保险公司的角色及影响因素分析--基于投资风险引致系统性风险的过程

The Roles and Influence Factors of Insurance Companies:In the Process of Systemic Risk Resulting from Investment Risk

随着保险公司的投资规模扩大,保险资金运用的投资风险引致行业系统性风险的可能性也逐渐增大。根据风险贡献和风险敞口的大小,保险公司在投资风险引致系统性风险的过程中扮演着系统重要性机构或脆弱性机构的角色。本文基于共同资产网络模型,构造出度量保险公司的系统重要性和系统脆弱性、以及保险公司间传染性的方法。根据模型推导结果,保险公司的资产规模、杠杆和关联性是影响保险公司具有不同角色和不同传染关系的关键因素。笔者通过k均值聚类分箱和Gini系数,利用现实保险公司经营数据进行了实证验证。揭示出资产规模和杠杆分别是导致保险公司具有系统重要性和系统脆弱性的决定性因素。进而继续通过回归分析找出对不同角色具有影响的其他公司内部特征,供监管机构提前关注监控对象并防控风险。

With the expansion of the investment business of insurance companies,the possibility of systemic risk caused by investment risk is also increasing day by day.Insurance companies play different roles in the process of investment risk causing systemic risk,which are systemic important institutions or systemic vulnerable institutions.Based on the common assets holdings network model,this paper constructs models to measure the systemic importance and systemic vulnerability of insurance companies,as well as the infectivity between both sides.Furthermore,it is pointed out that the asset size,leverage and correlation of insurance companies are the key factors that affect the different roles and different contagion relationships of insurance companies,which is verified by clustering and Gini index.It is revealed that asset size and leverage are the most critical factors that lead to the systemic importance and systemic vulnerability of insurance companies respectively.Then through the regression analysis we find out the influential internal characteristics of companies.By studying systemic important institutions and systemic vulnerable institutions,and summarizing their common characteristics,We mention that regulation department can focus on monitoring objects in advance to prevent and control ris.