【保险学术前沿】期刊Journal of Risk and Insurance2024年91卷第3期目录及摘要

声明：本系列文章基于原期刊目录和摘要内容整理而得，仅限于读者交流学习。如有侵权，请联系删除。

期刊介绍：

《Journal of Risk and Insurance》为季刊，每年4期，每期发表文章8-10篇左右。2023-2024年影响因子为2.26，是风险管理与保险领域的顶级权威学术期刊。该期刊主要发表保险经济学和风险管理主题的理论和实证方面的学术论文，可以为保险市场的实践、决策和监管以及企业和家庭风险管理提供重要的信息。

本期看点：

风险管理：

●企业风险管理与税率：具有企业风险管理(Enterprise risk management , ERM)计划的公司比没有ERM的公司有更低的实际税率，ERM与避税之间的关系在业务部门较多的企业中更强。

●贷款担保与中小企业投资风险管理：在一个承保人面临信息劣势并了解借方质量的具有贷款担保的动态投资模型中，分离均衡(Separating Equilibrium)投资阈值是恒定的；如果项目风险高于（低于）市场增长率，混同均衡(Pooling Equilibrium)投资阈值会随着时间的推移而降低（升高）。在信息明显不对称的环境中，费用担保互换(fee-for-guarantee swaps)优于股权担保互换(equity-for-guarantee swaps)。

●网络风险管理：利用人工网络实验，识别出两类控制系统性网络风险的措施：基于安全和拓扑的干预措施。

保险需求：

●长期护理保险：尽管对长期护理的需求日益增加，但在美国商业长期护理保险的购买率仍然较低，甚至有所下降。保险市场在决策简单性与多选择之间存在权衡，提升商业长期护理保险的表现，还需要采取其他措施。

●年金之谜：在强制参与养老金和年金平均价格较低的环境下，只有 42.7% 的退休人员完全年金化，而 45% 的退休人员则全额一次性领取了养老金，对遗产的偏好会影响退休时年金化的决策。

●减少报告损失：在奖惩系统(Bonus-Malus System)下具有两个费率等级的多期保险模型中，购买全额保险的被保险人会采取一种边界策略，即只向保险人报告高于某一边界的损失，风险中性和风险规避被保险人的均衡边界相等且严格大于零。

Richard A. Gallenstein（美国天主教大学）

摘要：Low income households in agrarian developing economies face considerable livelihood risks, which have negative impacts on welfare. A growing literature focuses on internal constraints on development, which can negatively affect saving and investment behavior. Here I propose that internal constraints may also hinder risk management. Specifically, I present a theoretical model that explores how fairness preferences may create an internal constraint on risk sharing, particularly in a context of wealth inequality, and thereby also affect demand for formal insurance. To test this theory, I utilize a lab experiment, conducted in Ghana, to investigate the impact of wealth inequality on utilization of risk-management tools, interpersonal risk sharing and formal insurance, and explore how fairness preferences may mediate this effect. I find that inequality reduces risk sharing and increases demand for insurance. Moreover, I find suggestive evidence that fairness preferences create an internal constraint on risk sharing under inequality.

在农业为主的发展中经济体中，低收入家庭面临着巨大的生计风险，这些风险对福利产生了负面影响。越来越多的文献聚焦于发展中的内部约束，这些约束会对储蓄和投资行为产生负面影响。在这里，本文提出内部约束也可能妨碍风险管理。具体而言，本文提出了一个理论模型，探讨公平偏好如何在财富不平等的背景下成为风险分担的内部约束，并因此影响对正式保险的需求。为了验证这一理论，我在加纳进行了一项实验室实验，研究财富不平等对风险管理工具的使用、人际风险分担以及正式保险需求的影响，并探讨公平偏好如何在这一过程中发挥调节作用。研究发现，不平等减少了风险分担，并增加了对保险的需求。此外，我发现了一些证据表明，在不平等的情况下，公平偏好会成为风险分担的内部约束。

