期刊Journal of Risk and Insurance2025年92卷第3期目錄及摘要｜保險學術前沿

聲明：本系列文章基于原期刊目錄和摘要內容整理而得，僅限于讀者交流學習。如有侵權，請聯系刪除。

期刊介紹：

《Journal of Risk and Insurance》為季刊，每年4期，每期發表文章8-10篇左右。2024年影響因子為2.1，是風險管理與保險領域的頂級權威學術期刊。該期刊主要發表保險經濟學和風險管理主題的理論和實證方面的學術論文，可以為保險市場的實踐、決策和監管以及企業和家庭風險管理提供重要的信息。

本期看點：

退休安排：

●長期收入風險：考慮長期收入風險會改變風險資產的最優配置以及退休的時間，退休財富與所選擇的退休年齡之間具有正向聯系。

●老年階段的金融遺憾：結果顯示，許多老年人后悔未購買壽命保障或長期護理保險，以及過早退休并領取社會保障金，這種情況在女性、黑人群體以及相對不富裕的老年人中尤為突出。

●退休的年金、健康險、長期護理保險需求：研究結果顯示，公共養老金水平較低的退休者應將至少30%的退休金融財富配置于壽險年金；養老金處于平均水平的退休者應將至少30%配置于重大疾病保險；而在不同經濟狀況下，對長期護理（LTC）保險的配置比例在5%至33%之間不等。

年金與養老金計劃：

●固定收益型養老金計劃：從資金充足轉為資金不足的固定收益（DB）養老金計劃往往通過提高預期收益率（ER）來做出減少費用的假設。

●目標日期注冊指數掛鉤年金是退休計劃的有益補充，并有潛力成為與目標日期基金相競爭的投資選擇。

長期護理保險：

●利用住房財富為長期護理（LTC）保險融資有兩種新機制：反向抵押貸款和住房回售。當受訪者可使用儲蓄和反向抵押貸款時，他們將15.7%的總財富用于購買LTC保險；當可使用儲蓄和住房回售時為12.8%；而僅能使用儲蓄時則僅為5.2%。

※ 本期目錄

●Optimal retirement with long-run income risk

●Pension underfunding and the expected return on pension assets: The impact of the 2008 financial crisis

●Registered index-linked annuities in qualified retirement plans

●Housing wealth and long-term care insurance demand: Survey evidence

●Financial regret at older ages and longevity awareness

●Demand for life annuities, critical illness insurance, and long-term care insurance

●Spatio-temporal risk sharing and transfer: A unified theory of multi-period decentralized insurances and annuities

●Shared exposures or management fashions? Antecedents of convergence in the insurance and banking industries

Optimal retirement with long-run income risk

最優退休決策與長期收入風險

作者

Shan Huang（巴克萊投資銀行，統計、建模與開發（SM&D）團隊），Seyoung Park（諾丁漢大學商學院，金融、會計與銀行系），Jane Yoo（亞洲大學商學院，金融工程系）

摘要：We examine an optimal portfolio problem where an individual receives nontraded labor income and must decide how to allocate her wealth between a stock and a risk-free asset, while also determining the optimal time to retire. Specifically, we explore how incorporating long-run income risk by assuming that labor income and stock prices are cointegrated affects both the optimal asset allocation and retirement strategy. Our findings show that accounting for long-run income risk alters the optimal allocation to risky assets and the timing of retirement. This helps explain why younger individuals with limited wealth are less likely to participate in the stock market, whereas wealthier individuals tend to allocate more to risky assets. Moreover, our findings reveal a positive relationship between stock investment and retirement age, driven by the positive correlation between wealth at retirement and the chosen retirement age.

本文研究了一個最優投資組合問題：個體在獲得不可交易的勞動收入的同時，需要決定如何在股票與無風險資產之間配置其財富，并確定最優退休時點。具體而言，我們探討了在假設勞動收入與股票價格協整的情況下引入長期收入風險，如何影響最優資產配置與退休策略。研究結果表明，考慮長期收入風險會改變風險資產的最優配置以及退休的時間。這一發現有助于解釋為何財富有限的年輕人較少參與股票市場，而較富裕的個體更傾向于將更多財富投入風險資產。此外，我們的結果揭示了股票投資與退休年齡之間的正相關關系，這種關系源于退休財富與所選擇的退休年齡之間的正向聯系。

原文鏈接：https://onlinelibrary.wiley.com/doi/10.1111/jori.70014

Pension underfunding and the expected return on pension assets: The impact of the 2008 financial crisis

