相关链接：《保险研究》2013年第9期目录及摘要
城市专业化对中国保险市场发展的影响——基于中国省级面板数据
王正文 田 玲 李 慧
(武汉大学经济与管理学院，湖北 武汉 430072)
［摘 要］近年来，随着相同产业在同一城市中集聚，我国城市专业化水平获得显著提高，如何评估城市专业化对我国保险市场发展的影响，进而优化保险产业布局便成为我国保险业不得不面对的问题。本文在借鉴城市专业化度量指标的基础上，建立了衡量城市专业化与保险市场发展关系的面板回归模型，并运用2004年～2011年中国30个省面板数据进行回归分析。实证结果表明，产业专业化和职能专业化均能对保险市场发展产生显著影响，但是具体到寿险和非寿险市场，产业专业化能够显著影响寿险市场和非寿险市场的发展，而职能专业化对寿险市场和非寿险市场发展的影响则不能确定。
［关键词］产业专业化；职能专业化；保险市场
The Impacts of City Specialization on Chinese Insurance Market—Evidences from Chinese Provincial Panel Data
Wang Zheng-wen，Tian Ling，Li Hui
(Economics and Management School of Wuhan University，Wuhan，Hubei 430072)
Abstract：As the trend of industrial agglomeration intensified in recent years，Chinese cities are rapidly specialized in one industry or another.Therefore，it is important for us to assess the impacts of such specialization to the insurance market and to optimize the insurance industry’s layout.After constructing the city specialization indexes，this paper explored the relationship between city specialization and insurance market development through a panel model，using panel data of 30 provinces during 2004~2011.It concluded that industrial specialization and functional specialization could both significantly affect the development of the insurance market.But if we looked at the impacts on life insurance market and non-life insurance market separately，the results were different.Industrial specialization could significantly affect the development of the two insurance markets，but the impacts of functional specialization on both markets were indeterminable.
Key words：industrial specialization;functional specialization;insurance market
王正文在《保险研究》上发表的其他文章：
田玲在《保险研究》上发表过的其他文章：
我国财产保险公司竞争力评价结论稳健性检验
寇业富1 许文璐2
(1.中央财经大学中国精算研究院，北京 100081;2.中央财经大学保险学院，北京 100081)
［摘 要］2012年8月中央财经大学“保险公司竞争力评价研究”课题组公布了中国财产保险公司综合竞争力的排名和得分。在运用现代多元统计分析方法进行相关评价研究时，结论的稳健性检验至关重要；这也是国内相关研究中，第一次运用稳健性对评价结果进行分析。本文分别通过剔除部分公司和部分指标两种思路，对中国财产保险公司综合竞争力的评价结果进行了稳健性检验。检验结果说明，保险公司竞争力评价结果的稳健性优良，评价结果具有较强的可信性和科学性。
［关键词］保险公司；竞争力评价；主成分分析；聚类分析；稳健性检验
The Robustness Test for the Competitiveness Evaluation of Property and Casualty Insurance Companies
Kou Ye-fu1,Xu Wen-lu2
(1.China Institute for Actuarial Science,Central University of Finance and Economics,Beijing 100081;2.School of Insurance,Central University of Finance and Economics,Beijing 100081)
Abstract：In August 2012,the research group for China insurance company''''s evaluation study released the ranking and scores of P&C insurers’ competitiveness.In the use of multivariate statistical analysis,the robustness test of the conclusion is crucial;and in the related study,it is the first time a robustness analysis was applied to the results of the evaluation.By excluding some companies or some indicators respectively,we tested the robustness of the competitiveness evaluation of the China P&C insurance companies.The result showed that the competitiveness evaluation of Chinese P&C insurance companies was robust,and the results of the competitiveness evaluation were highly credible and scientific.
