保险公司业务与系统性风险成因研究

Research on Business of Insurance Companies and Causes of Systemic Risks

作为金融业的重要支柱之一,保险业要防控好自身的重大风险,避免发生系统性风险。首先,根据资产负债表,详细分析保险公司三大类主要业务,即承保类业务、投资类业务、风险转移类业务与系统性风险形成的关系。结果表明:巨灾风险、利率及长寿风险、嵌入选择权风险是承保业务形成系统性风险的潜在原因;头寸敞口、衍生品投资、程序化交易大规模渠道是投资业务形成系统性风险的潜在原因;再保险交易、ART业务是风险转移业务形成系统性风险的潜在原因。其次,分析了保险公司系统性风险的溢出效应。最后,提出防控保险公司系统性风险的对策建议。

As one of the important sectors in the financial system,insurance companies must pay more attention to recognition and control of their systemic risks.Firstly,this article analyzes the relationship between systemic risks and the three kinds of business of insurance companies such as underwriting business,investment business and risk transfer business based on balance sheet.The results show that from the view of underwriting,catastrophic risk,interest and longevity risks as well as embedded options’risk are the potential causes in formation of systemic risks;from the view of investment,liquidity exposure,derivatives investment and processing massive trading are the potential causes in formation of systemic risks;from the view of risk transfer,reinsurance and ART are the potential causes in formation of systemic risks.Secondly,it discusses the spillover effects of insurance companies’systemic risks.Finally,it gives countermeasures and suggestions to defend systemic risks.