寿险公司的业务同质化与风险联动性

Business Homogeneity and Risk Co-movement of Life Insurers

单家机构之间的业务趋同是否是金融业系统性风险的一个来源?近些年中国单家寿险公司的产品分布和地理分布均更加分散,但是公司之间的产品分布和地理分布均有"同质化"趋势,且公司之间在赔付风险、投资风险和破产风险上的联动性均提高。对此,本文分析了寿险公司业务同质化引起风险联动性的机理,探讨了几种可能的效应。基于公司配对样本,并从时间上和地理上引入工具变量处理业务同质度的内生性,发现:(1)当两家寿险公司的产品分布从完全差别到完全相同时,它们的投资风险联动性和破产风险联动性均将提高十几个百分点;(2)产品同质度对赔付风险联动性没有显著影响;(3)地理同质化对3种风险联动性均没有显著影响。

Does the business homogeneity among individual institution play as a source of systematic risk of the financial industry？ In recent years, China＇s life insurers＇ product distribution and geographical distribution become more diversified, however, the product and geographieal distribution among life insurers show ＂homogeneity＂ tendeney; and the co -movement in payment risk, investment risk and insolvency risk all have increased. This paper turther analyses the mechanism that life insurers＇ business homogenization affects their risk co - movement, discussing several possible effeets. Then, based on paired samples, the paper handled the endogenelly of business homogeneity by introducing instrumental variables from the time and geographical dimensions. The regressions show that （ 1 ） from absolutely different to absolutely homogeneous, both the investment risk co - movement and insolvency risk co - movement between two life insurers will increase more than ten percentages; （2） the relation between product homogeneity and payment risk co - movement is nonsignificant; and （3） geographical homogeneity hasn＇t significant influence on the three types of risk co - movemeut. Finally, Ibis paper put torward policy suggestions from three aspects including life insurers, insurance industry and the financial system.