原文链接：

https://onlinelibrary.wiley.com/doi/10.1111/jori.12480

Evan M. Eastman （佛罗里达州立大学）, Anne C. Ehinger （佛罗里达州立大学）, Jianren Xu （北德克萨斯大学）

摘要：This study examines the impact of enterprise risk management (ERM) programs on corporate tax planning. ERM is a holistic approach to managing an enterprise's entire portfolio of risks. We hand-collect data on ERM adoption for a sample of Standard & Poor's 500 firms from 1993 to 2016. We empirically document that firms with ERM programs have lower cash effective tax rates than firms without ERM. Additionally, we find that the relation between ERM and tax avoidance is stronger among firms with more business segments. Finally, our results suggest ERM adoption offsets an increase in opacity and tax uncertainty typically associated with tax avoidance strategies. Overall, we provide evidence that ERM allows firms to exploit tax avoidance opportunities through enhanced coordination and communication.

本研究探讨企业风险管理(ERM)计划对企业税务筹划的影响。ERM是一种管理企业全部风险组合的整体方法。我们收集了1993年至2016年标普500强公司的ERM数据。经验上我们发现，有ERM计划的公司比没有ERM的公司有更低的实际税率。此外，我们发现，在业务部门较多的企业中，ERM与避税之间的关系更强。最后，我们的研究结果表明，ERM的采用抵消了通常与避税策略相关的不透明度和税收不确定性的增加。总体而言，我们提供的证据表明，ERM允许企业通过加强协调和沟通来利用避税机会。

原文链接：

https://onlinelibrary.wiley.com/doi/10.1111/jori.12469

Pengfei Luo（湖南大学），Huamao Wang（诺丁汉大学）， Zhaojun Yang（南方科技大学）

摘要：We develop a dynamic investment model with loan guarantees wherein insurers face information disadvantages and learn about borrower quality. Borrowers signal their qualities through investment timing, which is characterized by the investment threshold and elapsed time. We derive the conditions for separating or pooling equilibria. We show that the separating investment threshold is constant and determined mainly by the maximum threshold preventing mimicry. If project risk is higher (lower) than the market growth rate, the pooling investment threshold declines (increases) with elapsed time, and learning enhances (reduces) the willingness of high-quality borrowers to wait. Learning alleviates adverse selection and reduces guarantee costs. These effects are more pronounced with a greater uncertainty of the insurer on borrower quality. We reveal dual effects of waiting. The worse the market prospect, the higher the value of waiting in pooling outcomes. Fee-for-guarantee swaps are superior to equity-for-guarantee swaps in environments with marked information asymmetry.

我们建立了一个具有贷款担保的动态投资模型，在该模型中，承保人面临信息劣势并了解借方的质量。借方通过投资时机发出其质量信号，投资时机由投资阈值和经过时间决定。我们推导出了分离均衡(Separating Equilibrium)或混同均衡(Pooling Equilibrium)的条件。我们证明，分离投资阈值是恒定的，主要由防止模仿的最大阈值决定。如果项目风险高于（低于）市场增长率，混同投资阈值会随着时间的推移而降低（升高），学习会增强（降低）优质借方的等待意愿。学习可以减轻逆向选择，降低担保成本。当保险公司对借方质量的不确定性越大时，这些效应就越明显。我们揭示了等待的双重效应。市场前景越差，等待在混同均衡结果中的价值就越高。在信息明显不对称的环境中，费用担保互换(fee-for-guarantee swaps)优于股权担保互换(equity-for-guarantee swaps)。

原文链接：

https://onlinelibrary.wiley.com/doi/10.1111/jori.12485

Jens Robben （鲁汶大学）, Katrien Antonio （鲁汶大学）

摘要：This paper incorporates mortality shocks in the scenarios for future mortality rates produced by a stochastic multi-population mortality model. Hereto, the proposed model combines a decreasing stochastic mortality trend with a mechanism that switches between regimes of low and high volatility. During the high volatility regimes, mortality shocks occur that last from one to several years and temporarily impact the mortality rates before returning to the overall mortality trend. Furthermore, we account for the age-specific impact of these mortality shocks on mortality rates. Actuaries and risk managers can tailor this scenario generator to their specific needs, risk management objectives, or supervisory requirements. The generated scenarios allow (re)insurers, policymakers, or actuaries to evaluate the effects of different catastrophe risk scenarios on, for example, the calculation of solvency capital requirements.