Key words：insurance company;competitiveness evaluation;principalcomponents analysis;robustness test
寇业富在《保险研究》上发表过的其他文章：
中资外资人身险公司竞争力评价比较——基于“中国保险公司竞争力评价研究报告（2011）”
我国寿险公司融资效率的测度及改进
初立苹 粟 芳
（上海财经大学金融学院，上海 200433）
［摘 要］本文中，融资效率的含义即资金使用效率，指寿险公司从内部、债务和权益三个融资渠道成功融资之后，充分使用这些资金创造社会价值和经济价值的效率。本文采用投入导向型广义三阶段DEA模型，对2007年～2011年间在中国境内经营的41家寿险公司的融资效率进行了测度和比较。同时，本文还考虑了环境变量对融资效率的影响，并分析了剔除环境变量影响之后的真实融资效率。分析结果表明，环境因素对寿险公司的融资效率具有明显影响，特别是上市情况、市场份额、人均GDP增长和金融深化程度的影响均较为显著。在剔除环境因素的影响之后，寿险公司的融资效率明显下降，但各年变动更为平稳。从资本属性的角度分析，外资寿险公司的融资效率受环境影响的程度更大，调整后的融资效率明显低于了中资寿险公司。同时，投影分析表明各家寿险公司的融资效率均存在投入冗余或产出不足的情况。除短期负债率之外，各项资金投入均具有不同程度的冗余。而在产出方面，寿险公司的保费收入还有较大的提升空间，但在净资产收益率方面已基本达到饱和。
［关键词］人寿保险；融资效率；广义三阶段DEA
Measurement and Improvement of Financing Efficiency for Life Insurers in China
Chu Li-ping,Su Fang
(Finance School,Shanghai University of Finance and Economics,Shanghai 200433)
Abstract：In this article,financing efficiency is the capital usage efficiency,referring to how effectively life insurance companies have used the capital generated from internal,debt and equity sources to create social value and economic value.Using generalized three-stage DEA model,the paper studied financing efficiencies of 41 life insurance companies in China during the period of 2007-2011.The effects of environmental factors were also considered,and their real financing efficiencies were arrived at through eliminating the environmental impacts.The results showed that,most environment factors,such as public listing status,market share,per capita GDPgrowth rate and deepening financial reform,affected the financing efficiency of life insurance companies significantly.After eliminating the effects of environment factors,the financing efficiency decreased dramatically,but year on year fluctuation was more smoothed out.Foreign companies were more affected by external environment than Chinese companies.The financing efficiencies of Chinese companies after adjustment were better than that of foreign companies.Meanwhile,using projection analysis,we found out that all insurance companies had the problems of input redundancy and output shortage.Except short-term debt ratio,all financing inputs showed certain degrees of redundancy.While from the aspect of output,life insurers still had a large premium growth potential,their net return on equity had reached saturation.
Key words：life insurance;financing efficiency;Generalized Three-Stage DEA Model
初立苹在《保险研究》上发表过的其他文章：
粟芳在《保险研究》上发表过的其他文章：
风险演变、收入调整与不同地理区域农业保险的差异化需求
张 伟1，2 郭颂平2 罗向明2
（1.广东金融学院华南金融研究所,广东 广州 510521;2.广东金融学院保险研究所，广东 广州 510521）
［摘 要］农业风险的危害程度和农村居民的收入特征是决定农民购买农业保险的首要因素。伴随社会转型与发展，农村风险因素对农民生活的影响排序以及农民的收入水平、收入结构都在发生重大变化，上述变化会对农业保险的需求造成影响。受自然地理条件限制和区域经济非均衡发展的制约，不同地理区域内的农业风险和农民收入特征均表现出显著的地区差异，导致不同区域农民的农业保险需求出现分化。政府部门应当根据农业保险需求的地域特征实施不同的补贴政策，保险公司也应当开发出差异化的农业保险产品，以便最大程度的满足农民的风险保障需求。
［关键词］农业保险；风险排序；收入调整；差异化需求
Risk Evolution,Income Adjustment and Differentiated Demand of Agricultural Insurance in Different Geographic Regions
Zhang Wei,Guo Song-ping,Luo Xiang-ming
(1.Huanan Institute of Financial Research,Guangdong University of Finance,Guangdong Guangzhou 510521;2.Institute of Insurance Research,Guangdong University of Finance,Guangdong Guangzhou 510521)
Abstract：The severity of agriculture risks and the income characteristics of rural residents are the primary factors necessitating farmer’s purchase of agricultural insurance.With the social transformation and development,the ranking of rural risk factors is shifting among all factors affecting rural residents’life,and the income level and income structure of farmers are changing dramatically as well.These changes are affecting farmers’demands for agricultural insurance.Due to the restrictions of different geographical conditions and uneven regional economic development,agricultural risks and farmers’income characteristics show significant regional differences,leading to differentiated demands for agricultural insurance in different regions.Government departments should implement differentiated subsidy policies according to local characteristics,and insurance companies should also develop different agricultural insurance products in order to meet farmers’ needs for risk protection.
