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期刊介紹：

《Journal of Risk and Insurance》為季刊，每年4期，每期發(fā)表文章8-10篇左右。2024年影響因子為2.1，是風(fēng)險(xiǎn)管理與保險(xiǎn)領(lǐng)域的頂級(jí)權(quán)威學(xué)術(shù)期刊。該期刊主要發(fā)表保險(xiǎn)經(jīng)濟(jì)學(xué)和風(fēng)險(xiǎn)管理主題的理論和實(shí)證方面的學(xué)術(shù)論文，可以為保險(xiǎn)市場(chǎng)的實(shí)踐、決策和監(jiān)管以及企業(yè)和家庭風(fēng)險(xiǎn)管理提供重要的信息。

本期看點(diǎn)：

●歐美保險(xiǎn)公司的投資策略存在差異：在市場(chǎng)收縮的第一個(gè)月，保險(xiǎn)公司會(huì)順周期地將投資組合轉(zhuǎn)向低信用風(fēng)險(xiǎn)資產(chǎn)。隨著危機(jī)持續(xù)，歐洲保險(xiǎn)公司表現(xiàn)出逆周期的風(fēng)險(xiǎn)投資行為（尤其青睞高收益工具），押注市場(chǎng)復(fù)蘇，而美國(guó)公司不存在這種逆周期行為。

●德國(guó)壽險(xiǎn)公司的數(shù)據(jù)表明，保險(xiǎn)公司公開報(bào)告的償付能力比率會(huì)影響保費(fèi)增長(zhǎng)和退保率，支持通過(guò)公共風(fēng)險(xiǎn)披露來(lái)加強(qiáng)市場(chǎng)約束的結(jié)論。

●系統(tǒng)重要性銀行機(jī)構(gòu)的系統(tǒng)性風(fēng)險(xiǎn)受多重沖擊驅(qū)動(dòng)，而系統(tǒng)重要性保險(xiǎn)機(jī)構(gòu)的系統(tǒng)性風(fēng)險(xiǎn)主要源于新冠疫情的影響。

●保額保險(xiǎn)產(chǎn)品形式日益復(fù)雜，其每當(dāng)出現(xiàn)良性創(chuàng)新后，便會(huì)涌現(xiàn)混淆性產(chǎn)品（隱性包裝）。

●保險(xiǎn)會(huì)計(jì)信息對(duì)低破產(chǎn)風(fēng)險(xiǎn)企業(yè)更具價(jià)值相關(guān)性，而在高風(fēng)險(xiǎn)情境下則未能提供增量信息。

※ 本期目錄

●Gambling for market recovery? European insurers' corporate bond investments during market stress

●Market discipline in life insurance: Does public risk disclosure encourage less risky management actions?

●Systemic risk of systemically important financial institutions in the post-2008 global financial crisis era: A tail risk network analysis

●Virtuous innovation or obfuscation? Product innovation in the variable annuities market

●Optimal hedging of longevity risks for group self-annuity portfolios

●On the market valuation of insurance accounting: An assessment of historical cost and fair value measurements

●Heterogeneity in health insurance choice: An experimental investigation of consumer choice and feature preferences

●Optimal insurance design under limited liability

Gambling for market recovery? European insurers' corporate bond investments during market stress

押注市場(chǎng)復(fù)蘇？歐洲保險(xiǎn)公司在市場(chǎng)壓力時(shí)期的公司債投資行為

作者

Marcel Beyer（法蘭克福大學(xué)）

摘要：Using daily stock market data for European insurers, I investigate how a stock market contraction, as experienced during the COVID-19 pandemic, affects insurers' credit risk allocation of their corporate bond portfolio. I find that insurers shift their portfolio holdings pro-cyclically towards lower credit risk assets in the first month of the market contraction. As the crisis progresses, I find evidence for counter-cyclical, riskier investment behavior by European insurers, especially in high-yield instruments, that can neither be explained by credit rating downgrades of held bonds nor by hedging with CDS derivatives. This counter-cyclical investment behavior cannot be observed for US firms, which provides evidence for a difference in investment behavior between US and European insurers. The observed investment behavior of European insurers could be beneficial for systemic stability by attenuating price declines through insurance liquidity provision, but excessive risk-taking by insurance companies over longer periods can also reinforce systemic stress.

