【保险学术前沿】 期刊Geneva Papers on Risk & Insurance 2023年48卷第4期目录

声明：本系列文章基于原期刊目录和摘要内容整理而得，仅限于读者交流学习。如有侵权，请联系删除。

期刊介绍：

“Geneva Papers on Risk & Insurance- Issues and Practice” 创刊于1976年，是日内瓦协会主办的一本国际学术期刊，聚焦保险经济学的前沿热点问题，旨在为保险学术界和业界专业人士之间的交流提供桥梁，提升保险业的专业知识。该刊为季刊，每年4期，每期发表文章10篇左右，2022-2023年影响因子为1.6。

本期看点：

●  家庭投资组合对解释人们拥有人寿保险的决定很重要。较多债券资产配置的家庭明显减少了定期寿险的需求。

●  寿险和非寿险保费都与商业周期同步变动。市场集中度仅对寿险有影响，而价格渠道仅对非寿险有影响。

●  将老年抚养比作为阈值变量的情况下，银行集中度和利率对寿险市场规模的影响具有机制转换效应。

●  在《偿付能力 II》中，建议将投资组合互换（portfolio swaps）作为一种新的多样化解决方案，使小型和专业化保险公司能够提高其多样化程度，从而减轻其多样化劣势。

●  在接受保单贴现的决策中，绩效预期、预期的易用性和社会影响结构是相关的变量，道德问题并不相关。

●  在美国西部，农作物保费补贴增加1%会分别导致总体灌溉用水量增加0.446%和表层淡水灌溉用水量增加0.673%。

Ning Wang (北乔治亚大学)

摘要：Prior research indicates a significant relation between life events and the demand for life insurance. This paper is the first study to relate the demand for life insurance to household portfolio holdings in a dynamic framework. The study examines changes in life insurance demand as a function of changes in household portfolio holdings and life events using panel data during the recent financial crisis. The results indicate that household portfolio holdings are more significant than life events in explaining life insurance ownership decisions, and suggest a complementary rather than a substitution relationship between the ownership of life insurance and the holdings of equity and bonds during recessions. The results also indicate that households with more financial assets allocated to bonds drop significantly more term life insurance coverage. Further implications for practitioners are discussed.

已有研究表明，生命事件与寿险需求之间存在显著的关系。本文首次在动态框架下研究了家庭投资组合与寿险需求之间的关系。本研究使用最近的金融危机期间的面板数据，考察了人寿保险需求变化与家庭投资组合和生活事件变化之间的函数关系。结果表明，家庭投资组合持有比生命事件对解释人们拥有人寿保险的决定更为重要。结果还表明，在经济衰退期间，人寿保险的持有与股票和债券的持有之间存在互补而不是替代关系。结果还指出，将更多财务资产配置给债券的家庭明显减少了定期寿险的保障。文章还讨论了对从业者的进一步影响。

原文链接：

https://link.springer.com/article/10.1057/s41288-021-00262-2

Martin Hodula (捷克国家银行); Jan Janků (捷克国家银行); Martin Časta (捷克国家银行); Adam Kučera (捷克国家银行)

摘要：This paper tests potential determinants of the development of the insurance sector. Using a rich dataset for 24 European countries spanning two decades, we identify a set of macrofinancial factors that are the most robust predictors of growth of gross premiums in the life and non-life insurance sectors. We show that both life and non-life premiums co-move with the business cycle and are positively related to higher savings and a more developed financial system. In addition, we provide new evidence on the role of market concentration and price effects. We find that market concentration matters only for life insurance, whereas the price channel is significant only for non-life insurance. From a policy perspective, our empirical estimates can be used to refine the existing macroprudential stress tests of the insurance sector.

本文检验了保险业发展的潜在决定因素。利用24个欧洲国家20年的丰富数据集，我们确定了一组宏观金融因素，这些因素是寿险和非寿险行业毛保费增长的最稳定的预测因素。我们证实，寿险和非寿险保费都与商业周期同步变动，并与更高的储蓄和更发达的金融体系呈正相关。此外，本文还对市场集中度和价格效应的作用提供了新的证据。我们发现市场集中度仅对寿险有影响，而价格渠道仅对非寿险有影响。从政策的角度来看，我们的实证估计可以用来完善现有的保险业宏观审慎压力测试。

原文链接：

https://link.springer.com/article/10.1057/s41288-021-00249-z

Ingrid-Mihaela Dragotă（布加勒斯特经济研究大学），Cosmin Octavian Cepoi （布加勒斯特经济研究大学），Lavinia Ştefan （布加勒斯特经济研究大学）

摘要：We investigate the impact of new financial and economic determinants on life insurance demand for 29 OECD countries for the period 2005–2017 while controlling for a set of widely used socio-demographic and economic characteristics. Based on a panel smooth transition regression model, we find a regime-switching effect characterising the impact of bank concentration and interest rate on the size of the life insurance market, in light of the old-age dependency ratio as the threshold variable. We also show that life insurance development is boosted in countries with high scores for investment freedom and with high levels of foreign direct investment rates, regardless of the level of the old-age dependency ratio. The impact of GDP per capita on the demand for life insurance products is positive and statistically significant, regardless of the level of the threshold variable.