Key words：agricultural insurance;risk evolution;income adjustment;differentiated demand
张伟在《保险研究》上发表过的其他文章：
保险标的转让效力与立法约束研究——兼论《保险法》第49条之立法缺陷
郭颂平在《保险研究》上发表过的其他文章：
罗向明在《保险研究》上发表的其他文章：
玉米旱灾气象指数保险的费率厘定研究——以甘肃省西峰区为例
王振军
（兰州商学院财税与公共管理学院，甘肃 兰州 730020）
［摘 要］该文以甘肃省西峰区为例，依据该区1981年～2012年期间历年的玉米实际单产数据，采用直线滑动平均法建立趋势拟合方程，应用Matlab7.0统计分析软件估算了该区1981年～2012年期间的玉米趋势单产产量，并根据实际单产产量和趋势单产产量分离出旱灾单产产量。在此基础上，依据不同降水量指数下玉米实际单产产量相对趋势单产产量的减产率，设计出玉米旱灾气象指数保险的理赔指数，并根据不同程度干旱灾害的灾损率和与之对应的发生频率厘定出玉米旱灾保险的总投保费率。试图为当地政府完善玉米旱灾保险提供理论依据和实证分析的建议，为开展其他农作物保险提出可供借鉴的途径。
［关键词］玉米旱灾气象指数保险；理赔指数；保险费率；甘肃省西峰区
Research on Ratemaking for Maize Drought Index Insurance—A Case in Xifeng District of Gansu Province
Wang Zhen-jun
(Lanzhou University of Finance and Economics,Gansu,Lanzhou 730020)
Abstract：Taking Xifeng district of Gansu province as an example,and based on its maize yields per unit area from1981 to 2012,this paper used the linear moving average method to establish the trend fitting equation,and appliedMatlab7.0 statistical analysis software to estimate the maize trend yiel dper unit area from1981 to 2012. Then it isolated the drought yield per unit area from actual yield per unit area and trend yield per unit area. On this basis,according to the yield reduction rate between the actual maize yield and the maize trend yield under different rainfall index,it designed indemnity indices of maize drought index insurance. And in accordance with varying degrees of drought disaster loss rates and the corresponding occurrence frequencies,the paper arrived at the gross premium rates for maize drought index insurance. It intended to provide local governments witha theoretical basis and empirical analysis for improving onmaize drought insurance，and offer a useful reference for carrying out other types of crop insurance.
Key words：maize drought index insurance;claim index;premium rates;Xifeng district of Gansu province
房价波动对人身险需求的影响
孙 伟1 Chan Kwok Ho2 王 萍1
(1.中国人民大学汉青经济与金融高级研究院和财政金融学院，北京 100872；2.联合国际学院工商管理学部，广东 珠海 519085)
［摘 要］本文利用除港、澳、台以及西藏外全国30个省、直辖市、自治区2001年～2011年的省际面板数据，发现住宅价格的上涨会抑制居民人身险的需求。在保持其他控制变量不变时，如果住宅价格上升1%，人均人身险保费收入下降0.529%。对人身险做更详细的划分，我们发现房价波动对个人人身险总额、个人寿险、个人意外伤害险和个人健康险的保费收入均存在不同程度的负向影响。其中，对个人健康险的负向影响最大。控制其他变量不变，当房价上升1%时，人均个人健康险保费收入下降1.673%。我们发现房价波动对于团体人身险保费收入不存在显著影响。
［关键词］人身险需求；房价波动；自我保险；替代效应
The Impact of House Price Fluctuations on Households’ Life Insurance Demand
Sun Wei1,Chan Kwok Ho2,Wang Ping1
(1.Hanqing Advanced Institute of Economics and Finance of RENMIN University of China,Beijing 100872;2.Department of Business Administration of United International College,Guangdong,Zhuhai 519085)
Abstract：Using panel data of 30 Chinese provinces,municipalities and autonomous regions (excluding Hongkong,Macau and Tibet)from 2001 to 2011,we found that house price increases significantly depressed household demands for life insurance.With other parameters being unchanged,a 1% increase in average residential house price reduced per capita life insurance premium income by 0.529%.And the impacts on health insurance demands were the most negative.When other parameters remained stable,1% increase in average residential house price reduced per capita health insurance premium income by 1.673%.In contract,house price fluctuation didn’t have a conspicuous effect on group life insurance demands.
