【保险学术前沿】The Geneva Papers on Risk and Insurance 2024年第4期目录与摘要

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：

“Geneva Papers on Risk & Insurance- Issues and Practice” 创刊于1976年，是日内瓦协会主办的一本国际学术期刊，聚焦保险经济学的前沿热点问题，旨在为保险学术界和业界专业人士之间的交流提供桥梁，提升保险业的专业知识。该刊为季刊，每年4期，每期发表文章10篇左右，2023年影响因子为2.0。

本期看点：

●营业中断保险：随着新冠疫情和地缘政治冲突等意外冲击的增加，营业中断保险风险将持续处于高位。企业家的金融素养水平与购买营业中断保险之间存在显著的正相关关系。

●投资连结人寿保险：对德国私人投资者的调查研究发现，投资连结人寿保险私人投资者重视可持续的产品属性，并且这些属性导致他们的边际支付意愿略高，但风险回报指标，尤其是持续产生的成本目前更为重要。

●汽车保险：在出租车保险市场中，“使用密度”（如每日距离）高的司机更有可能购买额外的保单，使用密度与保险需求呈正相关，但无限里程保险可能会不成比例地吸引高风险司机，这支持基于“使用量”的保险设计。

●风险传染效应：采用基于随机森林残差回归的广义事件研究方法研究在研究保险公司和银行的连通性时更具优越性。在冲击之后，保险公司和银行的回报朝着相同方向移动，表明保险和银行市场存在传染效应。证据显示，银行冲击相对于保险公司的冲击更具破坏性。

●军事冲突影响：俄乌军事冲突对战区附近的保险公司存在“邻近惩罚”。规模更大、资本充足、盈利能力强、机构所有权较少的人寿或多元化保险公司拥有更高的股市回报，更有能力处理战争造成的损失。

●保险监管：监管权力对保险公司稳健性的负面影响——通过增加投资组合风险来反映——可以被国家制度质量特别是政府效率、监管质量和腐败控制所缓解。

●保险的作用：研究发现，保险（寿险和非寿险）对撒哈拉以南非洲的基础设施水平（交通、电力以及水和卫生基础设施）有积极影响，但对电信基础设施没有显著影响。

Ornella Ricci（罗马第三大学）& Gianluca Santilli（罗马第二大学）

摘要：This article examines the relationship between financial literacy and business interruption (BI) insurance among Italian entrepreneurs. Following an increase in unexpected shocks, such as COVID-19 and geopolitical conflicts, a high level of BI risk is expected to persist, especially among small firms, which play a key role in the Italian economy. Using a Bank of Italy 2021 survey of 1998 non-financial firms with fewer than 10 employees, we show a significant positive association between the level of the entrepreneur’s financial literacy and the purchase of BI insurance. Our results highlight the key role of financial literacy in shaping risk management strategies and are robust to different model specifications, also addressing endogeneity concerns.

本文探讨了意大利企业家金融素养与营业中断保险（business interruption insurance，BI保险）之间的关系。随着新冠疫情和地缘政治冲突等意外冲击的增加，预计BI风险将持续处于高水平，特别是在意大利经济中发挥关键作用的小型企业中。基于2021年意大利银行对1998家员工少于10人的非金融企业的调查，我们发现企业家的金融素养水平与购买BI保险之间存在显著的正相关关系。研究结果强调了金融素养在塑造风险管理策略中的关键作用，并且在不同模型设定下表现出稳健性，同时考虑了内生性问题。

原文链接：https://link.springer.com/article/10.1057/s41288-024-00312-5

Richard J. Butler(杨百翰大学；西南财经大学), Gene Lai(北卡罗来纳大学夏洛特分校), Craig Merrill(杨百翰大学)

摘要：This paper proposes a new methodology to examine spillover effects using insurer/bank connectedness as an example. Using large standard deviation jumps in daily returns to measure market shocks, our generalized event study approach can address the issues of multiple events happening in one day, positive and negative responses, asymmetries in the connected responses and endogeneity issues. We employ a random forest residuals regression approach that offers more flexibility in the connectedness relationships than standard regression models, yielding results that are more consistent with the literature (i.e., the predominance of contagion over competitive effects in connectedness). We show that standard linear regression models do not appropriately capture these relationships because they do not account for the endogeneity of the shocks to the daily returns. We find evidence that insurers’ and banks’ returns move in the same direction after shocks, indicating market contagion effects, rather than in the opposite direction, which would indicate market competitive effects. We also find that the event shocks of January, April, July, and October are larger and more statistically significant than other months. The evidence shows that bank shocks are relatively more destabilizing than insurer shocks.

