保险业市场结构、产寿险结构对“保险-经济增长”系统的影响

邵全权

（南开大学金融学院，天津 300071）

［摘要］本文运用2004～2014年季度数据建立经济增长与保险业发展的非线性动力系统模型，引入保险市场结构与产寿险结构作为控制变量，较为全面、系统的研究和比较了不同控制方案对经济系统的影响。研究发现，我国经济增长与保险业发展存在长期均衡的非线性关系；保险市场集中度降低可以促进经济增长，产寿险结构对经济增长的影响存在差异；在对该经济系统进行最优控制时，需要根据实际情况确定控制偏好，在控制时间、社会福利损失与控制成本之间进行选择；最优控制的结果要求降低保险市场集中度，提高寿险业相对于产险业的规模。

［关键词］保险业市场结构；产寿险结构；经济增长；保险业发展；非线性动态系统

The Impacts of Insurance Market Structure and Nonlife-Life Insurance Structure on the“Insurance-Economic Growth”System

SHAO Quanquan

(School of Finance,Nankai University,Tianjin 300071)

Abstract：This paper built the economic growth and insurance development’s nonlinear dynamic system model based on 2004-2014 quarterly data. We used the insurance market structure and nonlife-life insurance structure as control variables to comprehensively and systematically study and compare different control variables’ impacts on the economic system. The results revealed that there was a long-term nonlinear relation between economic growth and insurance development in China,the decrease of life insurance market concentration would promote economic growth,and the effect of life/nonlife structure to economic growth was different. Therefore,when seeking the optimal control over the economic system,we should decide on the control preference and choose suitable control time,welfare loss and control intensity. The result of optimal control experiments required that the insurance market concentration should be decreased and the relative scale of life insurance to nonlife insurance should be increased.

Key words：insurance market structure;nonlife-life insurance structure ;economic growth;insurance development;nonlinear dynamic system

我国保险公司董事会治理有效性实证研究——基于32家股份制保险公司的经验数据

凌士显 谢清华

(山东大学(威海)商学院,山东 威海 264209)

［摘要］利用我国存续时间5年及以上的32家股份制保险公司从2010年到2013年的面板数据,采用个体固定效应广义最小二乘(GLS)的方法,检验了我国保险公司董事会特征与公司绩效的关系。研究结果表明,董事会规模对公司绩效具有负面作用,独立董事比例、女性董事比例、金融背景董事比例、法律背景董事比例等特征对公司绩效具有显著的正面影响,而教育背景董事比例对公司绩效具有显著的负面影响。研究建议我国保险公司应不断加强董事会治理机制建设,实现董事会治理机制从合规性到有效性的转型。

［关键词］保险公司；公司治理；董事会特征；绩效

An Empirical Study on the Effectiveness of Board Governance of Chinese Insurance Companies—Based on empirical data of 32 shareholding Companies

LING Shixian,XIE Qinghua

（Business School of Shandong University(Weihai)，Shandong Weihai,264209）

Abstract：Based on the panel data from 2010 to 2013 of 32 insurance companies which were established before 2006,the relationship between board characteristics and enterprise performance was tested by using GLS of individual fixed effects regression model. The results showed that,the board size was negatively related to ROA,while the proportions of independent directors,of female directors,and of directors with finance and legal backgrounds were positively related to the performance. But the proportion of educational background had a negative effect. In order to realize the transformation from compliance to effectiveness,we pointed out that the board governance of Chinese insurance companies should be strengthened.

Key words：insurance company;corporate governance;characteristics of board;operational performance

基于一致性原则的偿二代TVOG风险因子校准

王灵芝1,2

(1.中国太平洋保险(集团)股份有限公司，上海 200120；2.复旦大学经济学院，上海 200433)

［摘要］论文基于期权定价法和最小二乘蒙特卡罗模拟法计算分红保险、万能险隐含的退保权和保证收益率的价值(TVOG)。研究发现，我国试行的偿二代规则中TVOG因子偏低，存在风险资本金不足的风险。另外，TVOG因子随保证收益率和合同期限的增加而不断增加，保证收益率较低时，保单隐含的退保权价值较大，随着保证收益率的增加，隐含的退保权的价值不断降低,而收益保证的价值将不断增加。

［关键词］偿二代;一致性原则;最小二乘蒙特卡罗模拟;选择权及保证利益的时间价值(TVOG)

