保险公司间的承保风险关联性:共同风险暴露还是再保险联系  

Correlation of Underwriting Risk among Insurance Companies:Common Risk Exposure or Reinsurance Linkage

作　　者：陆思婷 粟芳[2] Lu Siting;Su Fang

机构地区：[1]广州大学金融研究院 [2]上海财经大学金融学院

出　　处：《金融经济学研究》2023年第5期75-96,共22页Financial Economics Research

基　　金：上海市哲学社会科学规划课题(2018BJB009);广州市教育局“党的二十大精神理论研究课题”(202235554)。

摘　　要：如何降低保险机构间的风险关联性,是防范保险业系统性风险的关键议题。依据保险公司承保业务的经营过程建立理论模型分析共同风险暴露和再保险联系对承保风险关联性的影响,并基于2008-2021年保险业数据进行实证检验。研究结果表明,共同风险暴露和再保险联系是促使财险公司产生承保风险关联性的关键因素但对寿险业承保风险关联性的影响程度较低。财险公司的承保风险关联性主要因保费收入的险种结构相似性、地理分布相似性、直接再保险联系和间接再保险联系而产生,寿险公司的承保风险关联性则由杠杆率相似度和保费收入险种结构的相似度所引起。共同风险暴露和再保险联系在不同类型的财险和寿险公司中呈现出较大差异。建议财险公司着重解决与其他公司在地理分布和险种结构上的同质化问题,寿险公司则应重点处理与其他公司之间在杠杆率上的过度相似问题。Reducing the correlation of risk among insurance companies is a key topic in preventing systemic risk in the insurance industry.This study developed a theoretical model based on the operations process of the underwriting business among insurance companies to analyze the effects of common risk exposure and reinsurance linkage on the correlation of underwriting risk;it also conducted an empirical test based on the data of the insurance industry from 2008 to 2021.According to the results of this study,common risk exposure and reinsurance linkage are the key factors influencing the correlation of underwriting risk among property insurance companies.However,their impact on the correlation of underwriting risk among life insurance companies is less significant.The correlation of underwriting risk among property insurance companies arises chiefly due to similarities in the structure and type of insurance and geographic distribution involved in premium income,along with both direct and indirect reinsurance linkages,whereas the correlation of underwriting risk among life insurance companies results from similarities in leverage ratio and the structure and type of insurance involved in premium income.The impact of common risk exposure and reinsurance linkages vary greatly among difference types property insurance companies,as well as life insurance companies.This study recommends that property insurance companies focus on addressing homogeneity in geographic distribution and the structure and type of insurance involved in premium income,while life insurance companies should concentrate on addressing excessive similarities in leverage ratio with other companies.

关 键 词：承保风险 承保风险关联性 共同风险暴露 再保险联系 

分 类 号：F842[经济管理—保险]