础的技术升级提供了必要的精算支持。

［关键词］聚类分析；非参数核密度估计；风险区划；费率厘定

A Study on Setting Crop Insurance Premium Rate Based on Risk Zoning

—With Henan net premium rate setting for Wheat Insurance at the county level as an example

WANG Guojun,ZHAO Xiaojing

(School of Insurance and Economics,University of International Business and Economics,Beijing 100029)

Abstract：The development of agricultural insurance in China has been rapid since 2007,and China has become the world's second largest agricultural insurance market after the United States.But compared with America,China's agricultural insurance practice is quite unsophisticated,especially in the areas of risk zoning and rate zoning where the gap is conspicuous. The crop premium rate should be consistent with the actual risk level in the area,which can overcome moral hazard and adverse selection effectively. By using the data of unit wheat yields,acreage,agricultural insurance loss ratio,water conservancy facilities and disaster data of cities and counties in Henan province from 1990 to 2013,the county-level wheat production risk are divided into different risk zones using cluster analysis. Nonparametric kernel density estimation is used to estimate the net premium rate of municipal and county-level wheat insurance,which can provide the necessary actuarial technical support for technique upgrades based on differentiated wheat insurance rating.

Key words：cluster analysis;non-parametric kernel density estimation;risk zoning;rate-making

两阶段视角下中国寿险公司经营效率评价与改进——基于网络SBM模型与DEA窗口分析法

江涛1  范流通2  景鹏2

（1. 西南财经大学会计学院,四川 成都 611130；2. 西南财经大学保险学院,四川 成都 611130）

 

［摘要］本文运用网络SBM模型和DEA窗口分析法,从承保和投资两阶段视角测算了2009~2013年中国寿险公司经营效率,揭示了效率损失根源并指明了改进方向。研究表明,样本期内寿险公司整体及两阶段效率都呈现U型特征,效率均值分别为0.435、0.456和0.421,相对而言,投资阶段效率提升潜力更大。从分阶段角度看,不同类型寿险公司经营效率损失的主要原因有所差别,或是承保阶段低效,或是投资阶段低效,亦或是两个阶段都低效。从资本性质角度看,中资公司整体效率高于外资公司,前者在保险产品销售方面具有明显优势,后者在保险资金运用方面具有一定优势。因此,寿险公司应根据其具体情况侧重提升相对较弱的环节。

［关键词］经营效率；承保阶段；投资阶段；网络SBM模型；窗口分析

 

Operating Efficiency Evaluation and Improvement for China's Life Insurance Companies under the Two-stage Perspectivee—Based on network SBM model and DEA window analysis method

JIANG Tao1，FAN Liutong2，JING Peng2

(1.School of Accounting,South Western University of Finance and Economics,Sichuan Chengdu 611130;2.School of Insurance,South Western University of Finance and Economics,Sichuan Chengdu 611130)

Abstract：This paper used the network SBM model and DEA window analysis methods to estimate operating efficiency of China’s life insurance companies between 2009 and 2013 from the perspective of underwriting and investment,revealed the sources of efficiency loss,and pointed out the directionfor improvement. The research showed that during the sample period,both the overall efficiency and the two-stage efficiency presented a U shape,with average efficiency ratios standing at 0.435,0456,and 0.421. Comparatively speaking,the efficiency improvement potential was bigger at the investment stage than the underwriting stage. From the two-stage perspective,the main reasons for efficiency loss of different kind of companies were different,some showing lower efficiency at the underwriting stage,some at the investment stage,and still others at both stages. From the ownership perspective,Chinese companies’ efficiency was higher than foreign companies on the whole because the former had a conspicuous advantage in sales capability,while the later had an advantage in investment. Insurance companies should improve their relatively weak aspect according to their own situation.

Key words：operating efficiency；underwriting stage；investment stage；network SBM model；window analysis

 

“GMDB+GMAB”型变额年金投资组合保险策略绩效比较

赵桂芹1 钟明1 陈晓明2

 

(1.上海财经大学金融学院,上海 200433;２.丘博保险(中国)公司,上海 201204)

［摘要］参照我国目前保险市场上的三款变额年金产品,本文设计了具有最低身故利益保证 (GMDB)和最低累计利益保证(GMAB)的变额年金保单,并从内部收益率、退保率及保证成本三方面,综合评估固定乘数CPPI及TIPP、动态乘数CPPI及TIPP四种策略的绩效。研究结果显示,对照固定乘数投资组合保险策略,动态风险乘数策略能有效提高内部收益率；在考虑动态退保情形下,无锁利机制的CPPI策略会导致更多的退保率；交易成本在很大程度上影响保证成本,采用市场波动调整法可以在对内部收益率影响较小的情况下有效降低交易成本。此外,动态乘数调整中参数的设定对投资策略绩效的影响大小不一。