我们研究了 2005-2017 年间 29 个经合组织国家的新金融和经济因素对寿险需求的影响，同时控制了一系列广泛使用的社会人口和经济特征变量。基于面板平滑转换回归模型，我们发现，在将老年抚养比作为阈值变量的情况下，银行集中度和利率对寿险市场规模的影响具有机制转换效应（regime-switching effect）。我们还发现，在投资自由度得分高和外国直接投资率水平高的国家，无论老年抚养比水平如何，都会促进寿险业的发展。人均国内生产总值对人寿保险产品需求的影响是积极的，并且在统计意义上是显著的，与阈值变量的水平无关。

原文链接：

https://link.springer.com/article/10.1057/s41288-022-00272-8

Georgios Deligiannakis（雅典农业大学），Alexandros Zimbidis（雅典经济与商业大学），Ioannis Papanikolaou（雅典农业大学）

摘要：As of January 2016, the Solvency II Directive demands that all insurance companies in the EU perform a Solvency Capital Requirement (SCR) calculation. We propose an earthquake catastrophe model that calculates the SCR using an innovative hazard module. We test our model in the Attica region, which hosts 41.6% of the insured buildings in Greece. The results show a risk premium of 1.63% up to 3.16% for residential buildings, depending on exposure and deductible policy. A comparison between the EIOPA’s Standard Formula (SF) and our model shows that the SF overestimates the SCR by 19.3% in the Attica region. The addition of the 2% deductible to the exposure policies results in a 56.8% lower SCR than when using the SF. The overestimation varies from 2.7% to 133.57% in seven out of 10 catastrophe risk evaluation and standardising target accumulations zones, and by 16.28–32.97% in the three remaining zones.

自 2016 年 1 月起，欧盟《偿付能力II指令》要求所有保险公司进行偿付能力资本要求（SCR）计算。我们提出了一个地震巨灾模型，该模型利用创新的灾害模块计算SCR。我们在雅典地区测试了模型，该地区拥有希腊 41.6% 的投保建筑。结果显示，对于住宅建筑物，根据风险暴露和免赔额政策的不同，风险保费为1.63%至3.16%。我们的模型与EIOPA的标准公式（SF）进行比较，结果显示在雅典地区，标准公式计算高估了SCR的19.3%。在风险敞口保单中增加2%的免赔额，比使用标准公式计算SCR时低了56.8%。在 10 个巨灾风险评估和标准化目标累积区域中，有 7 个区域的高估率从 2.7% 到 133.57% 不等，其余 3 个区域的高估率为 16.28%-32.97%。

原文链接：

https://link.springer.com/article/10.1057/s41288-021-00259-x

Jassem Alokla（萨塞克斯大学）, Arief Daynes（朴次茅斯大学）, Paraskevas Pagas（朴次茅斯大学），Panagiotis Tzouvanas（萨塞克斯大学）

摘要：This paper contributes to the nascent literature on Takaful by investigating the solvency determinants for Takaful firms in both the Gulf Cooperation Council (GCC) and Malaysian economies. Our main objective is to develop a deeper understanding of the solvency determinants of these firms. Using hand- collected microdata for the period 2011 to 2016 for 52 Takaful firms, we document that firm size and wakalah fees significantly decrease solvency. From a regulatory point of view, this finding underscores that the percentage of wakalah fees should be closely monitored. Moreover, we find that other explanatory variables, including return on assets and the risk retention and investment income ratios, are not significantly associated with solvency. Overall, our results remain robust to many different model specifications. Further analysis indicates significant differences between the GCC and Malaysian Takaful firms. This may be explained by the different stages of financial development in the two markets.

