风险溢出、风险传染与保险机构的系统性风险研究

Risk Spillover,Risk Contagion and Systematic Risk in Insurance

在总结已有文献中关于系统性风险的成因和传导机制的基础上,运用动态条件风险价值(CoVaR)模型,得到6家中国上市保险机构的系统性风险贡献度及贡献率数据,发现各上市保险机构在贡献度方面没有显著差异;中国平安、中国人寿和中国太保的系统性风险贡献率较高,规模、外部关联性、非传统业务量对其影响显著,而传统保险业务对其影响不大.建议行业监督机关要兼顾保险机构的自身风险控制和风险溢出程度控制,有效避免只强调自身而忽略外部性,并加强监管力度创新监管方法,以应对日渐频繁的自然灾害和社会矛盾;个体保险机构风险管理部门应控制各种非传统保险业务的比例,积极通过再保险等方式降低自身系统性风险贡献.

Based on existed documents about cause and spill mechanism,this paper uses CoVaR model to obtain the systemic risk contribution and contribution rate data of 6 Chinese listed insurance institutions.And the result shows that there is no remarkable difference in the degree of contribution of listed insurance institutions.Pingan Insurance,China Life Insurance,CPIC have a higher systemic risk contribution rate,and the scale,external relevance,and non-traditional business volume have a significant impact on them,while traditional insurance business has little impact on them.It is recommended that industry supervisory agencies take into account the risk control and risk spillover control of insurance institutions,effectively avoid emphasizing only themselves and ignoring externalities,and supervision shall be strengthened to innovate supervision methods to cope with the increasing frequency of natural disasters and social conflicts.The risk management department of individual insurance institutions should control the proportion of various non-traditional insurance businesses and actively reduce their own systemic risk contribution through reinsurance and other means.