保险公司系统重要性识别及其影响因素研究——基于系统性风险敞口与贡献的视角  

Systemic Importance of Insurers and Its Influencing Factors——Based on the Exposure and Contribution to Systemic Risk

作　　者：朱衡[1] 卓志[2] ZHU Heng;ZHUO Zhi

机构地区：[1]西南财经大学保险学院 [2]西南财经大学

出　　处：《保险研究》2019年第3期3-16,共14页Insurance Studies

基　　金：国家社会科学基金重点项目"巨灾保险精算模型研究"(编号:16AZD019)

摘　　要：全球金融危机后,系统性风险是全球各级政府和监管部门以及金融业关注研究和应对的热点和重点。金融系统性风险的防范和管理是减贫脱贫、环保治理和系统风险防范化解三大攻坚战略之一,研究金融系统性风险,不仅具有重要的学术价值,更有迫切的现实意义。本文立足识别保险公司系统重要性,通过MES、SRISK、以及ΔCoVaR多维度测量中国保险公司的系统性风险敞口与贡献,甄别主要影响因素,并利用BP神经网络模拟非上市保险公司的风险溢出效应。研究发现:三种评估模型结果具有一致性,保险公司的杠杆率和非核心业务对其系统重要性有显著正效应;保险公司系统性风险敞口与贡献受金融危机和股市震荡明显。鉴于系统性风险有效防控是未来保险业防风险工作的重点,本文结合研究发现提出了对中国保险业系统性风险管理的建议。After the financial crisis,systemic risk draws wide attention from government regulatory authorities and the financial industry all around the world.In China,the prevention and management of systemic risk is an important strategy among the three major tasks of poverty reduction,environmental protection and systematic risk prevention.So the research on systemic risk is of both academic value and realistic significance.This paper focused on the identification of insurer’s systemic importance,using MES,SRISK and Δ CoVaR to assess insurer’s exposure and contribution to systemic risks,identify the main influencing factors,and then use BP neural network to simulate unlisted insurers’risk spillover effect.We found that the results of three evaluation models were consistent,both leverage and non-core activities were primary drivers of insurers’contribution to systemic importance,and the exposure and contribution to systemic risks of insurers was obviously affected by the financial crisis and the stock market.The paper further put forward systematic risk management proposals for the insurance industry in China.

关 键 词：保险公司 系统重要性 风险敞口 风险贡献 

分 类 号：F840.32[经济管理—保险]