产品价格、资本结构与组合风险——基于产险业联立方程的实证检验

Product Price,Capital Structure and Portfolio Risk—Empirical Test Based on Simultaneous Equations in Property-Liability Industry

在我国产险业资本结构不断调整和保费规模不断扩大的进程中,产品价格、资本结构和组合风险的相互影响机制尚不明确。本文通过拓展经典的期权定价理论模型,构建了关于产品价格、资本结构和组合风险的联立方程模型。对其进行三阶段最小二乘估计,估计结果表明,我国产险市场目前尚不成熟:从供给的角度,产险公司之间存在过度价格竞争,再保险分散风险的职能尚未有效发挥,产险公司的盈利能力不足,对长尾风险的估计也存在不足;从需求的角度,消费者保险意识薄弱,没有对产险业形成强有力的公众监督机制。

During the course of adjustment of capital structure and expansion of premium size in PropertyLiability industry,the reaction of price,capital structure and portfolio risk are not clear.After expanding the option pricing model,this paper constructs a simultaneous equations model,and uses the panel data to estimate it with 3SLS.The results show that Property-Liability market is not immature.From the viewpoint of supply,there exists overcompetition of price,the function of reinsurance not works effectively,and the profitability of companies is lacking,and also the attention to long-tail risk.From the viewpoint of demand,the insurance awareness of consumers is weak,and there is no powerful supervision mechanism.