Key words：life insurance demand;house price fluctuation;self-insurance;substitution effect
孙伟在《保险研究》上发表的其他文章：
我国出口信用保险政策性作用研究
徐海龙 杨汇潮 江生忠
（南开大学经济学院风险管理与保险学系，天津 300071）
［摘 要］实证研究利用2005年至2011年我国各省出口信用保险保费收入与对外贸易额、GDP及失业率数据建立面板模型，以研究我国出口信用保险是否具有显著的政策性作用。模型结果表明出口信用保险的确具有增加出口、拉动经济及平稳就业的政策性功能；并且对于外向型经济弱省，出口信用保险对经济拉动作用更加显著，对外向型经济强省，出口信用保险对出口贸易本身及控制失业的作用更加明显；同时无论在出口经济发展势头良好，还是受到金融危机影响时，出口信用保险的政策性效应都是存在的，在出口经济受到总体形势抑制时，这种拉动作用显得尤为重要。
［关键词］出口信用保险;政策性作用;GDP;出口贸易;失业率
An Empirical Study on the Policy Role for Export Credit Insurance in China
Xu Hai-long,Yang Hui-chao,Jiang Sheng-zhong
(Department of Risk Management and Insurance,School of Economics,Nankai University,Tianjin 300071)
Abstract：This empirical study used the data about China’s export credit insurance premiums,the volume of foreign trade,GDP and unemployment rate from 2005-2011 to establish a panel model for studying whether China’s export credit insurance had a significant policy effect or not.Model results showed that export credit insurance indeed could increase exports,stimulate economy and steady employment.The panel model results also indicated that for non-export-dependent provinces,export credit insurance had a more conspicuous positive effect on their economic development,while for export-dependent provinces,its positive effect on export trade and unemployment is more significant.More importantly,no matter whether there was a strong export momentum or it was frustrated by the financial crisis,the policy effect of export credit insurance existed all the same.Particularly,when export was thwarted by the sliding economic situation,the driving effect of export credit was even more prominent.
Key words：export credit insurance;policy effect;GDP;export;unemployment
杨汇潮在《保险研究》上发表的其他文章：
江生忠在《保险研究》上发表过的其他文章：
发展中小保险公司对经济增长的水平效应与速度效应——基于分省面板数据的实证研究
产品结构失衡对寿险公司资本结构、盈利能力和偿付能力的影响——以上市保险公司为例
《保险法》上妨碍代位行为的类别分析及其区分规制
武亦文
（武汉大学法学院，湖北 武汉 430072）
［摘 要］《保险法》上有关妨碍代位的法律规范存在不少缺陷，事实上纵容了妨碍代位行为的发生，造成了司法处置中的混乱。妨碍代位行为包含积极的弃权行为和消极的不协助行为，且依据保险合同订立、保险事故发生和保险给付完成三个时点又可以区分为四种相应类型。《保险法》应设置不同条款，对妨碍代位行为的各种类型进行有所区别的法律规制。
［关键词］妨碍代位；免责条款；弃权行为；协助义务
Category Analysis and Legal Regulation of the Prejudice Action to Subrogation in “Insurance Law”
Wu Yi-wen
（Wuhan University School of Law,Hubei,Wuhan 430072）
Abstract：There are many defects in the relevant legal norms of “Insurance Law” which involve prejudice to subrogation,conniving the occurrence of prejudice actions to subrogation,and causing confusion in the judicial disposal.The prejudice actions to subrogation include the insured’s abandoning of rights and their negative behaviors breaching the obligation to assist with subrogation.The prejudice actions to subrogation fall into four categories at the three stages of an insurance contract,namely,signing of insurance contracts,occurrence of insured events,and payment of insurance compensation.The “Insurance Law” should regulate these prejudice actions with differentiated legal measures.
Key words：prejudice to subrogation;exemption clauses;abstention behavior;obligation of assistance
武亦文在《保险研究》上发表过的其他文章：
论保险代位权的行使对象
聂尚君1 白晨航1 郑 烁2
（1.中华联合保险控股股份有限公司，北京 100035；2.中国政法大学，北京 100088）
［摘 要］实现保险代位权价值之关键在于确定保险代位权的行使对象。然而，立法的缺失以及相关理论研究的滞后，导致当前审判实践中确定保险代位权行使对象的标准较为混乱。建立并完善保险代位权行使对象的确定标准应当坚持以损害填补原则、过错责任原则以及公平原则为理论依据，并在此基础上进一步明确限制对象的范围。采取“肯定概括加否定列举”的方法建立保险代位权行使对象的确定标准，有利于统一法律判决，树立司法权威，增强法律的可预测性和正当性。
［关键词］保险代位权；行使对象；对象限制；损害填补原则
The Study on Target Objects for Exercising the Insurance Subrogation Right
Nie Shang-jun1, Bai Chen-hang1, Zheng Shuo2
(1.China United Insurance Holding Company Limited, Beijing 100035；2.China University of Political Science & Law, Beijing, 100088）
Abstract：To determine the target objects for exercising the insurance subrogation right is the key to realizing the value of this right.However, because of the legislation flaws and the lag of related researches in theory, the standards for determining the target objects for exercising insurance subrogation right are chaotic and disordered in current trial practice.Accordingly, in order to establish and perfect the above standards, we should stick to the principles of indemnity, fault liability and equity.Also, we need to clearly stipulate the scope of limited objects and apply the measure of “affirmative summarization and negative enumeration” to establish the standards for determining the target objects for exercising insurance subrogation right.These above measures are conducive not only to unifying the judgment and building up the judicial authority, but also to improving the legal predictability and legitimacy.
