我国经济周期对非寿险承保周期的影响研究

Research on the Impacts of Economic Cycle on Non-life Underwriting Cycle in China

采用HP滤波法对我国1999年～2011年季度非寿险市场承保赔付率进行研究,发现我国存在3～5年的非寿险承保利润周期现象。通过建立回归模型分析方法证明经济周期对承保利润率周期有显著影响,进而采用VAR模型的脉冲响应和方差分解考查经济周期对承保周期的具体贡献率。研究结果表明整个经济变量波动共同解释作用达到22%,远远超过了其他干扰项带来的影响。

This paper used the quarterly data from 1999 to 2011 to analyze underwriting loss ratio in the non-life insurance market of China with the HP filter method. It revealed that there existed an underwriting cycle of 3 - 5 years regarding non-life underwriting profits in China. Then it established a regression model to test whether busi- ness cycle had a significant effect underwriting profit. Furthermore, it employed the impulse response function and variance decomposition of VAR model to check the specific contribution rate of economic cycle to underwriting cy- cle. The results showed that all economic variables together exerted 22% of the impacts on underwriting cycle, far more than othe interference effects.