《保险研究》20241203-《投资不确定性下保险市场系统性风险研究——基于集中退保视角的风险传染分析》（张简荻、王丽珍）

［摘   要］投资不确定性给投保人信心带来的冲击可能会导致保险公司集中退保风险的产生与传染，进而诱发整个市场的系统性风险。本文从经典的D-D模型出发，在以存在共同风险暴露的两家保险公司为组成部分的保险市场中，基于集中退保视角建立风险传染模型，并将之对接于中国寿险市场实际进行数值模拟与比较静态分析，考察投资不确定性下保险市场系统性风险的产生原因与传染机制。研究发现：投资不确定性下保险市场的系统性风险随着风险资产规模的增大而先减小后增大，随着风险资产到期收益率的增大而单调递减；保险公司之间资产相关性、投保人个人储蓄复利率、保险公司初始退保率与承诺给付投保人中期退保保单价值的增加均会提升投资不确定性下保险市场的系统性风险。相关结论揭示了保险公司在收益与风险、投保人在即期效用与远期效用之间的权衡结果，为投保人理性决策、保险公司资产配置与保险市场系统性风险防范提供理论借鉴。

［关键词］投资不确定性；保险市场；系统性风险；集中退保；风险传染

［基金项目］中国保险学会2023年度研究课题“中国保险业服务实体经济效果检验与提升路径研究”(ISCKT2023-N-1-07)。

［作者简介］张简荻，上海立信会计金融学院讲师、博士，研究方向：保险市场系统性风险；王丽珍，中央财经大学保险学院副院长、教授、博士生导师，研究方向：金融系统性风险、保险科技。

A Research on Systemic Risk in Insurance Market under Investment Uncertainty:A Risk Contagion Analysis Based on Mass Surrender Perspective

ZHANG Jian-di,WANG Li-zhen

Abstract：The negative impact of investment uncertainty on policyholder confidence can lead to the emergence and contagion of the insurers’mass surrender risk,and then trigger systemic risk to the entire market.Starting from the classical D-D model,this study establishes a risk contagion model based on the perspective of mass surrender in the insurance market composed of two insurers with common risk exposure,and applies it to the actual Chinese life insurance market for numerical simulation and comparative static analysis,to investigate the causes and contagion mechanism of insurance market systemic risk under investment uncertainty.We find that under investment uncertainty,insurance market systemic risk first decreases and then increases with the increase in the size of risky assets,and decreases monotonically with the increase in the yield to maturity of risky assets.The increase in asset correlation among insurers,the compounding rate of policyholders’ personal savings,the initial surrender rate of insurers,and the increase in medium-term surrender value of policyholders committed to pay will increase insurance market systemic risk under investment uncertainty.The relevant conclusions reveal the trade-off results between the insurer’s return and risk,and the policyholder’s immediate utility and long-term utility,and provide theoretical reference for the policyholder’s rational decision-making,the insurer’s asset allocation,and the insurance market’s systemic risk prevention.

Key words：investment uncertainty;insurance market;systemic risk;mass surrender;risk contagion