基于歐洲保險(xiǎn)公司的每日股市數(shù)據(jù)，本文研究了新冠疫情等股市收縮如何影響保險(xiǎn)公司公司債券組合的信用風(fēng)險(xiǎn)配置。研究發(fā)現(xiàn)，在市場(chǎng)收縮的第一個(gè)月，保險(xiǎn)公司會(huì)順周期地將投資組合轉(zhuǎn)向低信用風(fēng)險(xiǎn)資產(chǎn)。隨著危機(jī)持續(xù)，歐洲保險(xiǎn)公司表現(xiàn)出逆周期的風(fēng)險(xiǎn)投資行為（尤其青睞高收益工具），這種行為既無(wú)法用持有債券的信用評(píng)級(jí)下調(diào)解釋，也無(wú)法用信用違約互換衍生品對(duì)沖來(lái)解釋。美國(guó)企業(yè)并未出現(xiàn)此類逆周期投資行為，這印證了歐美保險(xiǎn)公司的投資策略差異。歐洲保險(xiǎn)公司的這種投資模式可能通過(guò)提供保險(xiǎn)流動(dòng)性來(lái)減緩價(jià)格下跌，從而有利于系統(tǒng)穩(wěn)定性，但保險(xiǎn)公司長(zhǎng)期過(guò)度冒險(xiǎn)也可能加劇系統(tǒng)性壓力。

原文鏈接：https://onlinelibrary.wiley.com/doi/10.1111/jori.70028

Market discipline in life insurance: Does public risk disclosure encourage less risky management actions?

壽險(xiǎn)業(yè)的市場(chǎng)約束：公開風(fēng)險(xiǎn)披露會(huì)促使風(fēng)險(xiǎn)管理更趨審慎嗎？

作者

Moritz Hanika（埃爾朗根-紐倫堡大學(xué)）

摘要：We analyze how public risk disclosure, specifically Solvency II, impacts life insurers' risk-taking behavior. Using data from 58 German life insurers from 2016 to 2023, we find that publicly reported solvency ratios can affect premium growth and surrender rates. Moreover, insurers appear to improve their solvency ratios following a decline in the previous year. To investigate whether policyholder behavior drives a life insurer's reduced risk-taking, we then develop a model in which a life insurer seeks to maximize shareholder value. Unlike previous research, we consider annually disclosed solvency ratios, affecting policyholders' dynamic purchase and surrender behavior. In our model, the insurer acts less riskily (e.g., holds more reserves and sells less-risky insurance portfolios) to maintain higher solvency ratios and mitigate policyholders' adverse reactions. Our findings motivate public risk disclosure to strengthen market discipline, but its level and design must be carefully calibrated to be effective and avoid undue costs.

我們研究了公共風(fēng)險(xiǎn)披露（特別是Solvency II法規(guī)）如何影響壽險(xiǎn)公司的風(fēng)險(xiǎn)承擔(dān)行為。通過(guò)分析2016年至2023年間58家德國(guó)壽險(xiǎn)公司的數(shù)據(jù)，我們發(fā)現(xiàn)公開報(bào)告的償付能力比率會(huì)影響保費(fèi)增長(zhǎng)和退保率。此外，保險(xiǎn)公司在經(jīng)歷上一年度的償付能力比率下降后，似乎會(huì)采取措施改善該比率。為探究保單持有人行為是否會(huì)驅(qū)動(dòng)壽險(xiǎn)公司降低風(fēng)險(xiǎn)承擔(dān)，我們建立了一個(gè)壽險(xiǎn)公司追求股東價(jià)值最大化的模型。與既往研究不同，我們考慮了年度披露的償付能力比率對(duì)保單持有人動(dòng)態(tài)投保和退保行為的影響。模型顯示，為維持較高的償付能力比率并緩解保單持有人的負(fù)面反應(yīng)，保險(xiǎn)公司會(huì)降低風(fēng)險(xiǎn)承擔(dān)（例如持有更多準(zhǔn)備金和銷售風(fēng)險(xiǎn)較低的保險(xiǎn)產(chǎn)品）。我們的研究結(jié)果支持通過(guò)公共風(fēng)險(xiǎn)披露來(lái)加強(qiáng)市場(chǎng)約束，但其披露水平和方案設(shè)計(jì)需審慎校準(zhǔn)，以確保有效性并避免不必要的成本。