［关键词］变额年金；保证利益；投资组合保险策略

 

Performance Comparison of Investment Portfolio Insurance Strategies for “GMDB+GMAB”Variable Annuity

ZHAOGuiqin1,ZHONG Ming1,CHEN Xiaoming2

(1.School of Finance,Shanghai University of Finance and Economics;Shanghai 200433;2.Chubb Insurance (China)Ltd.,Shanghai 201204)

Abstract：Using three variable annuity products in our market as the reference,this paper designed the variable annuity policy with guaranteed benefits(GMDB+GMAB),and from the aspect of the IRR,surrender rates and reserve,this study conducted a comprehensive assessment of fixed multiplier CPPI and the TIPP,dynamic multiplier CPPI and TIPP four specific strategies for their respective performance.The results showed that the dynamic risk-adjusted multiplier strategy could effectively improve the IRR;In considering the dynamic surrender and without the lockup mechanism,the CPPI strategy would lead to higher surrender rates;Transaction costs had great influence on the actuarial present value of the guarantee,and the market fluctuation adjustment method could effectively bring down the transaction costs without a major impact on IRR;And moreover,the adjusted parameter settings in dynamic multiplier affected the performance of the investment strategy differently.

Key words：variable annuity;guaranteed benefits;portfolio insurance strategies

 

基于OLG模型的家庭资产最优分配策略研究

廖朴1 窦金龙2

(1.中央财经大学保险学院/中国精算研究院,北京 100081；2.慕尼黑再保险公司北京分公司,北京 100022)

［摘要］本文在考虑代际收入转移的家庭消费—储蓄决策中,根据消费的特点将家庭消费分为耐用品消费和非耐用品消费,并引入财产保险和人寿保险,讨论家庭在耐用品、非耐用品、保险、风险投资和教育等方面的最优支出决策问题。模拟结果显示,本文模型能够很好拟合家庭实际支出结构。通过敏感性测试发现：风险投资和生存保险之间存在替代关系；教育无法替代且独立于个体的风险态度；耐用品组合的折旧率对耐用品消费具有决定性的影响；个体的风险态度和效用折现率都会在较大程度上影响消费和投资需求。

［关键词］OLG模型；消费；保险；投资

An OLG Model for Optimal Asset Allocation Decisions for Households

LIAO Pu1,DOU Jinlong2

(1.Central University of Finance and Economics,School of Insurance/China Institute for Actuarial Science,Beijing 100081;2.Munich Reinsurance Company,Beijing Branch,Beijing 100022)

Abstract：This article divided household consumption into durables consumption and non-durables consumption based on the household consumption-savings model with intergenerational transfer payments,and with life insurance and property insurance included,it studied the individual’s optimal decision on durables,non-durables,investment,insurance,and education expenses.The simulation result showed that the model fitted with actual household expenditure structure quite well.The sensitivity test found that:the substitution relation between risky asset and survival insurance was verified;human capital investment couldn’t be substituted and it was independent of individuals’ risk aversion coefficient;the rate of depreciation of durables had important influence on durables consumption;individuals’ risk aversion  coefficient and discount factor of utility had great effects on consumption and investment.

Key words：OLG model;consumption;insurance;investment

 

基于贝叶斯MCMC方法的我国人口死亡率预测

胡仕强

（浙江财经大学金融学院,浙江 杭州 312000）

［摘要］鉴于我国人口死亡率统计数据质量不高的实际和传统Lee-Carter死亡率预测模型两阶段方法存在的误差累积问题,本文采用贝叶斯Markov Chain Monte Carlo方法来预测我国人口死亡率。通过WinBUGS编程,文章在一体化框架下一次性给出模型的参数估计和未来死亡率的预测值。对研究结果的比较分析表明,贝叶斯方法不仅有效减少了数据质量问题的不利影响,提高了参数估计的稳健性,而且有效克服了参数估计和预测分开进行的弊端,在BIC值和残差项方差等模型选择标准上明显优于传统方法。

［关键词］死亡率预测;贝叶斯MCMC方法；WinBUGS编程

 

