监管问询函是否影响保险定价决策?——基于董事高管责任保险合约的经验证据

Do Regulatory Inquiry Letters Affect Insurance Pricing Decisions?--Evidences from China's directors and officers liability insurance contracts

保险定价是保险理论与实践共同关注的重要问题,监管问询函制度作为证券交易所一线监管模式的重要途径,能否对保险公司的保险定价行为产生影响有待实证检验。本文以2015~2023年A股上市公司的监管问询函为研究样本,通过实证研究检验监管问询函对保险公司董事高管责任保险(以下简称“董责险”)定价的影响。研究结果表明:(1)监管问询函显著提升了董责险保费水平,主要结论在采用双重差分模型、Heckman检验等稳健性检验后依旧稳健;(2)机制检验发现,监管问询函通过发挥风险预警效应以及监管溢出效应,致使保险公司提高了保险合约定价水平;(3)监管问询函对保险定价的影响依赖于信息环境与治理机制,信息不对称较高的企业在收到问询函后的董责险保费水平更高,而治理机制有助于缓解监管问询对董责险保费的正向影响;(4)进一步研究发现,问询强度、回函及时性、回函信息质量、问询分类等监管问询函细分特征会显著影响董责险定价。结论表明,保险公司可以有效利用监管问询函的信息促进董责险定价决策。本文从监管问询函文本信息视角拓展了董责险定价影响因素的研究,对推动金融强国建设背景下有为政府与有效市场更好结合、资本市场高质量发展具有一定的参考价值。

Insurance pricing is a crucial aspect of insurance theory and practices.As a key component of stock exchange frontline supervision,whether the regulatory inquiry letters impact the pricing behavior of insurance companies remains to be examined.This paper takes the inquiry letters of Chinese A-share listed companies from 2015 to 2023 as a research sample to investigate their impact on the pricing of directors and officers liability insurance(D&O insurance).The research results show that:(1)The inquiry letters significantly increase the premiums of D&O insurance,and the conclusion remains robust after using the difference-in-differences model,Heckman test and other robustness tests;(2)The mechanism test finds that the inquiry letters exert the risk warning effect and regulatory spillover effect,resulting in the raising of insurance contract pricing by insurers;(3)The impact of inquiry letters on D&O insurance pricing depends on the information environment and governance mechanism.The company with higher information asymmetry get even higher premiums of D&O insurance after receiving the inquiry letters,and the governance mechanism helps to alleviate the positive impact of the letters on the premiums of D&O insurance;(4)Further research finds that the in-depth characteristics of the letters such as intensity of inquiry,timeliness of response,quality of response information,and inquiry letter classification significantly affect the pricing of D&O insurance.The conclusions show that insurance companies can effectively use the information from inquiry letters to make D&O insurance pricing decisions.This research expands the understanding of factors influencing D&O insurance pricing from the perspective of the information derived from the regulatory inquiry letters,offering insights for effective market-government synergy and high-quality development of capital markets in the process of the buildup of a major financial power.