The Risk Calibration of TVOG in “C-ROSS” under the Consistency Principle

WANG Lingzhi

(1.China Pacific Insurance (Group) Company Limited,Shanghai 200120;2. Economics School of Fudan University,Shanghai 200433)

Abstract：This Paper intended to evaluate the Time Value of Options and Guarantees（TVOG）in participating life insurance and universal policies by using the Black-Scholes formula and the Least Square Monte Carlo Simulation method. We found out that,the TVOG risk factor in the “C-ROSS” was much lower than the TVOG computed by the Simulation,which may lead to insufficient risk-based capital. Furthermore,the TVOG factor increased along with the increase of guaranteed interest rate and the lengthening of policy term. The value of surrender option was higher when the guaranteed interest rate was low. As the guaranteed interest rate increased,the value of surrender option decreased,but the value of guarantee increased.  

Key words：C-ROSS;consistency principle;Least Square Monte Carlo Simulation;Time Value of Options and Guarantees

基于主成分分析的我国系统重要性保险公司研究

张琳 何玉婷

(湖南大学金融与统计学院，湖南长沙 410082)

［摘要］本文运用旋转载荷数据分析各原始指标对主成分的影响力，使用主成分预测得到我国寿险业和产险业系统重要性保险公司排名。结果显示，在构建的原始指标体系中，总资产、二级分支机构数量和投资收益指标对评估结果具有重要影响力。在预测的排名中具有系统重要性的产险公司不仅在总量上多于寿险公司，而且相对集中于高级别的区间，一旦出现危机，其对保险行业乃至整个金融体系带来危害的可能性更高，危害的程度更深。此外，本文记录的10家保险集团下的产、寿险公司均具备系统重要性，建议监管当局审慎对待保险公司集团化趋势。

［关键词］系统性风险；系统重要性保险公司；指标体系；主成分分析

Principal Component Analysis for Domestic Systematically Important Insurers

ZHANG Lin，HE Yu-ting

(School of Business,Hunan University,Changsha 410082)

Abstract：In this paper,we used rotating load data to analyze the original index’s impacts on principal components,and ranked systematically important Chinese life insurers and P&C insurers on the basis of principal component forecasts. The results showed that among the original index system,total assets,the number of tier-two branches,and investment income had a major bearing on the evaluation results. In the predicted ranking,the number of P&C insurers with systematical importance was larger than life insurers,and these P&C insurers relatively concentrated in the high-level range. Therefore,in the event of crisis,they were more likely to endanger the insurance industry,or even the whole financial system,and the harm minght be more serious. In addition,all life and P&C insurers of the 10 insurance groups recorded in this paper had systematical importance. Therefore,we recommended the regulatory authority to take a cautious approach to the consolidation trend of insurance companies.

Key words：systemic risk;SIIs;index system;PCA

长寿风险的稳健对冲与稳健管理技术研究进展

高全胜

(武汉轻工大学数学与计算机学院，湖北武汉 430023)

［摘要］本文总结了长寿风险的稳健对冲与稳健管理技术的最新研究成果，特别概述了人口寿命与死亡率的预测方法和长寿风险对冲工具的发展近况和长寿风险定价方法，详细分析了长寿风险对冲过程中不稳健性的来源和长寿风险稳健性对冲技术的最新研究进展。最后，通过对长寿风险稳健对冲与稳健管理技术的最新研究进展进行综述和评析，期望为后续长寿风险的稳健对冲与稳健管理技术的研究提供文献和理论基础。

［关键词］长寿风险;稳健对冲;稳健管理;养老保险体系

A Review on Robust Longevity Risk Management and Robust Hedging against Longevity Risk

GAO Quansheng

(Wuhan Polytechnic University,School of Mathematics and Computer Science,Wuhan430023)

Abstract：The topic of longevity risk management has attracted a great deal of attention in academics and industries. And the capital market for managing longevity risk is witnessing fast development. Researches on longevity risk’s hedging techniques and management means have also made long-stride progress. However,the concept of robust longevity risk management and robust hedging of longevity risk is just proposed not long ago.  The paper reviewed the most recent research results  on robust longevity risk management and robust hedging techniques,particularly the projecting method for a population’s life expectancy and mortality rate,the current hedging tools,and longevity risk pricing method. It made a detailed analysis on the sources of un-robustness of longevity risk hedging and the most recent progress in the research on robust hedging techniques. With such a thorough review and analysis of the current achievement in the research on robust hedging and management techniques,hopefully the paper will offer a literature reference and theoretic grounding for further studies.