養老金資金不足與養老金資產的預期收益率：2008年金融危機的影響

作者

Alexander Michaelides（英國倫敦帝國理工學院，金融系），Andreas Milidonis（塞浦路斯大學，經濟與管理學院，會計與金融系），Panayiotis Papakyriakou（英國南安普頓大學，南安普頓商學院，銀行與金融系）

摘要：We use the 2008 crisis as an exogenous shock to the pension funding status of U.S. corporate defined benefit (DB) pension plans to examine its impact on the assumption of the expected return on pension assets (ER). Contrary to prior literature, we find that DB pension plans transitioning from funded to underfunded status make expense-reducing assumptions by increasing their ER. We also document that the ER manipulation is larger for plans whose funding after 2008 drops significantly. The funding deterioration conservatively generates a 28–79 basis points increase in ER, reducing the pension accounting expense by about 5.23%–14.76% ($3.49 to $9.85 million). Our results are robust to controlling for the shock induced by the global financial crisis on corporate performance and other potential channels affecting ER.

本文將2008年金融危機作為對美國企業固定收益（DB）養老金計劃資金狀況的外生沖擊，研究其對養老金資產預期收益率（ER）假設的影響。與既有文獻相反，我們發現，從資金充足轉為資金不足的DB養老金計劃往往通過提高ER來做出減少費用的假設。進一步分析表明，那些在2008年后資金狀況顯著惡化的計劃，其ER操縱幅度更大。資金惡化保守估計會導致ER上升28–79個基點，從而減少養老金會計費用約5.23%–14.76%（即349萬至985萬美元）。我們的結論在控制全球金融危機對企業經營表現的沖擊及其他可能影響ER的渠道后依然穩健。

原文鏈接：https://onlinelibrary.wiley.com/doi/10.1111/jori.70003

Registered index-linked annuities in qualified retirement plans

合格退休計劃中的注冊指數掛鉤年金

作者

Cameron Ellis（美國愛荷華大學Tippie商學院，金融系），Thorsten Moenig（美國天普大學Fox商學院，風險、精算與法律研究系），Jacqueline Volkman-Wise（美國圣約瑟夫大學Haub商學院，金融系）

摘要：Many Americans remain financially underprepared for retirement. While automatic enrollment in employer-sponsored retirement plans has helped, target-date funds (TDFs) used as default investments have limitations. We propose target-date registered index-linked annuities (TD-RILAs) as a transparent, cost-effective alternative providing decreasing equity exposure over time. A theoretical analysis explores TD-RILAs' optimal structure and compares them to TDFs. A lab experiment examines investors' preferences, product transparency, default choices, and the role of information. We find that TD-RILAs are a suitable addition to retirement plans, potentially rivaling TDFs.

許多美國人在財務上仍未為退休做好充分準備。盡管雇主贊助的退休計劃中的自動注冊機制有所幫助，但作為默認投資工具的目標日期基金（TDFs）仍存在局限性。本文提出目標日期注冊指數掛鉤年金（TD-RILAs），作為一種透明且具成本效益的替代方案，能夠隨時間推移逐步降低股票敞口。通過理論分析，我們探討了TD-RILAs的最優結構，并將其與TDFs進行比較。隨后，通過實驗室實驗，我們考察了投資者的偏好、產品透明度、默認選擇及信息作用。研究結果表明，TD-RILAs是退休計劃的有益補充，并有潛力成為與TDFs相競爭的投資選擇。

原文鏈接：https://onlinelibrary.wiley.com/doi/10.1111/jori.12505

Housing wealth and long-term care insurance demand: Survey evidence

住房財富與長期護理保險需求：問卷調查證據

作者

Katja Hanewald（澳大利亞研究理事會人口老齡化卓越研究中心（CEPAR）），Hazel Bateman（澳大利亞研究理事會人口老齡化卓越研究中心（CEPAR）），Hanming Fang（澳大利亞研究理事會人口老齡化卓越研究中心（CEPAR）；美國賓夕法尼亞大學，經濟學系），Tin Long Ho（澳大利亞新南威爾士大學，風險與精算學系；澳大利亞研究理事會人口老齡化卓越研究中心（CEPAR））

摘要：This paper uses survey methods to assess the impact of access to housing wealth on long-term care (LTC) insurance demand. We compare two new mechanisms to finance LTC insurance with housing wealth: reverse mortgage loans and home reversion (partial sale and leaseback). Using data from an online survey of urban Chinese homeowners, we find that housing liquidity increases the stated demand for LTC insurance. On average, the survey participants spent 15.7% of their given total wealth to buy LTC insurance when they could use savings and a reverse mortgage, 12.8% when they could use savings and home reversion, and 5.2% when they could only use savings. Product demand was linked to economic factors, demographic variables, health, bequest motives, house price expectations, product understanding, and financial capability. Our results inform the design of new public or private sector programs that allow individuals to access their housing wealth while ‘aging in place’.

