期刊Journal of Risk and Insurance 2025年92卷第4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：

●歐美保險公司的投資策略存在差異：在市場收縮的第一個月，保險公司會順周期地將投資組合轉向低信用風險資產。隨著危機持續，歐洲保險公司表現出逆周期的風險投資行為（尤其青睞高收益工具），押注市場復蘇，而美國公司不存在這種逆周期行為。

●德國壽險公司的數據表明，保險公司公開報告的償付能力比率會影響保費增長和退保率，支持通過公共風險披露來加強市場約束的結論。

●系統重要性銀行機構的系統性風險受多重沖擊驅動，而系統重要性保險機構的系統性風險主要源于新冠疫情的影響。

●保額保險產品形式日益復雜，其每當出現良性創新后，便會涌現混淆性產品（隱性包裝）。

●保險會計信息對低破產風險企業更具價值相關性，而在高風險情境下則未能提供增量信息。

※ 本期目錄

●Gambling for market recovery? European insurers' corporate bond investments during market stress

●Market discipline in life insurance: Does public risk disclosure encourage less risky management actions?

●Systemic risk of systemically important financial institutions in the post-2008 global financial crisis era: A tail risk network analysis

●Virtuous innovation or obfuscation? Product innovation in the variable annuities market

●Optimal hedging of longevity risks for group self-annuity portfolios

●On the market valuation of insurance accounting: An assessment of historical cost and fair value measurements

●Heterogeneity in health insurance choice: An experimental investigation of consumer choice and feature preferences

●Optimal insurance design under limited liability

Gambling for market recovery? European insurers' corporate bond investments during market stress

押注市場復蘇？歐洲保險公司在市場壓力時期的公司債投資行為

作者

Marcel Beyer（法蘭克福大學）

摘要：Using daily stock market data for European insurers, I investigate how a stock market contraction, as experienced during the COVID-19 pandemic, affects insurers' credit risk allocation of their corporate bond portfolio. I find that insurers shift their portfolio holdings pro-cyclically towards lower credit risk assets in the first month of the market contraction. As the crisis progresses, I find evidence for counter-cyclical, riskier investment behavior by European insurers, especially in high-yield instruments, that can neither be explained by credit rating downgrades of held bonds nor by hedging with CDS derivatives. This counter-cyclical investment behavior cannot be observed for US firms, which provides evidence for a difference in investment behavior between US and European insurers. The observed investment behavior of European insurers could be beneficial for systemic stability by attenuating price declines through insurance liquidity provision, but excessive risk-taking by insurance companies over longer periods can also reinforce systemic stress.

基于歐洲保險公司的每日股市數據，本文研究了新冠疫情等股市收縮如何影響保險公司公司債券組合的信用風險配置。研究發現，在市場收縮的第一個月，保險公司會順周期地將投資組合轉向低信用風險資產。隨著危機持續，歐洲保險公司表現出逆周期的風險投資行為（尤其青睞高收益工具），這種行為既無法用持有債券的信用評級下調解釋，也無法用信用違約互換衍生品對沖來解釋。美國企業并未出現此類逆周期投資行為，這印證了歐美保險公司的投資策略差異。歐洲保險公司的這種投資模式可能通過提供保險流動性來減緩價格下跌，從而有利于系統穩定性，但保險公司長期過度冒險也可能加劇系統性壓力。

原文鏈接：https://onlinelibrary.wiley.com/doi/10.1111/jori.70028

Market discipline in life insurance: Does public risk disclosure encourage less risky management actions?

壽險業的市場約束：公開風險披露會促使風險管理更趨審慎嗎？

作者

Moritz Hanika（埃爾朗根-紐倫堡大學）

摘要：We analyze how public risk disclosure, specifically Solvency II, impacts life insurers' risk-taking behavior. Using data from 58 German life insurers from 2016 to 2023, we find that publicly reported solvency ratios can affect premium growth and surrender rates. Moreover, insurers appear to improve their solvency ratios following a decline in the previous year. To investigate whether policyholder behavior drives a life insurer's reduced risk-taking, we then develop a model in which a life insurer seeks to maximize shareholder value. Unlike previous research, we consider annually disclosed solvency ratios, affecting policyholders' dynamic purchase and surrender behavior. In our model, the insurer acts less riskily (e.g., holds more reserves and sells less-risky insurance portfolios) to maintain higher solvency ratios and mitigate policyholders' adverse reactions. Our findings motivate public risk disclosure to strengthen market discipline, but its level and design must be carefully calibrated to be effective and avoid undue costs.