本文将死亡率冲击纳入由随机多人口死亡率模型产生的未来死亡率情景中。为此，所提出的模型结合了递减的随机死亡率趋势和一个在低波动性和高波动性之间切换的机制。在高波动性时期，死亡率冲击会持续一年到几年，这些冲击会暂时影响死亡率，然后返回到总体死亡率趋势。此外，我们考虑了这些死亡率冲击对死亡率的年龄特异性影响。精算师和风险管理人员可以根据他们的特定需求、风险管理目标或监管要求定制此场景生成器。生成的情景允许(再)保险公司、政策制定者或精算师评估不同灾难风险情景的影响，例如偿付能力资本要求的计算。

原文链接：

https://onlinelibrary.wiley.com/doi/10.1111/jori.12470

Piera Bello（苏黎世大学）， Agar Brugiavini（威尼斯福斯卡里大学），Vincenzo Galasso（博科尼大学）

摘要：We analyze individual annuitization decisions at retirement in an environment with mandatory participation in a funded pension pillar and low average annuity price. Using administrative data from a large Swiss insurance company over the period 2011–2015, we document that, even in this favorable environment, only 42.7% of the retirees fully annuitize, against 45% taking full lump sum. We show that individual annuitization decisions strongly respond to financial incentives, measured by the Money Worth Ratio, and to the tax rates on annuity and lump-sum payments. Lump-sum payments are more common among French- and Italian-speaking individuals. Using Survey of Health, Ageing and Retirement in Europe data, we show that French- and Italian-speaking Swiss are more likely to leave inheritance—thus suggesting that preferences for bequests may affect annuitization decisions. Finally, we provide evidence of asymmetric information, using the unused observable test, to show that individuals living in high mortality municipalities are less likely to annuitize and more likely to cash out their pension wealth.

我们分析了在强制参与的养老金支柱（pension pillar）和养老金平均价格较低的环境下，个人退休时的资金年进化的决策问题。利用瑞士一家大型保险公司 2011-2015 年期间的行政数据，我们发现，即使在这种有利环境下，也只有 42.7% 的退休人员完全年金化，而 45% 的退休人员则全额一次性领取了养老金。我们的研究表明，个人的年金化决策与财务激励（以货币价值比率衡量）以及养老金和一次性领取的税率密切相关。一次性领取在以法语和意大利语为母语的个人中更为常见。利用欧洲健康、老龄和退休调查数据，我们发现以法语和意大利语为母语的瑞士人更有可能留下遗产，这表明对遗产的偏好可能会影响年金化决策。最后，我们提供了信息不对称的证据，利用未使用的可观察测试表明，生活在高死亡率城市的个人不太可能参加企业养老金，而更有可能将养老金财富提现。

原文链接：

https://onlinelibrary.wiley.com/doi/10.1111/jori.12473

Timo R. Lambregts（伊拉斯谟卫生政策与管理学院）, Frederik T. Schut（伊拉斯谟卫生政策与管理学院）

摘要：Despite the growing demand for long-term care (LTC), the uptake of private LTC insurance (LTCI) is low and even declining in the United States. One reason is the complexity of LTCI decisions. Researchers have therefore suggested to support decision-making abilities. This paper shows, however, that such support would not unambiguously enhance functioning of the LTCI market. We analyze whether selection arises from two correlated but different decision-making abilities at old age, education and numeracy, and interactions thereof with private information. Using historical data from the Health and Retirement Survey we find that education generates adverse selection, which is only partially offset by advantageous selection due to numeracy. In addition, individuals with greater decision-making abilities make better LTCI choices, amplifying selection by education and numeracy. This points at a trade-off between decision simplicity and selection in insurance markets and suggests other steps are needed to enhance the performance of private LTCI markets.