原文鏈接：https://onlinelibrary.wiley.com/doi/10.1111/jori.70019

Systemic risk of systemically important financial institutions in the post-2008 global financial crisis era: A tail risk network analysis

2008全球金融危機(jī)后時(shí)代系統(tǒng)重要性金融機(jī)構(gòu)的系統(tǒng)性風(fēng)險(xiǎn)：尾部風(fēng)險(xiǎn)網(wǎng)絡(luò)分析

作者

Tao Sun（嶺南大學(xué)）

摘要：We examine the systemic risk of 46 systemically important financial institutions (SIFIs), that is, 34 global systemically important banks (G-SIBs) and 12 global systemically important insurers (G-SIIs) between 2010 and 2023. We use tail risk network-based systemic risk measures for SIFIs. We find that G-SIBs' systemic risk is driven by various shocks, including the 2011–2012 Eurozone crisis, the 2018–2019 US–China trade tensions, and the 2023 US regional bank crisis. In contrast, G-SIIs' systemic risk is largely driven by the 2020 COVID-19 pandemic. Moreover, the distribution and correlation of systemic risk for G-SIBs and G-SIIs vary significantly across jurisdictions. We also find a bidirectional causal relationship between G-SIBs' and G-SIIs' systemic risk. Our findings have important implications for the tail risk independence and stability of the financial system.

我們研究了2010至2023年間46家系統(tǒng)重要性金融機(jī)構(gòu)（SIFIs）的系統(tǒng)性風(fēng)險(xiǎn)，包括34家全球系統(tǒng)重要性銀行（G-SIBs）和12家全球系統(tǒng)重要性保險(xiǎn)公司（G-SIIs）。通過(guò)基于尾部風(fēng)險(xiǎn)網(wǎng)絡(luò)的度量方法，我們發(fā)現(xiàn)：G-SIBs的系統(tǒng)性風(fēng)險(xiǎn)受多重沖擊驅(qū)動(dòng)，包括2011-2012年歐元區(qū)危機(jī)、2018-2019年中美貿(mào)易摩擦及2023年美國(guó)地區(qū)銀行危機(jī)；而G-SIIs的系統(tǒng)性風(fēng)險(xiǎn)主要源于2020年新冠疫情。兩類機(jī)構(gòu)的系統(tǒng)性風(fēng)險(xiǎn)分布與相關(guān)性在不同司法管轄區(qū)存在顯著差異，且其風(fēng)險(xiǎn)存在雙向因果關(guān)系。本研究對(duì)理解金融體系尾部風(fēng)險(xiǎn)獨(dú)立性與穩(wěn)定性具有重要啟示。

原文鏈接：https://onlinelibrary.wiley.com/doi/10.1111/jori.70023

Virtuous innovation or obfuscation? Product innovation in the variable annuities market

良性創(chuàng)新還是隱性包裝？變額年金市場(chǎng)的產(chǎn)品創(chuàng)新

作者

Xiaochen Jing（伊利諾伊大學(xué)厄巴納-香檳分校），Daniel Bauer（威斯康星大學(xué)麥迪遜分校），J. Tyler Leverty（威斯康星大學(xué)麥迪遜分校）

摘要：Variable Annuities, which comprise a substantial proportion of the retirement products sold by insurance companies, have become increasingly complex over the past decades. We investigate the drivers of the product trends. We distinguish “virtuous” innovations that expand upon the existing set of consumption paths in retirement from “obfuscating” innovations that increase complexity without clear benefits to consumers. We document a recurring pattern where, in each benefit category, obfuscating products follow the introduction of virtuous innovations. This pattern generates the overall increase in product complexity. Our results challenge prevailing perspectives on Variable Annuities in the popular press and the literature.

