监管压力、资本调整与风险承担——基于寿险业联立门限回归模型的研究  

Regulatory Pressure,Capital Adjustment and Risk Taking:The Research of Life Insurance Companies Based on Threshold Regression Model

作　　者：王丽珍[1] 

机构地区：[1]中央财经大学保险学院,北京100081

出　　处：《经济管理》2015年第10期106-116,共11页Business and Management Journal ( BMJ )

基　　金：国家自然科学基金项目"保险市场系统性风险识别;度量和评估研究:理论模型与实证检验"(71403305);中国保险学会2013-2014年度研究课题项目"偿付能力监管下的资本结构与组合风险--基于寿险业的实证研究"(llCKT2014-N-1-08);中央财经大学121人才工程青年博士发展基金项目"中国保险业系统性风险研究--基于传染效应的视角"(QBJ1401)

摘　　要：本文基于单期期权定价理论模型,构建关于资本、承保风险和投资风险调整的联立方程,并利用2009—2013年我国寿险公司的面板数据,研究监管门限效应的存在性,以及不同监管压力下资本调整和风险承担行为的异质性特征。本文突破了以往以监管标准值为行动门槛的研究模式,首次将考虑内生性的门限回归模型应用于我国寿险公司的研究中。研究结果表明,寿险公司的投资风险调整行为不存在门限效应,资本和承保风险调整行为存在不同于监管标准值的行动门槛168.3%和534.0%。通过比较各监管压力区间的回归结果发现,监管高压区的公司既没有过度承担风险的行为,也没有及时增加资本或者减少风险的行为;监管中压区的公司能够受到监管压力的良性驱动,公司趋于采用资本维持策略抵御承保风险;监管低压区的公司能够在一定程度上意识到投资风险,它们趋于采用资本维持策略应对投资风险,而采用资本缓冲策略应对承保风险。整体而言,寿险公司的资本调整和风险承担行为尚未形成良性互动机制。In the year of 2015, China Insurance Regulatory Commission has published 17 rules of China Risk Oriented Solvency System, which are actualizing with the former solvency supervision system at the same time. The China Risk Oriented Solvency System requires holding capital based on risk assessed dynamically, thus it will raise the risk and capital management level remarkably, but some of the supporting system needs to improve and perfect. Against this background, the analysis of this paper is of great significance. By means of the option pricing model in Lin et al （2014） , and on the basis of the capital and risk theory in- cluding risk-subsidy hypothesis and finite-risk hypothesis of regulatory cost, transaction cost, bankruptcy cost and agency cost hypothesis, this paper constructs simultaneous equations of capital, underwriting risk and investment risk. According to the theoretical model, we get the main hypothesis that there is an action threshold in the behav- iors of capital adjustment and risk taking , and insurance companies perform differently under different regulatory pressure. To verify the hypothesis, an empirical study is carried out. Using the panel data of 51 life insurance com- panies from 2009 to 2013, this paper studies the existence of regulatory threshold effect and the heterogeneity char- acteristics of adjustment of capital and risk. This paper is innovative in several ways. First, different to the research model of setting the regulatory standard as the action threshold, we apply the threshold model to get the action threshold and study the relationship between capital and risk. Furthermore, the analysis offers theoretical support for China Risk Oriented Solvency System to improve and The threshold regression result shows that, although refine the regulation. there is no threshold effect for the investment risk adjustment behaviors, there are two thresholds for the underwriting risk and capital adjustment of 168.3% and 534. 0% , which are different from the regulatory standard level. The

关 键 词：监管压力 资本调整 风险承担 门限效应 

分 类 号：F842.3[经济管理—保险]