Key words：longevity risk;robust hedging;robust management;social pension insurance system

 

我国农业保险保费补贴效率及其影响因素分析——基于2010~2013年省际面板数据

江生忠1,2贾士彬1江时鲲1

(1.南开大学金融学院,天津 300350;2.中国特色社会主义经济建设协同创新中心，天津 300350)

［摘要］自2007年开展农业保险保费补贴政策以来，我国农业保险取得了不错的发展局面。但是随着我国经济步入新常态、土地制度的改革、农村经营主体变化以及“新国十条”的出台，我国农业保险发展面临着新的经济环境和政策环境，需要对我国农业保险补贴的运行效率及其影响因素进行剖析，为下一步农业保险补贴政策以及农业保险的调整提供建议和支撑。本文对现有农业保险补贴文献从理论、方法、数据等角度进行剖析和评述，构建本文的分析框架和模型，在产出变量、影响因素变量的选择上进行了改进和调整。运用DEA面板超效率方法进行效率分析，并在此基础上采用Stata软件进行影响因素的面板回归分析，得出符合经验判断的结论并提出下一步改进和调整的建议。

［关键词］保费补贴；补贴结构；超效率

An Analysis of the Efficiency and Influencing Factors of Agricultural Insurance Subsidies—Based on the Provincial Panel Data between 2010 to 2013

JIANG Shengzhong  JIA Shibin  JIANG Shikun

（1. School of Finance,NanKai University,Tianjin 300350;2. Collaborative Innovation Center for China Economy,TianJin 300350）

Abstract：Since the premium subsidies for agricultural insurance were carried out in 2007,China’s agricultural insurance has witnessed  a good growth momentum. But along with China’s economy entering the new normal,the reform on the land system,change of operating entities in rural areas and the "New National Ten Articles" on insurance industry’s development,agricultural insurance is facing a new economic environment and policy environment,It is necessary for us to analyze the operating efficiency and influencing factors of the current agricultural insurance subsidies so as to provide advice and support for adjusting the policy and restructuring of the agricultural insurance sector. This paper analyzed and reviewed the existing literature on agricultural insurance subsidies from the perspective of theory,methodology,operating data and so on,and built the framework and model of analysis on this basis,improving and adjusting the choice of output variables and influencing factors. Then,using DEA panel super efficiecy method to analyze the efficiency,and the Stata software to analyze the influencing factor,the paper arrived at the conclusion that conformed to experience-based judgment and put forward suggestions for improvement and adjustment in the future.

Key words：premium subsidies;subsidy structure;super efficiency

 

区域性苹果低温冻害气象指数保险产品设计——以山东省栖霞市为例

陈盛伟 李彦

（山东农业大学经济管理学院,山东 泰安 271018）

［摘要］气象指数保险的重要意义正在被迅速认知，其产品设计是保险险种顺利推广的前提。本文利用山东省栖霞市1981-2010年的气象数据、苹果种植面积和单产数据，通过实际产量的成分分离和加权处理，求得相对气象产量。通过对气象灾害指数的回归分析，筛选低温冻害指数因子，建立气象产量与气象指数之间的联系，即损失率与低温冻害指数的相关关系，并拟合相应的参数分布模型确定低温灾害发生的概率。以上述为基础，厘定保险费率和确定应收纯保费，经计算栖霞市低温冻害指数的纯保费费率为1.241%，每亩苹果应收纯保费为24.82元。

［关键词］低温气象指数保险；趋势产量；低温因子；纯保费率

Meteorological Index Insurance Design for Regional Apple Low Temperature Freezing Disaster:With a Case Study of Qixia City in Shandong Province

CHEN Shengwei,LI Yan

(School of economics and management,Shandong Agricultural University,Shandong Tai'an 271018)

Abstract：The significance of meteorological index insurance is being rapidly acknowledged and its product design is the premise of smooth promotion. By using meteorological data,data of apple planting area and yield data from 1981 to 2010 of Qixia city in Shandong Province,this paper made a component separation and weighted processing of the actual yields,and got the relative meteorological yields. Through the regression analysis of meteorological disaster index and screening of the low temperature freezing index factor,this paper established the relationship between meteorological yield and meteorological index,namely,the correlation between the loss rate and low temperature freezing index,and fitted corresponding parameter distribution model to determine the probability of low temperature disaster. Based on the above analyses,the insurance premium rate and pure premium were determined:the pure premium rate of the low temperature freezing disaster index in Qixia city was 1.241% and the pure premium per mu of apple was 24.82 Yuan.