本文利用問卷調查方法評估住房財富可獲取性對長期護理（LTC）保險需求的影響。我們比較了利用住房財富為LTC保險融資的兩種新機制：反向抵押貸款和住房回售（部分出售與租回）。基于對中國城市房主的在線調查數據，我們發現住房流動性提高了受訪者的LTC保險需求。平均而言，當受訪者可使用儲蓄和反向抵押貸款時，他們將15.7%的總財富用于購買LTC保險；當可使用儲蓄和住房回售時為12.8%；而僅能使用儲蓄時則僅為5.2%。LTC保險的需求與經濟因素、人口變量、健康狀況、遺產動機、房價預期、產品理解程度及金融能力密切相關。研究結果為公共或私營部門設計新計劃提供了參考，使個人能夠在“原居養老”的同時獲取住房財富。

原文鏈接：https://onlinelibrary.wiley.com/doi/10.1111/jori.70006

Financial regret at older ages and longevity awareness

老年階段的金融遺憾與壽命認知

作者

Abigail Hurwitz（以色列耶路撒冷希伯來大學，羅伯特·H·史密斯農業、食品與環境學院，環境經濟與管理系），Olivia S. Mitchell（美國賓夕法尼亞大學沃頓商學院；美國國家經濟研究局（NBER））

摘要：To investigate financial regret among older Americans, we conduct a controlled experiment in the Health and Retirement Study. We document that many older people regret not having bought longevity protection or long-term care insurance, as well as having retired and claimed social security benefits too early. This is especially true for women, Black, and less wealthy older individuals. Additionally, we find that informing participants about objective survival probabilities boosts regret by 43% regarding not having lifetime income, and by even more for those in good health and still working.

為了研究美國老年群體的金融遺憾問題，本文在《健康與退休研究》（Health and Retirement Study）中開展了一項控制實驗。結果顯示，許多老年人后悔未購買壽命保障或長期護理保險，以及過早退休并領取社會保障金。這種情況在女性、黑人群體以及相對不富裕的老年人中尤為突出。此外，我們發現，當向參與者提供客觀生存概率信息時，因未獲得終身收入而產生的遺憾增加了43%，對于健康狀況良好且仍在工作的個體而言，這一遺憾程度更高。

原文鏈接：https://onlinelibrary.wiley.com/doi/10.1111/jori.70008

Demand for life annuities, critical illness insurance, and long-term care insurance

壽險年金、重大疾病保險與長期護理保險的需求

作者

Cheng Wan（瑞士蘇黎世聯邦理工學院，綜合風險管理與經濟學講席；澳大利亞研究理事會人口老齡化卓越研究中心（CEPAR）），Hazel Bateman（澳大利亞新南威爾士大學，風險與精算學系；澳大利亞研究理事會人口老齡化卓越研究中心（CEPAR）），Katja Hanewald（澳大利亞新南威爾士大學，風險與精算學系；澳大利亞研究理事會人口老齡化卓越研究中心（CEPAR））

摘要：We develop a rich life-cycle model to assess the demand for life annuities, critical illness insurance, and long-term care (LTC) insurance by retirees in a portfolio-allocation setting. We calibrate our model to urban China, where retirees face limited public insurance and undeveloped private markets. We show that retirees with a low public pension should allocate at least 30% of their financial wealth at retirement to a life annuity. Those with an average pension should allocate at least 30% to critical illness insurance. The allocation to LTC insurance ranges from 5% to 33% across all economic profiles considered. Access to critical illness and LTC insurance does not necessarily increase annuity demand. However, access to annuities decreases LTC insurance demand. Our results suggest that countries with limited public insurance should first ensure the adequacy of retirement income and then focus on covering catastrophic medical expenses while providing basic LTC services for all.