本文提出了一种新的研究方法来检验溢出效应，以保险公司和银行的连通性为例。通过使用每日回报中大幅度的标准差跳跃来衡量市场冲击，我们采用广义事件研究的方法能够解决一天内发生多个事件、正面和负面反应、连通反应中的不对称性以及内生性问题。我们采用了随机森林残差回归方法，与传统回归模型相比，这种方法在连通性关系上提供了更大的灵活性，得到的结果与文献更为一致（即在连通性中，传染效应优于竞争效应）。我们表明，标准的线性回归模型由于没有考虑到每日回报冲击的内生性，因此未能适当地捕捉到这些关系。我们发现，在冲击之后，保险公司和银行的回报朝着相同方向移动，表明市场存在传染效应，而不是相反方向，后者将表明市场竞争效应。我们还发现，一月、四月、七月和十月的事件冲击比其他月份更大，统计上更显著。证据显示，银行冲击相对于保险公司的冲击更具破坏性。

原文链接：https://link.springer.com/article/10.1057/s41288-023-00307-8

Nadine Gatzert（埃尔兰根-纽伦堡弗里德里希-亚历山大大学），Anna Kraus（埃尔兰根-纽伦堡弗里德里希-亚历山大大学）

摘要：The aim of this paper is to investigate the relevance of sustainable product attributes as compared to ongoing costs and risk–return profiles when individuals choose funds underlying unit-linked life insurances. Regarding sustainability attributes, we focus on the product classification according to the Sustainable Finance Disclosure Regulation as a European regulatory transparency standard, and on sustainable investment strategies. We conduct two choice-based conjoint analyses using a German panel for unit-linked life insurances as well as fund savings plans as a financial product comparison. We estimate the relative importance, part-worth utilities, and the marginal willingness to pay for changes in product attributes. Our results suggest that private investors of unit-linked life insurances value sustainable product attributes and that they result in a slightly higher marginal willingness to pay, but risk–return indicators and especially ongoing costs are currently more relevant. We find further indications that sustainability attributes are less relevant in the setting of a unit-linked life insurance as compared to a fund savings plans setting.

本文旨在研究当个人选择与投资连结人寿保险相关的基金时，可持续产品属性与持续成本和风险收益情况的相关性。关于可持续发展属性，我们重点关注作为欧洲监管透明度标准的《可持续金融信息披露条例》规定的产品分类以及可持续投资策略。我们使用一个德国面板数据对投资连结人寿保险和基金储蓄计划作为金融产品进行比较，进行了两项基于选择的联合分析。我们估算了产品属性变化的相对重要性、部分价值效用和边际支付意愿。我们的研究结果表明，投资连结人寿保险的私人投资者重视可持续的产品属性，并且这些属性导致边际支付意愿略高，但风险回报指标，尤其是持续产生的成本目前更为重要。我们还发现，与基金储蓄计划相比，可持续属性在投资连结人寿保险中的相关性较低。

原文链接：https://link.springer.com/article/10.1057/s41288-024-00313-4

Meytang Cédric(喀麦隆达尚大学)，Ongo Nkoa Bruno Emmanuel (喀麦隆达尚大学)

摘要：The objective of this paper is to assess the contribution of insurance to infrastructure development in Sub-Saharan Africa. The researchers used a sample of 31 Sub-Saharan African countries from a panel of data observed over the period 2003–2020. The methodologies used in this paper are the Driscoll-Kraay and Panels Corrected Standard Error. The results show that insurance (life and non-life) positively explains the level of infrastructure in Sub-Saharan Africa. Furthermore, using disaggregated infrastructure indices, the effect remains the same for transport, electricity, and water and sanitation infrastructure. However, insurance has no significant effect on telecommunications infrastructure. Our results remain robust using an instrumental variable technique, two stage least square. The economic policy suggestions concern the improvement of the regulatory framework for the insurance business so that it can participate effectively in financing the economy. In addition, a strengthening of the public–private partnership is commendable in order to provide governments with an alternative source of infrastructure financing, different from the generally used public financing, whose capacity is likely to be insufficient.

本文的目标是评估保险对撒哈拉以南非洲基础设施发展的贡献。研究人员使用了2003年至2020年期间观察到的31个撒哈拉以南非洲国家的面板数据样本。本文使用的方法包括Driscoll-Kraay和面板修正标准误差。结果显示，保险（寿险和非寿险）对撒哈拉以南非洲的基础设施水平有积极影响。此外，使用分解的基础设施指数，对交通、电力以及水和卫生基础设施的影响仍然相同。然而，保险对电信基础设施没有显著影响。使用工具变量技术，两阶段最小二乘法，我们的结果依然稳健。经济政策建议涉及改善保险业务的监管框架，以便其能够有效地参与经济融资。此外，加强公私合作伙伴关系是值得肯定的，以便为政府提供一种替代的基础设施融资来源，与通常使用的公共融资不同，后者的能力可能不足。

原文链接：https://link.springer.com/article/10.1057/s41288-023-00311-y

António Miguel Martins(马德拉大学；大西洋应用经济研究中心（CEEAplA）；埃武拉大学)，Pedro Correia(马德拉大学)，Ricardo Gouveia(马德拉大学)

摘要：We examine the short-term market impact of the beginning of the military conflict between Russia and Ukraine (24 February 2022) on the world’s largest insurance firms. Using an event study for the 100 largest listed insurers globally, we observe that the unexpected loss effect seems to prevail over the long-term growth effect, leading to a decrease of insurance firm’s equity market values. Furthermore, our results show a higher negative stock market reaction for foreign insurers with a high exposure to Russian/Ukrainian markets. These results also confirm the existence of a ‘proximity penalty’ for firms in the vicinity of the war zone. Finally, our results provide insight into which insurer-specific characteristics emerge as value drivers. Larger, well-capitalised, profitable and life or diversified insurance firms with less institutional ownership have superior stock market returns and are more able to handle the losses resulting from the war.