Key words：low temperature meteorological index insurance;trend yield;low temperature factor;pure insurance premium rate

广义估计方程在商业车险定价中的应用

康萌萌  刘素春

（山东财经大学保险学院，山东济南 250014）

［摘要］2015年4月中国保监会在全国六个地区进行商业车险费率改革试点，标志着商业车险市场化改革正式启动。费率市场化改革后，车险定价是否合理将成为财产保险公司竞争的主要手段。在车险定价中常用的模型是广义线性模型，该模型建立的一个重要假设是索赔数据的相互独立性。但在实践中，随着投保年份的增加，同一投保人不同年份的索赔数据具有相关性，此时广义线性模型不再适用。本文采用广义估计方程来处理索赔数据之间的相关性，实证研究表明，在数据具有相关性的情况下，广义线性模型低估了回归系数的标准差，使得不显著的变量变得显著，增加了风险分类的种类，对具有相同风险的被保险人收取不同的保费，导致保险逆选择问题，而广义估计方程将二阶方差成分引入限制性似然估计方程中处理索赔数据之间的相关性，从而有效解决上述问题。同时，该方法也丰富了非寿险定价工具，为精算师厘定费率提供新思路。

［关键词］商业车险；广义估计方程；泊松分布；负二项分布

The Application of Generalized Estimating Equation in Commercial Vehicle Insurance Pricing

KANG Mengmeng,LIU Suchun

（Shandong University of Finance and Economics,Jinan 250014）

Abstract：China Insurance Regulatory Commission commenced reform on commercial auto insurance premium rate in six areas of China from April 2015,signaling that the market-oriented reform on commercial auto insurance premium rate was officially launched. In the post-reform era,whether the auto insurance pricing is reasonable or not will become the main means of competition of property insurance companies. The commonly used auto insurance pricing model is the generalized linear model. This model is built on an important assumption that the claims data must be independent. But in practice,with the policy year increasing,the same policy-holder’s claims data in different year has correlation. Therefore the generalized linear model is no longer applicable. In this paper,we used the generalized estimating equation to deal with the correlation between the same policy-holder’s claims data. The empirical research showed that the generalized linear model underestimated the standard deviation of regression factors,making non-significant variables become significant. Furthermore,it enlarged the risk categories and charged different premiums for the insured with the same risk profile,thus leading to the problem of adverse selection. The generalized estimating equation introduced the second order deviation element into the restricted likelihood estimating equation to reflect the correlation of claims data,thus properly resolved this problem.  At the same time,this method also enriched the non-life insurance pricing tools,and provided a new way for the rate calculation.

Key words：commercial vehicle insurance;Generalized Estimating Equation;Poisson Distribution;negative binomial distribution

利他保险合同解除权中的第三人保护——《保险法》第15条的修改建议

代琴

(内蒙古大学法学院，内蒙古呼和浩特 010010)

［摘要］由于我国民事法律中尚未确立利他合同具体内容，在实践中对利他合同相关利益主体权利的保护方面存在诸多漏洞。《保险法》第15条中投保人任意解除权的行使可能损害利益第三人(被保险人、受益人)的期待利益。最高人民法院原拟在“保险合同法解释二”中对该条内容做出解释，但因争议较大，最后颁布时删除了此内容。保险法学界对该条存在肯定和否定两种态度，肯定说认为，投保人是保险合同的当事人，按照合同相对性理论，投保人的任意解除权应不受任何限制。而否定说认为，保险合同是利他合同，与其他一般民事合同有一定的区别，投保人的任意解除行为可能损害利益第三人的合法权益，其权利应受到一定的限制。本文对国内外利他保险合同理论进行梳理，通过实际的案例分析投保人任意解除权并对《保险法》第15条提出修改建议。

［关键词］利他保险合同；利益第三人；投保人；任意解除权；限制

The Third-person Protection in the Cancellation of Altruism Insurance Contracts—A proposal on the amendment of Article 15 of The Insurance Law

DAI Qin

(The Law School of Inner Mongolia University,Inner Mongolia Hohhot 010010)