本文通过研究海湾合作委员会（GCC）和马来西亚经济中的Takaful（伊斯兰教在传统保险方面的替代品）公司的偿付能力决定因素，为有关伊斯兰教保险的新兴研究做出了贡献。我们的主要目标是深入了解这些公司的偿付能力决定因素。利用手动收集的 2011 年至 2016 年期间 52 家伊斯兰教保险公司的微观数据，我们发现公司规模和wakalah（代理）费用会显著降低偿付能力。从监管角度来看，这一发现强调了应密切监控wakalah费用的比例。此外，我们还发现，其他解释变量，包括资产回报率、风险自留额和投资收益比率，与偿付能力并无显著关联。总体而言，我们的结果在许多不同的模型规格下仍然是稳健的。进一步的分析表明，海湾合作委员会和马来西亚的伊斯兰教保险公司之间存在重大差异。这可能是由于两个市场的金融发展阶段不同造成的。

原文链接：

https://link.springer.com/article/10.1057/s41288-021-00263-1

Barry Sheehan（利默里克大学）, Christian Humberg（利默里克大学）, Darren Shannon（利默里克大学）, Michael Fortmann（科隆应用科学大学），Stefan Materne（科隆应用科学大学）

摘要：Diversification plays a pivotal role under the risk-based capital regime of Solvency II. The new rules reward large and well-diversified insurance companies with relatively low capital requirements compared to those of small and specialised nature. To enhance diversification, insurance companies can adjust their strategy by engaging in mergers and acquisitions or new market entries. Alternatively, insurers can accept higher Solvency II capital requirements, displaying a competitive disadvantage and impeding future growth. This research proposes a Solvency II portfolio swap as a new diversification solution that allows small and specialised insurance companies to improve their diversification, and thus, mitigate their diversification disadvantage. The effect of such swaps is demonstrated through the use of two hypothetical insurance companies by swapping 20% of their portfolio over four different scenarios. The swap allowed for a 6% reduction in the Solvency Capital Requirement (SCR) and a maximum increase of the SCR coverage ratio of 17%. With Solvency II posited to stimulate further mergers and acquisitions within the European insurance market, this paper offers an alternative method for insurers to diversify their portfolio. Furthermore, it is suggested that the proposed alternative risk transfer method may improve insurance market competition within the EU by facilitating small and specialised insurers’ competitiveness.

在欧盟《偿付能力 II》的风险资本制度下，多样化发挥着关键作用。与规模小、专业化程度高的保险公司相比，新规则以相对较低的资本要求奖励规模大、多样化程度高的保险公司。为了加强多样化，保险公司可以通过并购或进入新市场来调整战略。或者，保险公司也可以接受较高的《偿付能力 II》资本要求，这样会在竞争中处于劣势，阻碍未来发展。本研究建议将《偿付能力 II》投资组合互换作为一种新的多样化解决方案，使小型和专业化保险公司能够提高其多样化程度，从而减轻其多样化劣势。通过使用两家假定的保险公司，在四种不同的情况下互换其投资组合的 20%，可以证明这种互换的效果。互换后，偿付能力资本要求（SCR）降低了 6%，SCR 覆盖率最高提高了 17%。由于《偿付能力 II》将刺激欧洲保险市场的进一步并购，本文为保险公司提供了另一种分散投资组合的方法。此外，本文还提出，所建议的替代风险转移方法可促进小型和专业化保险公司的竞争力，从而改善欧盟内部的保险市场竞争。

原文链接：

https://link.springer.com/article/10.1057/s41288-022-00269-3

Daliana Luca（瑞士赫尔维提亚保险集团）, Hato Schmeiser （圣加仑大学）， Florian Schreiber（苏黎世应用科学与艺术大学）

摘要：We analyze the preferences of 1180 German consumers for investment guarantees in financial products by means of choice-based conjoint and latent class analysis. Based on the segment-level partworth utility profiles, we then identify the most important investment guarantee features, analyze consumer demand in a realistic market setting, and test whether individual purchasing behavior can be explained by socioeconomic characteristics. Our results show that two buyer and two nonbuyer segments exist. Although their willingness to buy varies significantly, we document only a small degree of heterogeneity with respect to the individual guarantee attributes and levels. Across the sample, the guarantee period is most important, followed by the volatility of the underlying fund, and the up-front premium. Finally, we illustrate that particularly those socioeconomic characteristics with an impact on individuals’ financial situation are promising predictors of their willingness to purchase investment guarantees.

我们通过基于选择的结合分析和潜在类别分析，分析了1180位德国消费者对金融产品中的投资保证的偏好。基于分段水平的效用曲线，我们确定了最重要的投资保证特征，分析了现实市场环境中的消费者需求，并测试了个体购买行为是否可以通过社会经济特征来解释。我们的研究结果表明，存在两个购买者和两个非购买者的消费者细分群体。尽管他们的购买意愿存在显著差异，但就保证属性和水平而言，我们仅发现了较小程度的异质性。在样本中，保证期限最为重要，其次是标的基金的波动性和预付保费。最后我们指出，那些对个人财务状况产生影响的社会经济特征，最适合作为预测个体购买投资保证意愿的影响因素。

原文链接：

https://link.springer.com/article/10.1057/s41288-022-00268-4

Jorge de Andrés-Sánchez（罗维拉-维尔吉利大学）, Laura González-Vila Puchades（巴塞罗那大学）， Mario Arias-Oliva（马德里康普顿斯大学）