我們研究了公共風險披露（特別是Solvency II法規）如何影響壽險公司的風險承擔行為。通過分析2016年至2023年間58家德國壽險公司的數據，我們發現公開報告的償付能力比率會影響保費增長和退保率。此外，保險公司在經歷上一年度的償付能力比率下降后，似乎會采取措施改善該比率。為探究保單持有人行為是否會驅動壽險公司降低風險承擔，我們建立了一個壽險公司追求股東價值最大化的模型。與既往研究不同，我們考慮了年度披露的償付能力比率對保單持有人動態投保和退保行為的影響。模型顯示，為維持較高的償付能力比率并緩解保單持有人的負面反應，保險公司會降低風險承擔（例如持有更多準備金和銷售風險較低的保險產品）。我們的研究結果支持通過公共風險披露來加強市場約束，但其披露水平和方案設計需審慎校準，以確保有效性并避免不必要的成本。

原文鏈接：https://onlinelibrary.wiley.com/doi/10.1111/jori.70019

Systemic risk of systemically important financial institutions in the post-2008 global financial crisis era: A tail risk network analysis

2008全球金融危機后時代系統重要性金融機構的系統性風險：尾部風險網絡分析

作者

Tao Sun（嶺南大學）

摘要：We examine the systemic risk of 46 systemically important financial institutions (SIFIs), that is, 34 global systemically important banks (G-SIBs) and 12 global systemically important insurers (G-SIIs) between 2010 and 2023. We use tail risk network-based systemic risk measures for SIFIs. We find that G-SIBs' systemic risk is driven by various shocks, including the 2011–2012 Eurozone crisis, the 2018–2019 US–China trade tensions, and the 2023 US regional bank crisis. In contrast, G-SIIs' systemic risk is largely driven by the 2020 COVID-19 pandemic. Moreover, the distribution and correlation of systemic risk for G-SIBs and G-SIIs vary significantly across jurisdictions. We also find a bidirectional causal relationship between G-SIBs' and G-SIIs' systemic risk. Our findings have important implications for the tail risk independence and stability of the financial system.

我們研究了2010至2023年間46家系統重要性金融機構（SIFIs）的系統性風險，包括34家全球系統重要性銀行（G-SIBs）和12家全球系統重要性保險公司（G-SIIs）。通過基于尾部風險網絡的度量方法，我們發現：G-SIBs的系統性風險受多重沖擊驅動，包括2011-2012年歐元區危機、2018-2019年中美貿易摩擦及2023年美國地區銀行危機；而G-SIIs的系統性風險主要源于2020年新冠疫情。兩類機構的系統性風險分布與相關性在不同司法管轄區存在顯著差異，且其風險存在雙向因果關系。本研究對理解金融體系尾部風險獨立性與穩定性具有重要啟示。

原文鏈接：https://onlinelibrary.wiley.com/doi/10.1111/jori.70023

Virtuous innovation or obfuscation? Product innovation in the variable annuities market

良性創新還是隱性包裝？變額年金市場的產品創新

作者

Xiaochen Jing（伊利諾伊大學厄巴納-香檳分校），Daniel Bauer（威斯康星大學麥迪遜分校），J. Tyler Leverty（威斯康星大學麥迪遜分校）

摘要：Variable Annuities, which comprise a substantial proportion of the retirement products sold by insurance companies, have become increasingly complex over the past decades. We investigate the drivers of the product trends. We distinguish “virtuous” innovations that expand upon the existing set of consumption paths in retirement from “obfuscating” innovations that increase complexity without clear benefits to consumers. We document a recurring pattern where, in each benefit category, obfuscating products follow the introduction of virtuous innovations. This pattern generates the overall increase in product complexity. Our results challenge prevailing perspectives on Variable Annuities in the popular press and the literature.