Mortality Projection of Chinese Population Using Bayesian MCMC Approach

HU Shiqiang

(School of Finance,Zhejiang University of Finance and Economics,Zhejiang Hangzhou 312000)

 

Abstract：In view of the low quality mortality statistics of China’s population and error accumulation of the traditional Lee-Carter model methodology that uses the separated two-period parameter projection,this article utilized the Bayesian Markov Chain Monte Carlo approach to project Chinese mortality rates. With the help of WinBUGS programming,we got the parameter estimations and their predicted value under an integrated framework. The study showed the Bayesian method not only effectively reduced the adverse influence of low quality mortality statistics on the robustness of parameter estimation,but also overcomed the problems of two-period parameter projection as well. In terms of model selection criteria such as BIC and error variances,the Bayesian MCMC method had an obvious advantage over the traditional ones.

Key words：Mortality projection;Bayesian MCMC approach;WinBUGS programming

 

风险认知对长期护理保险购买意愿影响分析

赵娜 陈凯

（东北大学工商管理学院,辽宁 沈阳 110819）

［摘要］识别风险认知因素对长期护理保险购买意愿的影响对刺激该险种有效需求具有重要意义。本文对抽样调查数据建立经济计量模型加以验证,实证结果表明：人们对长期护理发生概率及护理成本的认知程度以及非正式照料的替代对长期护理保险购买意愿有显著影响。为了进一步验证长期护理风险信息对购买意愿的影响,本文进行了一个基于风险告知的对比试验,即告知被试长期护理发生概率、月均护理成本、平均持续年限及日均家庭护理时间等风险因素客观信息后,对购买意愿转变概率进行实证分析发现：33.02%的被试者在风险告知后购买意愿由最初的“不愿意”转变为“愿意”。长期护理风险信息不足导致人们对该风险存在严重低估现象,从而抑制了长期护理保险的有效需求,并且,低估长期护理风险的被试者在风险告知后更可能转变购买意愿。最后,本文提出了若干刺激长期护理保险有效需求增加的政策建议。

［关键词］长期护理保险；风险认知；购买意愿；风险告知

 

Risk-perception Factors’ Impacts on the Long-term Care Insurance Purchase Willingness

ZHAO Na，CHEN Kai

（School of Business Administration,Northeastern University,Liaoning Shenyang 110819）

Abstract：Identifying risk-perception factors affecting long-term care insurance purchase willing-ness is important for stimulating demands for such insurance coverage. The paper constructed a Probit model on the basis of individual survey data to verify it. The exponential results indicated respondent’s perception of the disability occurrence probability and the cost of long-term care significantly impacted on the long-term care insurance purchase willingness. Then the paper carried out a contrast experiment to verify the respondent’s willingness-switching after been informed of the average probability of long-term care,the average length of continued disability and the average monthly cost in a nursing home. We found that 33.02%originally unwilling respondents became willing to purchase long-term care insurance after acknowledging such information. Underestimating long-term risk factors is a consequence of informational deficiency which suppressed demands for long-term care insurance. Respondents previously underestimating long-term care risks are likely to becoming willing buyers after being informed of the statistics. At last,the paper put forwards some proposals for stimulating the demands for long-term care insurance.

Key words：long-term care insurance;risk- perception;purchase willingness;risk acknowledgement

 

企业年金纳税递延与财政预算平衡

赵春红

(中央财经大学保险学院,北京 100081)

［摘要］本文在一般均衡的世代交叠模型下,以无纳税递延的基本经济体为基准,分别研究了削减政府购买和提高年轻人税率两种财政预算平衡方式下,企业年金纳税递延政策对诸如资本存量、产出、利率、工资、储蓄以及消费等经济变量产生的影响。研究结果表明,在削减政府购买的财政预算平衡方式下,企业年金纳税递延将提高资本存量和产出,提高工资并且降低利率,提高两期消费和效用水平；在提高年轻人税率的财政预算平衡方式下,企业年金纳税递延产生的经济效应恰恰相反。

［关键词］企业年金；纳税递延；预算平衡；经济效应

The Tax-deferred Enterprise Pension and Fiscal Budget Balance

ZHAO Chunhong

(Insurance school,Central University of Finance and Economics,Beijing 100081)

Abstract：This paper built a general equilibrium model of overlapping generations to analyze the effects of tax-deferred enterprise pensions on economic variables,such as capital,output,interest rate,wage,savings and consumptions,under two different budget-balanced methods,namely cutting down on government purchases and raising the tax rate for the young. The research results are as follows,if the government chooses to reduce government purchasing to maintain the budgetary balance,the tax-deferred policy for enterprise pensions will increase the capital,output,wage,consumptions and total welfare and decrease the interest rate at the same time. While if the government chooses to increase the tax rate for the young,the effects of the tax-deferred policy for enterprise pensions will be just the opposite.