Key words：insurance subrogation right;target objects;limited objects;principle of indemnity
聂尚君在《保险研究》上发表的其他文章：
基本医疗保险经办服务满意度及优化路径研究——基于镇江、东莞、成都、神木、银川的实证分析
翟绍果 徐顺锋 郭锦龙
（西北大学公共管理学院，陕西 西安 710127）
［摘 要］经办服务关系着基本医疗保险的可及性，城乡居民对于基本医疗保险经办服务的满意程度是衡量全民医保实施效果的重要指标。本文基于基本医疗保险经办问题的部门之争和学界讨论，通过对镇江、东莞、成都、神木、银川五地城乡居民医保经办服务满意度的调查，采用描述性分析、交互分析、二元Logistic回归分析，研究发现我国医保经办服务存在着整体满意度较低、医保经办管理主体混乱、各地经办服务水平参差不齐等问题。因此，优化我国医保经办服务的路径在于，整合医保经办机构，引入商业保险公司参与医保经办服务，建立医保经办机构同医疗服务方谈判机制，落实医保关系的转移接续，加强医保系统信息化建设，优化医疗服务水平。
［关键词］经办服务；满意度；优化路径
Satisfaction Degree of and Optimization Path for Basic Medical Insurance Administrative Service—An Empirical Analysis Based on Zhenjiang,Dongguan,Chengdu,Shenmu and Yinchuan
Zhai Shao-guo,Xu Shun-feng,Guo Jin-long
(School of Public Administration,Northwest University,Shanxi,Xi’an 710127)
Abstract：The quality of administrative servicesi mpacts the accessibility of basic medical insurance,and the urban and rural residents’satisfaction on the services is an important indicator for measuring the implementation effects of basic medical insurance.Based on existing disputes among various departments and academic discussions on the basic medical insurance administrative services,and through satisfaction surveys on urban and rural residents in Zhenjiang,Dongguan,Chengdu,Shenmu and Yinchuan,the paper used descriptive analysis,interaction analysis and binary Logistic Regression analysis to revealed that there existing the following problems: low level of overall satisfaction,chaotic management bodies,and uneven service levels,etc.Therefore,the path for optimizing medical insurance services was to consolidate medical insurance administration agencies,introduce commercial insurance companies as service providers,establish the negotiating mechanism between medical care providers and service administrators,realize the transfer and continuation of the relationship between medical insurance systems,enhance information technology,and improve on medical services.
Key words：administrationservice;degree of satisfaction;optimization path
欧盟与美国ORSA研究及对我国的实践指导
张连增 曲 珩
(南开大学经济学院风险管理与保险学系，天津 300071)
［摘 要］自身风险和偿付能力评估（ORSA）是近年来保险业新兴的关注点之一，它主要以定性的方式管理和评估保险公司面临的风险。本文首先概括性地描述了欧盟和美国ORSA的最新进展和目前所处的阶段，之后根据ORSA的特征构建了一个ORSA金字塔，自上而下共分七个部分深入剖析ORSA的原则、内容和要求。明确保险公司应在董事会和高级管理层的带领下，本着前瞻性和相称性的原则进行ORSA。ORSA的实践过程涉及内部模型、ORSA偿付能力需求、文件记录和保险集团ORSA这四个突出方面，本文针对欧盟与美国的具体特点，探究其ORSA的共性和不同，发现各自的优势和不足之处。基于这些理论研究并结合我国实践，本文提出了五点要求作为对未来我国ORSA实践的指导，促进我国保险业的发展和监管制度建设。
［关键词］自身风险；偿付能力评估；ORSA准则
A Research Report on European Union’s and United States’ ORSA and Its Guidance to China’s ORSA Practice
Zhang Lian-zeng,Qu Heng
(School of Economics Nankai University,Tianjin 300071)
Abstract：Own risk and solvency assessment (ORSA) is one of the emerging concerns of the insurance industry in recent years.It is primarily a qualitative way to manage and assess the risks insurance companies are facing.This paper began with an overview description of the latest ORSA progress and the current development stage in both EU and the US.Then it built an ORSA pyramid based on its characteristics,which analyzed ORSA’s principles,contents and requirements in depth with seven parts from up to bottom.It made clear that insurance companies should conduct their ORSA under the direction of the board and senior management,and follow the principle of forward-looking and proportionality.ORSA practice involved four prominent aspects —— internal model,ORSA solvency requirements,documentation and insurance group ORSA.This paper focused on commons and differences,strengths and weaknesses of European Union’s and United States’ ORSA,with a consideration of their specific characteristics.Based on the theoretical studies and combined with China’s actual condition,this paper proposed five useful suggestions,which could serve as the guidance of China''''s future ORSA practice,and promote the development of China’s insurance industry and the regulatory system construction.