尽管对长期护理（long-term care, LTC）的需求日益增加，但在美国，私人长期护理保险（LTC insurance, LTCI）的购买率仍然较低，甚至有所下降。其中一个原因是LTCI决策的复杂性。因此，研究人员建议去支持人们的决策能力。然而，本文研究表明，这种支持并不会明确地提高LTCI市场的运作。我们分析了两种相关但具有不同决策能力（教育水平和计算能力）的老年人以及他们与私人信息的相互作用是否导致了选择效应。利用健康与退休调查的历史数据，我们发现教育水平会产生逆向选择，而这种逆向选择只是部分地被计算能力带来的有利选择所抵消。此外，决策能力较强的个体在LTCI选择上做得更好，进一步放大了由教育和计算能力引发的选择效应。这表明保险市场在决策简单性与选择之间存在权衡，并且为了提升私人LTCI市场的表现，还需要采取其他措施。

原文链接：

https://onlinelibrary.wiley.com/doi/10.1111/jori.12465

Jingyi Cao（加拿大约克大学）, Dongchen Li（加拿大约克大学）, Virginia R. Young（密歇根大学）, Bin Zou（康涅狄格大学）

摘要：We propose a multiperiod insurance model under a bonus–malus system with two rate classes and consider an insured who has purchased full insurance for her losses. To explore the potential advantage of underreporting her insurable losses, the insured follows a barrier strategy and only reports lossses above the barrier to the insurer. We obtain a unique equilibrium declaration strategy in closed form for a risk-neutral insured who maximizes her expected wealth, and in semiclosed form for a risk-averse insured who maximizes her expected exponential utility of wealth, both over an exogenous random horizon. We find that the equilibrium barriers for the two classes are equal and strictly greater than zero, offering a theoretical explanation for the underreporting of insurable losses, a form of ex post moral hazard. Finally, we consider the case of three rate classes and show, through numerical examples, that the equilibrium barriers are not equal.

我们提出了在一个奖惩系统(Bonus-Malus System)下具有两个费率等级的多期保险模型，并考虑了一个购买了全额保险以覆盖其损失的被保险人。为了探索降低报告其可保损失的潜在优势，被保险人会采取一种边界策略，即只向保险人报告高于某一边界的损失。对于风险中性的被保险人（最大化其预期财富），我们则得到了唯一均衡申报策略的解析形式；对于风险规避的被保险人（最大化其预期财富的指数效用），我们得到唯一均衡申报策略的半解析形式。我们发现，这两类人的均衡边界相等且严格大于零，这为降低报告可保损失（一种事后道德风险）提供了理论解释。最后，我们考虑了三个费率等级的情况，并通过数值模拟说明均衡边界并不相等。

原文链接：

https://onlinelibrary.wiley.com/doi/10.1111/jori.12451

Kerstin Awiszus（汉诺威大学）, Yannick Bell（汉诺威大学）, Jan Lüttringhaus（汉诺威大学）, Gregor Svindland（汉诺威大学）, Alexander Voß（汉诺威大学）, Stefan Weber（汉诺威大学）

摘要：Based on classical contagion models we introduce an artificial cyber lab: the digital twin of a complex cyber system in which possible cyber resilience measures may be implemented and tested. Using the lab, in numerical case studies, we identify two classes of measures to control systemic cyber risks: security- and topology-based interventions. We discuss the implications of our findings on selected real-world cybersecurity measures currently applied in the insurance and regulation practice or under discussion for future cyber risk control. To this end, we provide a brief overview of the current cybersecurity regulation and emphasize the role of insurance companies as private regulators. Moreover, from an insurance point of view, we provide first attempts to design systemic cyber risk obligations and to measure the systemic risk contribution of individual policyholders.

在经典传染模型的基础上，我们引入了一个人工网络实验：一个复杂网络系统的数字孪生体，可在其中实施和测试可能的网络弹性措施。利用该实验，通过数值案例研究，我们识别出两类控制系统性网络风险的措施：基于安全和拓扑的干预措施。我们讨论了我们的研究结果对目前应用于保险和监管实践或正在讨论的未来网络风险控制的选定现实世界网络安全措施的影响。为此，我们简要概述了当前的网络安全监管，并强调了保险公司作为私人监管机构的作用。此外，从保险的角度来看，我们首次尝试设计系统性网络风险义务，并衡量单个投保人的系统性风险贡献。

【注】网络弹性（Cyber Resilience），指网络在面临攻击或者其他不利情况（例如设备故障、自然灾害等）时，能够维持其关键功能，或者在攻击后能够快速恢复的能力。

原文链接：

https://onlinelibrary.wiley.com/doi/10.1111/jori.12450

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