我们研究了俄罗斯和乌克兰之间军事冲突开始（2022年2月24日）对世界上最大的保险公司的短期市场影响。通过对全球100家最大上市保险公司的事件研究，我们观察到，意外损失效应似乎压倒了长期增长效应，导致保险公司的股票市值下跌。此外，我们的结果显示，对俄罗斯/乌克兰市场风险暴露较大的外国保险公司的负面股市反应较高。这些结果也证实了对战区附近的公司存在“邻近惩罚”。最后，我们的研究结果提供了对哪些保险公司特定特征成为价值驱动因素的洞察。规模更大、资本充足、盈利能力强、机构所有权较少的人寿或多元化保险公司拥有更高的股市回报，更有能力处理战争造成的损失。

原文链接：https://link.springer.com/article/10.1057/s41288-023-00305-w

María Rubio-Misas(马拉加大学)

摘要：This is the first study to investigate whether country institutional quality influences the impact of supervisory power on insurer soundness. It tests the hypothesis arguing that institutional quality enhances the implementation capacity of supervisors versus the one that maintains that institutional quality mitigates the impact of supervisory power on insurer soundness, particularly when this effect is negative. An analysis is carried out on firms operating in the insurance markets of 12 Muslim-populous countries over the eight-year sample period 2009–2016. As a proxy of insurers’ financial stability, we use the Z-score and conduct the study by employing the two-step system generalised method of moments. We find a negative impact of supervisory power on insurer soundness—exercised by increasing portfolio risk—that is mitigated by national institutional quality, in particular by government effectiveness, regulatory quality and control of corruption. The findings emphasise the view that national institutional quality avoids private use of supervision.

本文首次对国家制度质量是否影响监管权力对保险公司稳健性的影响进行研究。我们检验了这样一个假设：制度质量增强了监管者的执行能力，与此相对的假设是制度质量减轻了监管权力，对保险公司稳健性的影响，特别是在这种影响为负面时。本研究分析了2009年至2016年八年样本期间，在12个人口众多的穆斯林国家的保险市场中运营的公司。作为保险公司财务稳定性的代理，我们使用了Z分数，并通过采用两步系统广义矩估计方法进行研究。我们发现，监管权力对保险公司稳健性的负面影响——通过增加投资组合风险来反映——可以被国家制度质量特别是政府效率、监管质量和腐败控制所缓解。研究结果强调了这样一个观点：国家制度质量避免了监管的私人使用。

原文链接：https://link.springer.com/article/10.1057/s41288-023-00309-6

Yen-Chih Chen（逢甲大学）， Carol Troy（东海大学），Wen-Yen Hsu （逢甲大学）

摘要：The role of information asymmetry in automobile insurance markets has been studied extensively. However, not all empirical studies found correlation between driver risk and chosen coverage. There are two explanations for this (Cohen and Siegelman 2010): (1) information asymmetry may not characterise environments in which consumers cannot act on private information; (2) most studies measure not risky driver behaviour, but ex post realisations of such behaviour, e.g. claims. In Taiwan’s taxi insurance market, insurers cannot freely use rating factors. Usage density (e.g. daily distance), a direct measure of risk, therefore constitutes private information. Using ordinary least squares models, we find that usage density is positively correlated with total premiums. Using logistic models, we find high-density drivers more likely to buy additional policies. Thus, usage density is positively correlated with insurance demand, consistent with the risk-coverage hypothesis. Unlimited-mileage coverage may disproportionately attract high-risk drivers, an argument in favour of usage-based insurance.

信息不对称在汽车保险市场中的作用已得到广泛研究。然而，并非所有实证研究都发现驾驶员风险与所选保险之间存在相关性。对此有两种解释（Cohen 和 Siegelman 2010）：（1）信息不对称可能无法表征消费者无法对私人信息采取行动的环境;（2）大多数研究测量的不是危险的驾驶员行为，而是事后对此类行为的实现，例如索赔。在台湾的出租车保险市场，保险公司不能随意使用评级因素。因此，使用密度（例如每日距离）是衡量风险的直接指标，因此构成私人信息。使用普通最小二乘模型，我们发现使用密度与总保费呈正相关。使用logistic模型，我们发现高密度司机更有可能购买额外的保单。因此，使用密度与保险需求呈正相关，这与风险覆盖率假说一致。无限里程保险可能会不成比例地吸引高风险司机，这是支持基于使用量的保险的论点。

原文链接：https://link.springer.com/article/10.1057/s41288-023-00306-9

入驻平台：雪球、头条号、微博、百家号、知乎

邮箱：thirteenactuary@163.com

小编微信号：xxjss13