《保险研究》20200903-《投资业务风险对保险业系统性风险的影响冲击》（邹奕格、陆思婷）

［摘   要］本文聚焦于保险公司的投资业务,利用持有共同资产网络模型,证实了投资业务风险的确是引发保险行业系统性风险的来源。通过理论模型的分析和验证,投资业务风险对系统性风险的影响包括两个部分,共同风险冲击导致的直接损失和因“传染-放大”机制导致的传染损失。共同风险冲击因保险公司拥有相同的风险敞口产生,而“传染-放大”机制因资产价格和保险公司之间的关联性产生。基于网络的分析表明,当前保险行业系统性风险的主要来源是大型寿险公司；系统内部联系在不断增强之中,传染损失对直接损失的放大倍数越来越大；系统内部多中心节点的复杂传染网络已逐渐形成,系统重要性机构的影响力在逐渐增加之中。对于不同种类资产价格变化的敏感性分析则显示,目前权益类资产价格下跌最易引发系统性风险。

［关键词］投资风险；系统性风险；保险业

［基金项目］本文感谢上海哲学社会科学规划课题的支持(课题编号：2018BJB009,保险业系统性风险的根源、传递与影响)。

［作者简介］邹奕格,上海财经大学金融学院博士研究生；陆思婷,上海财经大学金融学院博士研究生。

The Impact of Investment Risk on the Systemic Risk of Insurance

ZOU Yi-ge,LU Si-ting

Abstract：This paper focused on the investment of insurance companies.With the help of indirect correlation network model,it proved that investment risk was indeed one of the causes of the systemic risk of the insurance industry.The theoretical analysis and verification show that investment risks impact insurance systemic risk on two aspects:the direct loss caused by negative common shocks and the contagion loss caused by interconnectedness.Common risk shocks are induced by the same risk exposure of insurance companies,and the “infection-magnification” mechanism arises because of associations between asset prices and insurance companies.The analysis based on the network shows that the main creator of systemic risk is large life insurance companies;the internal connection of the system is getting stronger and stronger and the contagion loss magnifies the direct loss by growing multiples;the complex network of multi-center nodes in the system has gradually formed,and the influence of systemically important institutions is gradually increasing.The sensitivity analysis of price changes of different types of assets shows that equity assets price decline is most likely to cause systemic risks currently.

Key words：investment risk；systemic risk；insurance