财产保险的承保周期及其影响因素研究——基于省区层面分险种的经验分析

The Research on Property Insurance Underwriting Cycle and Its Influencing Factors—Based on Province Level and Specific Types of Insurance

本文对我国财产保险的承保周期进行研究,分为两部分进行。第一,用Hodrick-Prescott滤波方法对我国货物运输保险、家庭财产保险、企业财产保险、机动车辆保险、信用保证保险、责任保险以及总体财产保险的承保周期进行测量;第二,结合面板回归(个体固定效应模型)、面板向量自回归和脉冲响应函数对30个省区面板数据进行分析,发现承保赔付率受实际利率、通货膨胀率、实际人均GDP、财产险公司资产长短期影响方向基本相同,且受自身市场冲击的影响,证明了理性预期的制度因素假说、非理性损失外推假说、外部影响因素的宏观经济影响及承保力约束模型。相比经济发展程度较低的省区,经济发展程度较高的省区抵抗风险能力与市场恢复能力更强。

This research on property insurance underwriting cycle can be divided into two parts. The first part is a- bout the cycle length. We used HP filter method for the underwriting cycle measurement of cargo insurance, home- owners insurance, property insurance, motor vehicle insurance, credit guarantee insurance, general liability insurance and whole property insurance. The second part is an analysis about the influencing factor of property insurance un- derwriting cycle. We used panel regression （individual fixed effects model）, the panel vector autoregression model and impulse response function with panel data, and found that the long term and short term impact direction on claims ratwwas on the same side for the affecting factors such as real interest rate, inflation rate, real per-capital GDP and asset duration, and moreover, the claims rate was also affected by the market an insurer was in. This proved the rational expectations hypothesis, the non-rational expectations hypothesis, the capacity constraint model and external factors. The provinces with better economic development fared better in terms of risk resistance and market recovery.