變額年金作為保險公司退休金融產品的重要組成部分，在過去數十年間呈現出日益復雜化的趨勢。我們深入探究這一產品演變趨勢的驅動因素，并區分了兩種創新類型：一是能夠拓展退休消費路徑的"良性"創新，二是雖增加產品復雜度卻未給消費者帶來實質利益的"混淆性"創新。研究發現，在每個保險利益類別中都存在一種反復出現的模式——每當出現良性創新后，便會涌現混淆性產品。這種模式最終導致產品復雜度的整體攀升。該研究結論對主流媒體和現有文獻中關于變額年金的普遍認知提出了挑戰。

原文鏈接：https://onlinelibrary.wiley.com/doi/10.1111/jori.70027

Optimal hedging of longevity risks for group self-annuity portfolios

針對團體自營年金組合的長壽風險最優對沖策略

作者

Yang Shen（新南威爾士大學），Michael Sherris（新南威爾士大學），Yawei Wang（新南威爾士大學），Jonathan Ziveyi（新南威爾士大學）

摘要：This paper proposes a dynamic longevity risk hedging strategy for smooth survival benefit profiles of group self-annuity (GSA) schemes in the presence of population basis risk. The fund manager of GSA acts on behalf of fund participants in selecting the optimal hedge. The hedging framework is formulated as a mean-variance optimization problem, which serves as a theoretical framework for selecting the optimal hedging strategy. The hedging mechanism involves trading standardized longevity-linked securities dynamically. A semi-analytic solution to the optimal hedge ratio is derived, which enhances the numerical implementation of the strategy. Furthermore, a risk decomposition method is developed, enabling hedging of various sources of risks, such as longevity and investment risks. Numerical illustrations highlight that the hedging strategy effectively mitigates variability in survival benefits. Meanwhile, a holistic risk management framework utilizing the longevity risk hedging strategy and a target volatility investment strategy increases the fund's return per unit of risk.

本文針對存在人口基數風險的團體自營年金計劃，提出了一種動態長壽風險對沖策略，以實現平滑生存金給付目標。該年金基金管理人代表計劃參與者選擇最優對沖方案，通過構建均值-方差優化模型確立理論框架，采用動態交易標準化長壽關聯證券的運作機制。研究推導出最優對沖比率的半解析解，有效提升了策略的數值實施效率，并開發了風險分解方法以應對長壽風險與投資風險等多重風險源。數值模擬表明：該對沖策略顯著降低生存金給付波動性，同時結合目標波動率投資策略構建的全面風險管理框架，能夠提升基金單位風險回報率。

原文鏈接：https://onlinelibrary.wiley.com/doi/10.1111/jori.70024

On the market valuation of insurance accounting: An assessment of historical cost and fair value measurements

保險會計的市場價值評估：歷史成本與公允價值比較

作者

Stefan Veith（不萊梅應用科技大學），Christian Fieberg（不萊梅應用科技大學）

摘要：We analyze the relationship between stock prices and insurance accounting and compare a historical cost with a full fair value measurement approach. During our sample period, European insurers had to determine the fair value of all assets and liabilities according to the Solvency II (SII) regulation, in addition to the historical-cost-based setup of the International Financial Reporting Standards (IFRS). This alternative source of information allowed investors to update their expectations about future dividends, risks, and firm values. Comparing both frameworks, we report three findings. First, we show that the association between stock prices and SII full fair value accounting items is greater than that of IFRS historical cost measurements. Second, we find that this effect stems from unexpected news disclosed by regulatory reporting. Third, our results suggest that insurance accounting is relevant for firms exposed to lower insolvency risk and offers no additional information when the risk level is high.