變額年金作為保險(xiǎn)公司退休金融產(chǎn)品的重要組成部分，在過(guò)去數(shù)十年間呈現(xiàn)出日益復(fù)雜化的趨勢(shì)。我們深入探究這一產(chǎn)品演變趨勢(shì)的驅(qū)動(dòng)因素，并區(qū)分了兩種創(chuàng)新類型：一是能夠拓展退休消費(fèi)路徑的"良性"創(chuàng)新，二是雖增加產(chǎn)品復(fù)雜度卻未給消費(fèi)者帶來(lái)實(shí)質(zhì)利益的"混淆性"創(chuàng)新。研究發(fā)現(xiàn)，在每個(gè)保險(xiǎn)利益類別中都存在一種反復(fù)出現(xiàn)的模式——每當(dāng)出現(xiàn)良性創(chuàng)新后，便會(huì)涌現(xiàn)混淆性產(chǎn)品。這種模式最終導(dǎo)致產(chǎn)品復(fù)雜度的整體攀升。該研究結(jié)論對(duì)主流媒體和現(xiàn)有文獻(xiàn)中關(guān)于變額年金的普遍認(rèn)知提出了挑戰(zhàn)。

原文鏈接：https://onlinelibrary.wiley.com/doi/10.1111/jori.70027

Optimal hedging of longevity risks for group self-annuity portfolios

針對(duì)團(tuán)體自營(yíng)年金組合的長(zhǎng)壽風(fēng)險(xiǎn)最優(yōu)對(duì)沖策略

作者

Yang Shen（新南威爾士大學(xué)），Michael Sherris（新南威爾士大學(xué)），Yawei Wang（新南威爾士大學(xué)），Jonathan Ziveyi（新南威爾士大學(xué)）

摘要：This paper proposes a dynamic longevity risk hedging strategy for smooth survival benefit profiles of group self-annuity (GSA) schemes in the presence of population basis risk. The fund manager of GSA acts on behalf of fund participants in selecting the optimal hedge. The hedging framework is formulated as a mean-variance optimization problem, which serves as a theoretical framework for selecting the optimal hedging strategy. The hedging mechanism involves trading standardized longevity-linked securities dynamically. A semi-analytic solution to the optimal hedge ratio is derived, which enhances the numerical implementation of the strategy. Furthermore, a risk decomposition method is developed, enabling hedging of various sources of risks, such as longevity and investment risks. Numerical illustrations highlight that the hedging strategy effectively mitigates variability in survival benefits. Meanwhile, a holistic risk management framework utilizing the longevity risk hedging strategy and a target volatility investment strategy increases the fund's return per unit of risk.

本文針對(duì)存在人口基數(shù)風(fēng)險(xiǎn)的團(tuán)體自營(yíng)年金計(jì)劃，提出了一種動(dòng)態(tài)長(zhǎng)壽風(fēng)險(xiǎn)對(duì)沖策略，以實(shí)現(xiàn)平滑生存金給付目標(biāo)。該年金基金管理人代表計(jì)劃參與者選擇最優(yōu)對(duì)沖方案，通過(guò)構(gòu)建均值-方差優(yōu)化模型確立理論框架，采用動(dòng)態(tài)交易標(biāo)準(zhǔn)化長(zhǎng)壽關(guān)聯(lián)證券的運(yùn)作機(jī)制。研究推導(dǎo)出最優(yōu)對(duì)沖比率的半解析解，有效提升了策略的數(shù)值實(shí)施效率，并開發(fā)了風(fēng)險(xiǎn)分解方法以應(yīng)對(duì)長(zhǎng)壽風(fēng)險(xiǎn)與投資風(fēng)險(xiǎn)等多重風(fēng)險(xiǎn)源。數(shù)值模擬表明：該對(duì)沖策略顯著降低生存金給付波動(dòng)性，同時(shí)結(jié)合目標(biāo)波動(dòng)率投資策略構(gòu)建的全面風(fēng)險(xiǎn)管理框架，能夠提升基金單位風(fēng)險(xiǎn)回報(bào)率。