本文構建了一個豐富的生命周期模型，在投資組合配置的框架下，評估退休人群對壽險年金、重大疾病保險和長期護理（LTC）保險的需求。模型以中國城市退休者為校準對象，他們面臨公共保險覆蓋有限、私人市場尚不發達的情況。研究結果顯示，公共養老金水平較低的退休者應將至少30%的退休金融財富配置于壽險年金；養老金處于平均水平的退休者應將至少30%配置于重大疾病保險；而在不同經濟狀況下，對LTC保險的配置比例在5%至33%之間不等。進一步結果表明，獲得重大疾病保險與LTC保險的渠道不一定會提高對年金的需求，但獲得年金渠道則會降低對LTC保險的需求。本文的結論表明，在公共保險有限的國家，應首先確保退休收入的充足性，然后重點覆蓋災難性醫療支出，同時為所有人群提供基本的LTC服務。

原文鏈接：https://onlinelibrary.wiley.com/doi/10.1111/jori.70005

Spatio-temporal risk sharing and transfer: A unified theory of multi-period decentralized insurances and annuities

時空風險分擔與轉移：多期分散化保險與年金的統一理論

作者

Runhuan Feng（中國北京清華大學經濟管理學院，金融系），Peixin Liu（美國伊利諾伊大學厄巴納-香檳分校，文理學院，精算科學與風險管理項目）

摘要：Two distinct strands of research focus on decentralized risk sharing plans. One strand centers on classic risk sharing and decentralized insurance, including peer-to-peer insurance, mutual aid, and DeFi insurance. The other explores decentralized annuities, such as tontine and group self-annuitization. Despite their disparate development paths, both involve decentralized risk sharing and transfer among participants. This paper aims to unify these domains by extending a theory of decentralized insurance to encompass multi-period decentralized insurances and decentralized annuities. The framework illuminates connections between spatial risk sharing and intertemporal risk transfer, and enables economic analysis of diverse scheme designs. The paper also provides a comprehensive review of various notions of temporal and spatial actuarial fairness, elucidating how different designs emerge from these distinct notions.

關于分散化風險分擔機制的研究主要有兩個方向：一類聚焦于經典的風險分擔與分散化保險形式，包括點對點保險、互助以及去中心化金融（DeFi）保險；另一類則探討分散化年金，如唐提式年金（tontine）和群體自我年金化。盡管二者發展路徑不同，但均涉及參與者之間的分散化風險分擔與轉移。本文的目標是通過擴展分散化保險理論，將其統一至多期分散化保險與分散化年金的框架中。該理論框架揭示了空間風險分擔與跨期風險轉移之間的聯系，并為多樣化方案的經濟分析提供基礎。文章還全面回顧了不同的時間與空間精算公平性概念，闡釋了不同設計如何源自這些不同的公平性觀念。

原文鏈接：https://onlinelibrary.wiley.com/doi/10.1111/jori.70001

Shared exposures or management fashions? Antecedents of convergence in the insurance and banking industries

共同風險暴露還是管理時尚？保險業與銀行業趨同的前因

作者

Lei Fang（英國倫敦大學瑪麗女王學院，數學科學院），Gianvito Lanzolla（英國倫敦大學圣喬治校區，Bayes商學院），Andreas Tsanakas（英國倫敦大學圣喬治校區，Bayes商學院）

摘要：We study convergence in the attention of decision-makers across the insurance and banking industries. Our analysis is based on textual risk disclosures (10-K reports, 2006–2018), providing a snapshot of corporate priorities and contexts. We theoretically link convergence with decision-making contexts via the Attention-Based View. Leveraging strategic management theory, we identify antecedents of convergence in attention and, therefore, potentially, risk contagion. These include common trends in the macro-environment, substitution threats, and management fashions. We combine this theoretical framework with machine learning tools to create quantitative measures of convergence in attention and its antecedents. We find that the proposed measure of convergence is predictive of inter- and intra-industry stock correlations. Finally, based on regression and sensitivity analyses, we identify the relative importance of different antecedents, showing that shared risk management fashions largely drive Inter-industry convergence in attention. This highlights challenges when interpreting regulatory text data in the context of predicting contagion risk.

本文研究了保險業與銀行業決策者關注點的趨同現象。研究基于2006年至2018年的文本化風險披露（10-K報告），提供了企業優先事項與環境背景的快照。我們在理論上通過“基于注意力的視角”（Attention-Based View）將趨同與決策情境聯系起來。借助戰略管理理論，我們識別出關注點趨同的前因，并由此推測潛在的風險傳染。這些前因包括宏觀環境的共同趨勢、替代性威脅以及管理時尚。我們將該理論框架與機器學習工具結合，提出了衡量關注點趨同及其前因的量化指標。研究發現，該趨同指標能夠預測跨行業與行業內部的股票相關性。最后，通過回歸與敏感性分析，我們評估了不同前因的重要性，結果表明，共享的風險管理時尚在很大程度上驅動了跨行業的關注點趨同。這一發現突顯了在預測傳染風險的背景下解讀監管文本數據所面臨的挑戰。

原文鏈接：https://onlinelibrary.wiley.com/doi/10.1111/jori.70013

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