Key words：enterprisepensions;tax-deferral;budgetary balance;economic effects

 

企业社会保险缴费的劳动力就业挤出效应研究——基于中国制造业上市公司数据的实证分析

刘苓玲 慕欣芸

（西南政法大学经济学院,重庆 401120）

［摘要］本文基于“柯布-道格拉斯生产函数”推导出企业社保缴费对劳动力就业影响的决定方程,利用2007~2014年中国沪深两市419家制造业上市公司的财务数据,实证研究我国企业社保缴费对劳动力就业的影响效应。结果发现,企业社保缴费对劳动力就业存在显著的挤出效应,即企业社保缴费率每上升1%将挤出企业雇佣人数约6.9%的水平,而这一挤出水平需要人均GDP增长约0.04个百分点才能弥补。进一步研究发现,企业的所有制性质是影响企业社保缴费就业挤出效应差异的重要原因,其中国有控股企业的社保缴费对劳动力就业具有明显的挤出效应,而这种挤出效应并没有在民营控股企业中发现。

［关键词］企业社保缴费；劳动力就业；系统GMM；所有制性质

The Crowing-out Effect of Corporate Social Security Contribution on Labor Employment—Based On the Empirical Analysis of Manufacturing Listed Company Data in China

 LIU Lingling， MU Xinyun

(School of Economics,Southwest University of Political Science and Law,Chongqing 401120)

Abstract：Based on the Cobb-Douglas production function,the article deduced a decision equation on labor employment of corporate social security contribution,using 419 manufacturing listed company financial data in Shanghai and Shenzhen stock markets from 2007 to 2014. The empirical studies focus on the crowing-out effect of corporate social security contribution on labor employment. The study found that there was an obvious crowing-out effect of corporate social security contribution on labor employment,that is to say,when corporate social security contribution rates went up 1%,the employment would be squeezed out about 6.9%，which needed a 0.04% of GDP growth per capita to make up for. Further study showed that the ownership nature led to differences in the crowding-out effect. There was a significant crowding-out effect of social security contribution on employment in state-owned enterprises,not in private enterprises.

Key words：corporate social security contribution;labor employment;the method of system GMM;the ownership of enterprises

 

我国保险损失计量规则之反思与重构——以美国司法裁判中对“实际现金价值”的解读为借鉴

 

康雷闪

（中国石油大学（华东）法学系,山东 青岛 266580）

［摘要］保险理赔时,按照何种规则计量被保险人的损失,关乎保险双方当事人的切身利益。我国《保险法》规定“以保险事故发生时保险标的的实际价值为赔偿计算标准”,但“实际价值”的测算标准为何,并无明文。美国司法裁判中衡量“实际现金价值”的标准有重置成本减折旧规则、公平市场价值规则以及广泛证据规则。随着保险补偿观念由经济观念向功能观念的转变,对保险损失的认识不应停留在保险标的的价值上,其作为“保险利益的反面”,本质是一种“物之于人的损失”。所以在保险合同无明文约定“实际价值”的计量规则时,应着重考量被保险人对保险标的的使用意图来测算被保险人的实际损失。

［关键词］损失计量；实际现金价值；损失补偿

Reflecting on and Reconstructing the Rule of Measuring Insured Losses—Referring to the Interpretation of “Actual Cash Value” in America

KANG Leishan

(The Law Department of China University of Petroleum,Shandong Qingdao 266580)

Abstract：When it comes to insurance claims,the rule of measuring insured losses affects the vital interests of the insurance parties. Chinese “Insurance Law” stipulates that “the rule of measuring insured losses is the actual value of the subject at the time of loss”,but how to calculate the “actual value” is not explained. In America,“actual cash value” is explained as replacement cost less depreciation rule,the fair market value rule and the broad evidence rule. With the changing of the insurance indemnity concept from being economic to functional,the insured losses should not be explained as the value of the subject but the “the opposite of insurable interest”. Therefore,when the insurance contract doesn’t carry a definition of the “actual loss”,the focus should be put on the insured’s intention of using the subject for measuring the losses.

Key words：measuring loss;actual cash value;indemnity