原文鏈接：https://onlinelibrary.wiley.com/doi/10.1111/jori.70024

On the market valuation of insurance accounting: An assessment of historical cost and fair value measurements

保險(xiǎn)會(huì)計(jì)的市場(chǎng)價(jià)值評(píng)估：歷史成本與公允價(jià)值比較

作者

Stefan Veith（不萊梅應(yīng)用科技大學(xué)），Christian Fieberg（不萊梅應(yīng)用科技大學(xué)）

摘要：We analyze the relationship between stock prices and insurance accounting and compare a historical cost with a full fair value measurement approach. During our sample period, European insurers had to determine the fair value of all assets and liabilities according to the Solvency II (SII) regulation, in addition to the historical-cost-based setup of the International Financial Reporting Standards (IFRS). This alternative source of information allowed investors to update their expectations about future dividends, risks, and firm values. Comparing both frameworks, we report three findings. First, we show that the association between stock prices and SII full fair value accounting items is greater than that of IFRS historical cost measurements. Second, we find that this effect stems from unexpected news disclosed by regulatory reporting. Third, our results suggest that insurance accounting is relevant for firms exposed to lower insolvency risk and offers no additional information when the risk level is high.

我們深入分析了股價(jià)與保險(xiǎn)會(huì)計(jì)計(jì)量之間的關(guān)系，并對(duì)比了歷史成本與完全公允價(jià)值兩種計(jì)量模式。在研究期間，歐洲保險(xiǎn)公司除遵循國(guó)際財(cái)務(wù)報(bào)告準(zhǔn)則（IFRS）的歷史成本計(jì)量外，還需根據(jù)Solvency II（SII）監(jiān)管要求對(duì)所有資產(chǎn)負(fù)債采用公允價(jià)值計(jì)量。這種雙重計(jì)量體系為投資者更新未來(lái)股利、風(fēng)險(xiǎn)和企業(yè)價(jià)值預(yù)期提供了額外信息源。通過(guò)對(duì)比研究，我們獲得三項(xiàng)重要發(fā)現(xiàn)：首先，股價(jià)與SII完全公允價(jià)值會(huì)計(jì)項(xiàng)目的關(guān)聯(lián)度顯著高于IFRS歷史成本計(jì)量；其次，這種差異效應(yīng)源于監(jiān)管披露中蘊(yùn)含的未預(yù)期信息；最后，研究結(jié)果表明保險(xiǎn)會(huì)計(jì)信息對(duì)低破產(chǎn)風(fēng)險(xiǎn)企業(yè)更具價(jià)值相關(guān)性，而在高風(fēng)險(xiǎn)情境下則未能提供增量信息。

原文鏈接：https://onlinelibrary.wiley.com/doi/10.1111/jori.70025

Heterogeneity in health insurance choice: An experimental investigation of consumer choice and feature preferences

健康保險(xiǎn)選擇的異質(zhì)性：基于消費(fèi)者決策與功能偏好的實(shí)驗(yàn)

作者

Benedicta Hermanns（漢堡工業(yè)大學(xué)），Nadja Kairies-Schwarz（杜塞爾多夫大學(xué)），Johanna Kokot（漢堡工業(yè)大學(xué)），Markus Vomhof（杜塞爾多夫大學(xué)）

摘要：We investigate heterogeneity in health insurance choice using data from a controlled laboratory experiment. Participants make consecutive choices from sets of insurance plans that vary in premium, deductible, and complementary coverage of illnesses. We find that there is considerable heterogeneity in how much individuals are willing to pay for certain plan attributes. To better understand these differences, we account for individual risk preferences using a rank-dependent expected utility (RDEU) model and assess the welfare effects of plan choices. At the aggregate level, we find welfare losses under both the normative RDEU model and the descriptive EV model. At the individual level, however, the results are more differentiated: for some individuals, choices are consistent with their RDEU preferences, whereas for others, choices do not fit either model, suggesting either decision errors or reliance on heuristics.

