中国非寿险业保险周期与承保周期的联动效应分析  

Analysis of the connected effect between Premium Cycle and Underwriting Cycle in the nonlife insurance market of China

作　　者：吴杰[1] 粟芳[1] 

机构地区：[1]上海财经大学金融学院,上海200433

出　　处：《管理工程学报》2018年第1期136-145,共10页Journal of Industrial Engineering and Engineering Management

基　　金：上海财经大学2014年度研究生创新基金资助项目(CXJJ-2014-332)

摘　　要：在深入诠释保险周期与承保周期的理论含义基础上,以1999至2014年中国非寿险市场的季度数据为样本,利用CF滤波法验证了保险周期与承保周期的存在性,并用多元回归模型分析了两者之间的联动效应,及内部因素、行业因素和宏观因素对两者的影响差异。在剔除了影响显著的外部因素之后,得到了保险周期与承保周期更为本质的周期性特征,及两者更为真实的联动效应。研究结果表明:中国非寿险市场存在着明显的保险周期与承保周期,但两者的长度存在差异,运行波动也呈现出较强的联动效应,表现为保险周期与滞后一期的承保周期具有显著的逆周期关系。保险周期和承保周期分别受到不同的行业因素和宏观因素的影响。在剔除了外部因素的影响后,保险周期的振幅变小,承保周期却明显左移,两者的联动效却更加同步。本文建议,保险业的逆周期监管对象应是承保周期,通过监控保费收入、根据两者的联动效应并结合行业和宏观因素的情况从而准确判断承保周期的走向,并施以精准监管。Counter-cyclical system has been a very hot topic in the insurance regulation these years. All insurance regulation departments of different countries are researching the topic. There are two important questions in the system of Counter-cyclical. Whether there is a cycle in the insurance market？ Which cycle should be taken as the supervisory target？ According with those researches about insurance cycle, there are two different cycles in the insurance market. They are Premium Cycle and Underwriting Cycle. What＇s the relationship and difference between Premium Cycle and Underwriting Cycle？ What are those factors which would affect the fluctuation of Premium Cycle and Underwriting Cycle？ In this article, nonlife insurance market was studied as the research object. The seasonal data from 1999 to 2014 were used as samples to analyze the existence and connected effect of Premium Cycle and Underwriting Cycle. First, CF Filter was used to find the cycle. Second, connected effect between Premium Cycle and Underwriting Cycle was analyzed using multiple regressions. More than one model was designed in order to find the hysteretic nature of Premium Cycle and Underwriting Cycle. Third, some factors were chosen to make the influence factor analysis. There were three kinds of factors： internal factors, industry factors, and macro factors. These three factors indicate that operation of insurance company, market competition, and regulation would affect the fluctuation of Premium Cycle and Underwriting Cycle. Of course, macroeconomics would affect the development of insurance markets. Fourth, Premium Cycle and Underwriting Cycle must be changed as all those factors have effect on the real cycle. Finally, the connected effect was distorted by the effect of all those factors. The real connection would be researched by using simple regression after removing the effect of all factors. The results show that：（1） Premium Cycle has different definitions from Underwriting Cycle. Both cycles exist in Chinese nonlife insura

关 键 词：保险周期 承保周期 CF滤波 联动效应 

分 类 号：F1[经济管理—世界经济]