Key words：Own Risk;Solvency Assessment;ORSA guidance
张连增在《保险研究》上发表过的其他文章：
我国财产保险区域差异与宏观经济的关系研究——基于省际面板数据的实证分析
行驶里程数对车险净保费的影响研究——基于公路里程对交通事故损失的影响视角
中国人口老龄化对人身保险市场发展的影响分析——基于省际面板数据的经验分析
曲珩在《保险研究》上发表过的其他文章：
我国中小财险公司与大型财险公司风险差异
沈 立 谢志刚
(上海财经大学金融学院，上海 200433)
［摘 要］如果按照年保费规模大小将我国财险公司分为大型公司和中小型公司两大类，这两类公司在保险市场上的经营情况和风险特征均呈现很大差异，这对于制定行业政策和监管标准都是一个巨大挑战。本文从风险形成的外部因素、内部因素和综合效应三个角度来分析大型公司和中小型公司面临的风险差异，发现中小型公司的风险比大型公司更为显著，建议监管机构在制定行业监管标准时，应基于大型公司和中小保险公司的数据分开计算，以此尽可能平衡其差异。
［关键词］大型公司;中小公司;风险差异
A Study on Risk Differences between China’s Large P&C Insurers and Medium- to- small P & C Insurers
Shen Li,Xie Zhi-gang
(School of Finance of Shanghai University of Finance ＆ Economics，Shanghai 200433)
Abstract：If we divide China’s P&C insurers into large insurers and medium-to-small insurers by their annual premium income,there exist huge differences between the two categories in terms of their operation features and risk profiles,which will bring extraordinary challenges to regulators in setting industrial policies and regulatory standards.We studied the risk differences between these two categories from the external and internal factors for risk formation and their combined effects.We discovered that medium-to-small insurers had more significant risks than large insurers.Therefore,when setting regulatory standards,the regulator should consider the differences and base decision-making on their separate data in order to balance their differences as far as possible.
Key words：large insurers;medium-to-small insurers;risk difference
谢志刚在《保险研究》上发表的其他文章：
基于保险公司偿付能力管理的利率风险情景生成实证分析
单 鹏1 解 强2
（1.东北财经大学，辽宁 大连 116025;2.中国人寿保险股份有限公司，北京 100033）
［摘 要］利率风险是影响保险公司偿付能力的重要因素，本文基于欧盟的主成分分析法计算利率风险的压力水平。研究结果表明，四个主成分对国债收益率的解释能力达到了99.67%，提取了原始数据所涵盖绝大多数信息。同时，基于回归分析得到的压力水平较为合理，基本位于未来一年国债收益率数据的0.5%和99.5%的边界上。
［关键词］偿付能力；主成分分析；利率风险
An Empirical Analysis of Interest Rate Scenario Generation Based on Solvency II for Insurance Companies
Shan Peng1,Xie Qiang2
(1.Dongbei University of Finance and Economics,Liaoning,Dalian 116025;2.China Life Insurance Company Limited,Beijing 100033)
Abstract：Interest rate risk is one of the most important risk factors influencing insurance company’s solvency.This article calculated the stress level of interest rate risk based on European Union’s principal component analysis method.The result indicated that the four main factors’extraction sums of squared loadings to historical treasury spot rates were up to 99.67%.At the same time,regression analysis showed that the stress level was rational,bordering on the range of 0.5% to 99.5% of the yields of one-year treasury notes.
Key words：solvency;principal component analysis;interest rate risk