我們通過(guò)受控實(shí)驗(yàn)室實(shí)驗(yàn)數(shù)據(jù)研究醫(yī)療保險(xiǎn)選擇的異質(zhì)性。參與者在連續(xù)決策中從多組保險(xiǎn)計(jì)劃中進(jìn)行選擇，這些計(jì)劃在保費(fèi)、免賠額及疾病補(bǔ)充保障范圍等方面存在差異。研究發(fā)現(xiàn)，個(gè)人對(duì)特定保險(xiǎn)計(jì)劃屬性的支付意愿存在顯著異質(zhì)性。為深入解析這些差異，我們采用等級(jí)依賴期望效用模型衡量個(gè)體風(fēng)險(xiǎn)偏好，并評(píng)估保險(xiǎn)計(jì)劃選擇的福利效應(yīng)。在整體層面，無(wú)論是規(guī)范性的RDEU模型還是描述性的期望值模型都顯示存在福利損失；但在個(gè)體層面，結(jié)果呈現(xiàn)分化態(tài)勢(shì)：部分個(gè)體的選擇符合其RDEU偏好，而其他個(gè)體的選擇與兩種模型均不吻合，這表明其可能存在決策誤差或依賴啟發(fā)式判斷。

原文鏈接：https://onlinelibrary.wiley.com/doi/10.1111/jori.70026

Optimal insurance design under limited liability

有限責(zé)任條件下的最優(yōu)保險(xiǎn)合同設(shè)計(jì)

作者

Andrea Bergesio（瑞士瑞信銀行），Pablo Koch-Medina（蘇黎世大學(xué)），Cosimo Munari（維也納大學(xué)）

摘要：We study optimal demand for insurance in a classical expected utility setting where the insured party has limited liability and has access to three different types of progressively more restrictive contracts. At one end, with no restrictions on the indemnity schedule, it is optimal to fully insure certain losses while leaving others uninsured. At the other end, if indemnity schedules and retained losses are assumed to be increasing functions of the underlying loss, the optimal insurance policies are shown to be capped deductibles. For the intermediate case when the indemnity schedule is only an increasing function of the loss, we find that optimal contracts exhibit a richer structure beyond the capped policies suggested in earlier literature. Our study extends and provides a unifying perspective on the existing literature on optimal insurance under limited liability.

我們?cè)诮?jīng)典期望效用框架下研究最優(yōu)保險(xiǎn)需求，假設(shè)投保人承擔(dān)有限責(zé)任，并可選擇三種限制程度遞增的合約類型。研究發(fā)現(xiàn)：當(dāng)賠償方案不受限制時(shí)，最優(yōu)策略是對(duì)特定損失實(shí)現(xiàn)完全保險(xiǎn)，同時(shí)保留其他風(fēng)險(xiǎn)自留；若假設(shè)賠償方案與自留損失均隨實(shí)際損失遞增，則最優(yōu)保險(xiǎn)合約呈現(xiàn)限額免賠模式；在賠償方案僅隨損失單調(diào)遞增的中間情形下，最優(yōu)合約展現(xiàn)出比文獻(xiàn)記載的限額保單更豐富的結(jié)構(gòu)特征。本研究對(duì)有限責(zé)任條件下的最優(yōu)保險(xiǎn)理論進(jìn)行了拓展，并為現(xiàn)有研究提供了統(tǒng)一的理論框架。

原文鏈接：https://onlinelibrary.wiley.com/doi/10.1111/jori.70016

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