我們深入分析了股價與保險會計計量之間的關系，并對比了歷史成本與完全公允價值兩種計量模式。在研究期間，歐洲保險公司除遵循國際財務報告準則（IFRS）的歷史成本計量外，還需根據Solvency II（SII）監管要求對所有資產負債采用公允價值計量。這種雙重計量體系為投資者更新未來股利、風險和企業價值預期提供了額外信息源。通過對比研究，我們獲得三項重要發現：首先，股價與SII完全公允價值會計項目的關聯度顯著高于IFRS歷史成本計量；其次，這種差異效應源于監管披露中蘊含的未預期信息；最后，研究結果表明保險會計信息對低破產風險企業更具價值相關性，而在高風險情境下則未能提供增量信息。

原文鏈接：https://onlinelibrary.wiley.com/doi/10.1111/jori.70025

Heterogeneity in health insurance choice: An experimental investigation of consumer choice and feature preferences

健康保險選擇的異質性：基于消費者決策與功能偏好的實驗

作者

Benedicta Hermanns（漢堡工業大學），Nadja Kairies-Schwarz（杜塞爾多夫大學），Johanna Kokot（漢堡工業大學），Markus Vomhof（杜塞爾多夫大學）

摘要：We investigate heterogeneity in health insurance choice using data from a controlled laboratory experiment. Participants make consecutive choices from sets of insurance plans that vary in premium, deductible, and complementary coverage of illnesses. We find that there is considerable heterogeneity in how much individuals are willing to pay for certain plan attributes. To better understand these differences, we account for individual risk preferences using a rank-dependent expected utility (RDEU) model and assess the welfare effects of plan choices. At the aggregate level, we find welfare losses under both the normative RDEU model and the descriptive EV model. At the individual level, however, the results are more differentiated: for some individuals, choices are consistent with their RDEU preferences, whereas for others, choices do not fit either model, suggesting either decision errors or reliance on heuristics.

我們通過受控實驗室實驗數據研究醫療保險選擇的異質性。參與者在連續決策中從多組保險計劃中進行選擇，這些計劃在保費、免賠額及疾病補充保障范圍等方面存在差異。研究發現，個人對特定保險計劃屬性的支付意愿存在顯著異質性。為深入解析這些差異，我們采用等級依賴期望效用模型衡量個體風險偏好，并評估保險計劃選擇的福利效應。在整體層面，無論是規范性的RDEU模型還是描述性的期望值模型都顯示存在福利損失；但在個體層面，結果呈現分化態勢：部分個體的選擇符合其RDEU偏好，而其他個體的選擇與兩種模型均不吻合，這表明其可能存在決策誤差或依賴啟發式判斷。

原文鏈接：https://onlinelibrary.wiley.com/doi/10.1111/jori.70026

Optimal insurance design under limited liability

有限責任條件下的最優保險合同設計

作者

Andrea Bergesio（瑞士瑞信銀行），Pablo Koch-Medina（蘇黎世大學），Cosimo Munari（維也納大學）

摘要：We study optimal demand for insurance in a classical expected utility setting where the insured party has limited liability and has access to three different types of progressively more restrictive contracts. At one end, with no restrictions on the indemnity schedule, it is optimal to fully insure certain losses while leaving others uninsured. At the other end, if indemnity schedules and retained losses are assumed to be increasing functions of the underlying loss, the optimal insurance policies are shown to be capped deductibles. For the intermediate case when the indemnity schedule is only an increasing function of the loss, we find that optimal contracts exhibit a richer structure beyond the capped policies suggested in earlier literature. Our study extends and provides a unifying perspective on the existing literature on optimal insurance under limited liability.

我們在經典期望效用框架下研究最優保險需求，假設投保人承擔有限責任，并可選擇三種限制程度遞增的合約類型。研究發現：當賠償方案不受限制時，最優策略是對特定損失實現完全保險，同時保留其他風險自留；若假設賠償方案與自留損失均隨實際損失遞增，則最優保險合約呈現限額免賠模式；在賠償方案僅隨損失單調遞增的中間情形下，最優合約展現出比文獻記載的限額保單更豐富的結構特征。本研究對有限責任條件下的最優保險理論進行了拓展，并為現有研究提供了統一的理論框架。

原文鏈接：https://onlinelibrary.wiley.com/doi/10.1111/jori.70016

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