Abstract：In practice,there are many loopholes in the protection of the interests of contracts’ related parties,because the Chinese civil law system hasn’t established the specific content of altruistic contract yet. Exercising arbitrary right of cancellation according to Article 15 of“The Insurance Law of The People's Republic of China” may infringe on the expected interests of third persons (insured,beneficiary). The Supreme Court originally intended to make a judicial interpretation of the contents of Article 15,but deleted this section in the final version due to existence of disputes. There are two attitudes towards this Article:the positive hold that the policyholder is the party of the insurance contract,so the policyholder’s arbitrary cancellation right should not be subject to any restrictions;the negative holds that insurance contract is an altruistic contract,therefore the arbitrary cancellation right should be limited because exercising the right may impair the lawful rights and interests of the third person. This paper reviewed domestic and international theories on altruism insurance contracts and put forward suggestions on the amendment of  Article 15.

Key words：altruism insurance contracts;the interests of third person;policyholder;arbitrary cancellation right;restriction

网络约租车的保险困境与法律应对

刘慧萍  张帆

(东北农业大学,黑龙江 哈尔滨 150030)

［摘要］网约车作为现代分享经济的新生儿，在颠覆传统、引领分享经济理念的同时，引发了保险热议，如何为网约车提供无缝隙保险，化解道路交通事故中可能存在的风险成为各界关注的现实课题。目前，我国网约车类型复杂，因其性质和风险的不同，对保险的影响也不同，无论是营利性还是非营利性网约车均出现了保险困境，亟待法律应对与破解。美国等发达国家在网约车监管及保险立法等方面提供了有益的经验，值得借鉴。我国应尽快立法，确保网约车合法地位，并在此基础上对投保人、保险期间和投保险种做出相关规定，防控安全风险，促进分享经济在公共交通领域的有序发展。

［关键词］网络约租车;保险困境;法律应对

The Insurance Dilemma In New Online Enabled Transportation And Legal Countermeasures

LIU Huiping,ZHANG Fan

（Northeast Agricultural University，Heilongjiang Harbin 150030）

Abstract：As the newborn of the Sharing Economy,New Online Enabled Transportation is overturning traditional business models and promoting the development of sharing economy concept. At the same time,it also raised a heated discussion on how to provide fully-covered insurance for shared transportation to protect against potential traffic accident risks. Currently,there are different types of online enabled transportation vehicles,and their insurance implications vary from each other due to their differences in nature and risk,therefore they are all facing with the insurance dilemma,no matter for profit-seeking or nonprofit vehicles. Corresponding laws and regulations should be established to tackle this situation. The United States and other developed countries have offered some useful experiences in regulating and supervising this field. China should draw on their experiences and accelerate the legislation process to ensure the lawful status of online enabled transportation. What’s more ,in order to maintain security ,prevent risks and promote the development of sharing economy in public transportation,regulation about insurance applicant ,period of insurance ,type of insurance and so on should be clearly defined.

Key words：new online enabled transportation;insurance dilemma;legal countermeasures

机关事业单位养老保险新政对财政支出影响的精算分析

曹园

(中央财经大学保险学院,北京100081)

［摘要］我国机关事业单位养老保险改革将影响养老金的财政支出。本文通过对新政的政策分析,建立精算模型,测算改革前后养老金财政支出缩减额及缩减比例。研究发现,养老金支出缩减额随着职工逐年退休而增大,且当“新人”及“新中人”全部退休时缩减额达到最大；缩减比例逐年小幅降低,相对稳定。可见,改革可减少养老金财政支出,实现养老金待遇的平稳过渡,对应对人口老龄化带来的养老金支出压力具有积极作用。

［关键词］机关事业单位；养老保险新政；财政支出

 

The Actuarial Evaluation of the Effect of the New Civil Servant Pension System on Fiscal Expenditure

CAO Yuan

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

Abstract：China’s new civil servant pension policy will impact the pension fund fiscal expenditure. The paper evaluated the effect by analyzing the new policy and building an actuarial model to project the reduction amount and reduction ratio of the pension fund fiscal expenditure before and after the reform. The research indicated that the pension spending reduction would increase year by year with retirements,and it would reach the maximum value when all the “new men” and “new middle men” retired. The reduction ratio declined slowly and was relatively stable. It can be seen that the new policy will relieve the fiscal burden,realize the smooth transition of pension benefits，and help to meet the challenge of pension expenses caused by the aging of population.

Key words：civil servant;the new pension system policy;fiscal expenditure