保险承保风险引致系统性风险的空间复杂网络分析  

Spatial Complex Network Analysis of Systemic Risk Induced by Insurance Underwriting Risk

作　　者：陆思婷 粟芳[1] LU Siting;SU Fang(School of Finance,Shanghai University of Finance and Economics,Shanghai 200433,China)

机构地区：[1]上海财经大学金融学院,上海200433

出　　处：《财经理论与实践》2022年第1期51-58,共8页The Theory and Practice of Finance and Economics

基　　金：上海市哲学社会科学规划课题(2018BJB009)。

摘　　要：基于2008-2019年中国各省份财险和寿险月度经营数据,使用TENET风险模型构建了省份间承保风险的空间溢出网络,量化了各省份承保风险可能导致的系统性风险水平,回归分析了产生影响的各种因素。结果表明,各省份承保风险空间关联性相对较低,省份间传染极低,不太可能引发系统性风险。各省份蕴含的系统性风险水平存在显著差异,具有从东部向西部递减的特征。样本期内,财险业承保风险的空间溢出总量基本稳定,寿险业经历了先上升后下降的过程。各省份风险状况及保险资金运用是导致差异的关键因素,监管可据此施策。Based on the monthly business data of insurance in China’s provinces from 2008 to 2019,using TENET risk model,we construct a spillover risk network model among provinces from the perspective of space.Then,we quantitatively analyze the level of systemic risk caused by underwriting risks in each province.Finally,the regression model is used to analyze the influencing factors that lead to the difference of systemic risks among provinces.Our result shows that,the spatial correlation of underwriting risks among provinces is relatively low and the transmission of underwriting risk is extremely low.It is little likely that the insurance industry will break out systemic risks.However,there are significant differences in the level of insurance systemic risk in different provinces,which generally show a decreasing trend from the east to the west.During the sample period,the total spatial spillover of underwriting risks remained stable in the nonlife insurance industry,but increased first and then decreased in the life insurance industry.The risk status of each province and the use of insurance funds are the key factors leading to the differences in the systemic risks of insurance.Regulation department can control in such points.

关 键 词：空间视角 承保风险 系统性风险 TENET风险模型 

分 类 号：F842[经济管理—保险]